sandbox/man-roxygen/construction-factor-ff5.R

In JustinMShea/ExpectedReturns: Reproduction of Investment Strategies presented in Antti Ilmanen's Expected Returns and Investing Amid Low Expected Returns

#' @section Fama-French Five Factors Construction:
#'
#' The Fama-French factors are constructed using the six value-weight portfolios
#' formed on size, the six value-weight portfolios formed on size and operating
#' profitability, and the six value-weight portfolios formed on size and investment.
#'
#' @references
#' Fama, Eugene F and French, Kenneth R (1993). *Common risk factors in the returns on stocks and bonds*. Journal of Financial Economics.
#' Fama, Eugene F and French, Kenneth R (2015). *A five-factor asset pricing model*. Journal of Financial Economics.