FamaFrench-class: FamaFrench

In shyams80/plutoR: Financial Data Models for Pluto

Description

FamaFrench

Methods

FiveFactor3x2Daily()

Query the Fama-French 5-factor daily returns (http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/f-f_5_factors_2x3.html)

Industry49Daily()

Query the Fama-French daily returns of 49 different industries (http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/det_49_ind_port.html)

MomentumDaily()

Query the Fama-French daily returns of momentum factor and portfolios

MomentumMonthly()

Query the Fama-French monthly returns of momentum factor and portfolios

References

http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/index.html

Read the python documentation for information on the data-attributes https://plutopy.readthedocs.io/en/latest/FamaFrench.html

Sample notebook: https://github.com/shyams80/plutons/blob/master/docs-R/FamaFrench.ipynb

shyams80/plutoR documentation built on Nov. 19, 2019, 5:37 p.m.