famafrench.FamaFrench.getkfFFfactors

FamaFrench.getkfFFfactors(self, freq, dt_start, dt_end)

Query Fama-French-style factors from Ken French’s online library at a given frequency and for a given sample period.

Parameters

• freq (str) –

  Observation frequency of the portfolios. Possible choices are:

  • D : daily

  • W : weekly

  • M : monthly

  • Q : quarterly (3-months)

  • A : annual

• dt_start (datetime.date) – Starting date for the dataset queried or locally retrieved.

• dt_end (datetime.date) – Ending date for the dataset queried or locally retrieved.

Returns

kfffFactorsTable – Cleaned dataset queried from Ken French’s online library containing Fama-French-style factors observed at frequency freq over sample period from dt_start to dt_end for a given portfolio sorting strategy.

Return type

pandas.DataFrame