famafrench.FamaFrench.getFFfactors

FamaFrench.getFFfactors(self, dt_start, dt_end)

Construct dataset w/ Fama-French-style factors at a given frequency and for a given sample period.

Parameters

• 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

ffFactorsTable – Dataset with set of Fama-French-style factors observed at frequency self.freqType over sample period from dt_start to dt_end.

Return type

pandas.DataFrame

Note

Portfolios require anomaly characteristics from the last fiscal year. To get non-missing observations starting on date dt_start, we construct portfolios using a startdate that is two/three years prior to dt_start. We then slice the resulting pandas.DataFrames starting w/ dt_start.