famafrench.FamaFrench.getFFfactors¶
-
FamaFrench.
getFFfactors
(self, dt_start, dt_end)[source]¶ 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 fromdt_start
todt_end
.- Return type
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 todt_start
. We then slice the resulting pandas.DataFrames starting w/dt_start
.