Overview¶
Wrapper for |
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Directly download (from Ken French’s online library) zipped monthly or annual datafiles for the Short-Term Reversal or Long-Term Reversal Fama-French-style factors. |
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Wrapper for class instance methods enabling the timing of execution. |
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Boolean variable that is |
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Consistent w/ Fama and French (2008, 2016), map the prior (j-k) monthly return strategy into a daily strategy (see Ken French’s online documentation). |
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Calculate (net) weighted portfolio return for portfolio with weights |
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Compute a simple average across different columns. |
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Construct detailed tables with summary statistics. |