Fama French Factors
Implementation details
Class names
| Model name | Parameters class | Data class |
|---|---|---|
FamaFrenchFactors | FamaFrenchFactorsQueryParams | FamaFrenchFactorsData |
Import Statement
from openbb_core.provider.standard_models. import (
FamaFrenchFactorsData,
FamaFrenchFactorsQueryParams,
)
Parameters
- standard
- famafrench
region: Literal['america', 'north_america', 'europe', 'japan', 'asia_pacific_ex_japan', 'developed', 'developed_ex_us', 'emerging']
Region of focus. Default is America.
• Default: america
• Optional: True
factor: Literal['5_factors', '3_factors', 'momentum', 'st_reversal', 'lt_reversal']
Factor to fetch. Default is the 3-Factor Model.Short/long-term reversals are available only for America.
• Default: 3_factors
• Optional: True
frequency: Literal['daily', 'weekly', 'monthly', 'annual']
Frequency of the factor data.Not all are available for all regions, and intervals depend on the factor selected. Weekly is only available for the US 3-Factor Model.
• Default: monthly
• Optional: True
start_date: date
Start date of the data. Defaults to the complete data range.
• Optional: True
end_date: date
End date of the data. Defaults to the complete data range.
• Optional: True
Data
- standard
- famafrench
date: Union[date, str]
Date of the factor data.
mkt_rf: float
Excess return on the market, value-weighted return of all firms, minus the one-month Treasury bill rate. Not returned for momentum or reversal factors.
smb: float
Small minus big (SMB) factor returns. Average return of small minus big stock portfolios. Not returned for momentum or reversal factors.
hml: float
High minus low (HML) factor returns. Average return on value minus average return on growth portfolios. Not returned for momentum or reversal factors.
rmw: float
Robust minus weak (RMW) factor returns. Average return on robust operating profitability portfolios, minus average return on weak operating profitability portfolios. Only returned when 5 Factor model is selected.
cma: float
Conservative minus aggressive (CMA) factor returns. Average return on conservative investment portfolios, minus average return on aggressive investment portfolios. Only returned when 5 Factor model is selected.
rf: float
Risk-free rate (RF) returns. The one-month US Treasury bill rate. Not returned when momentum or reversal factors are selected.
mom: float
Momentum (Mom) factor returns. Returned only when the momentum factor is selected and the region is 'america'.
wml: float
Winners minus losers (WML) factor returns. Equal-weight average of the returns for the winner portfolios minus the average of the returns for the loser portfolios. Returned only when the momentum factor is selected, and the region is not 'america'.
lt_rev: float
Long-term reversal (LT_Rev) factor returns. Returned only when the long-term reversal factor is selected, and the region is 'america'.
st_rev: float
Short-term reversal (ST_Rev) factor returns. Returned only when the short-term reversal factor is selected, and the region is 'america'.