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factors

Fama-French factors.

Metadata for the selected dataset are returned in the extra['results_metadata'] field of the response.

Source​

https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

All returns are in U.S. dollars, include dividends and capital gains, and are not continuously compounded.

Market is the return on a region's value-weight market portfolio minus the U.S. one month T-bill rate.

The Fama/French 5 factors (2x3) are constructed using the 6, value-weight, portfolios formed on size and book-to-market, the 6, value-weight, portfolios formed on size and operating profitability, and the 6, value-weight, portfolios formed on size and investment.

To construct the SMB, HML, RMW, and CMA factors, we sort stocks in a region into two market cap and three respective book-to-market equity (B/M), operating profitability (OP), and investment (INV) groups at the end of each June.

Big stocks are those in the top 90% of June market cap for the region, and small stocks are those in the bottom 10%. The B/M, OP, and INV breakpoints for a region are the 30th and 70th percentiles of respective ratios for the big stocks of the region.

Rm–Rf for July of year t to June of t+1 include all stocks for which we have market equity data for June of t. SMB, HML, RMW, and CMA for July of year t to June of t+1 include all stocks for which we have market equity data for December of t-1 and June of t, (positive) book equity data for t-1 (for SMB, HML, and RMW), non-missing revenues and at least one of the following: cost of goods sold, selling, general and administrative expenses, or interest expense for t-1 (for SMB and RMW), and total assets data for t-2 and t-1 (for SMB and CMA).

The momentum and short term reversal portfolios are reconstituted monthly and the other research portfolios are reconstituted annually. We reconstruct the full history of returns each month when we update the portfolios.

Examples​

from openbb import obb
# Fama-French 3-factors data for America, default is monthly.
obb.famafrench.factors(provider='famafrench')
# Fama-French 5-factors data for Europe.
obb.famafrench.factors(provider='famafrench', region=europe, factor=5_factors)

Parameters​

Returns​

results: list[FamaFrenchFactors]

Serializable results.

provider: Optional[Literal['famafrench']]

Provider name.

warnings: Optional[list[Warning_]]

list of warnings.

chart: Optional[Chart]

Chart object.

extra: dict[str, Any]

Extra info.

Data​

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