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'] | None
Default: america
Region of focus. Default is America.
factor: Literal['5_factors', '3_factors', 'momentum', 'st_reversal', 'lt_reversal'] | None
Default: 3_factors
Factor to fetch. Default is the 3-Factor Model.Short/long-term reversals are available only for America.
frequency: Literal['daily', 'weekly', 'monthly', 'annual'] | None
Default: monthly
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.
start_date: date | None
Start date of the data. Defaults to the complete data range.
end_date: date | None
End date of the data. Defaults to the complete data range.
Data
- standard
- famafrench
date: date | str
Date of the factor data.
mkt_rf: float | None
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 | None
Small minus big (SMB) factor returns. Average return of small minus big stock portfolios. Not returned for momentum or reversal factors.
hml: float | None
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 | None
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 | None
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 | None
Risk-free rate (RF) returns. The one-month US Treasury bill rate. Not returned when momentum or reversal factors are selected.
mom: float | None
Momentum (Mom) factor returns. Returned only when the momentum factor is selected and the region is 'america'.
wml: float | None
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 | None
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 | None
Short-term reversal (ST_Rev) factor returns. Returned only when the short-term reversal factor is selected, and the region is 'america'.