Fama-French¶
Fama French Data-sets
source: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/index.html
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class
plutoPy.model.FamaFrench.
FiveFactor3x2Daily
(**kwargs)¶ Bases:
sqlalchemy.ext.declarative.api.Base
,plutoPy.model.Db.StockVizUs2
Query the Fama-French 5-factor daily returns (http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/f-f_5_factors_2x3.html)
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KEY_ID
¶ SMB, RMW, RF, MKT-RF, HML, CMA
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RET
¶
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TIME_STAMP
¶
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class
plutoPy.model.FamaFrench.
Industry49Daily
(**kwargs)¶ Bases:
sqlalchemy.ext.declarative.api.Base
,plutoPy.model.Db.StockVizUs2
Query the Fama-French daily returns of 49 different industries (http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/det_49_ind_port.html)
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KEY_ID
¶ AGRIC, BANKS, CHEMS, etc…
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RET
¶
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RET_TYPE
¶ AVWRD - Average Value Weighted Returns Daily, AEWRD - Average Equal Weighted Returns Daily
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TIME_STAMP
¶
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class
plutoPy.model.FamaFrench.
MomentumDaily
(**kwargs)¶ Bases:
sqlalchemy.ext.declarative.api.Base
,plutoPy.model.Db.StockVizUs2
Query the Fama-French daily returns of momentum factor and portfolios factor: https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/det_mom_factor_daily.html portfolios: https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/det_10_port_form_pr_12_2_daily.html
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KEY_ID
¶ MOM, HI_PRIOR, LO_PRIOR, PRIOR_[2..9]
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RET
¶
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RET_TYPE
¶ M for KEY_ID = MOM, AVWRD - Average Value Weighted Returns Daily, AEWRD - Average Equal Weighted Returns Daily
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TIME_STAMP
¶
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class
plutoPy.model.FamaFrench.
MomentumMonthly
(**kwargs)¶ Bases:
sqlalchemy.ext.declarative.api.Base
,plutoPy.model.Db.StockVizUs2
Query the Fama-French daily returns of momentum factor and portfolios factor: https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/det_mom_factor.html portfolios: https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/det_10_port_form_pr_12_2.html
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KEY_ID
¶ MOM, HI_PRIOR, LO_PRIOR, PRIOR_[2..9]
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RET
¶
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RET_TYPE
¶ M for KEY_ID = MOM, AVWRD - Average Value Weighted Returns Daily, AEWRD - Average Equal Weighted Returns Daily
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TIME_STAMP
¶
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