Fama-French

Fama French Data-sets

source: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/index.html

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)

KEY_ID

SMB, RMW, RF, MKT-RF, HML, CMA

RET

TIME_STAMP

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)

KEY_ID

AGRIC, BANKS, CHEMS, etc…

RET

RET_TYPE

AVWRD - Average Value Weighted Returns Daily, AEWRD - Average Equal Weighted Returns Daily

TIME_STAMP

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

KEY_ID

MOM, HI_PRIOR, LO_PRIOR, PRIOR_[2..9]

RET

RET_TYPE

M for KEY_ID = MOM, AVWRD - Average Value Weighted Returns Daily, AEWRD - Average Equal Weighted Returns Daily

TIME_STAMP

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

KEY_ID

MOM, HI_PRIOR, LO_PRIOR, PRIOR_[2..9]

RET

RET_TYPE

M for KEY_ID = MOM, AVWRD - Average Value Weighted Returns Daily, AEWRD - Average Equal Weighted Returns Daily

TIME_STAMP