Fama-French Provider¶
Provider: FamaFrenchProvider
Website: Ken French Data Library
API Key: Not required
Free Tier: Free (academic use)
Overview¶
The Ken French Data Library provides 50+ factor datasets including the famous Fama-French 3-Factor and 5-Factor models.
Best For: Academic factors, portfolio research, factor exposure analysis
Quick Start¶
from ml4t.data.providers import FamaFrenchProvider
provider = FamaFrenchProvider()
# Core factors
ff3 = provider.fetch("ff3", frequency="monthly") # Mkt-RF, SMB, HML
ff5 = provider.fetch("ff5", frequency="daily") # +RMW, CMA
mom = provider.fetch("mom", frequency="monthly") # Momentum
# Combined (Carhart 4-Factor)
carhart = provider.fetch_combined(["ff3", "mom"])
provider.close()
Available Datasets¶
Core Factors¶
| Dataset | Factors | Frequency |
|---|---|---|
ff3 |
Mkt-RF, SMB, HML | Daily, Monthly |
ff5 |
Mkt-RF, SMB, HML, RMW, CMA | Daily, Monthly |
mom |
MOM (Momentum) | Daily, Monthly |
st_rev |
Short-Term Reversal | Monthly |
lt_rev |
Long-Term Reversal | Monthly |
Industry Portfolios¶
| Dataset | Description |
|---|---|
ind_5 |
5 Industries |
ind_10 |
10 Industries |
ind_12 |
12 Industries |
ind_17 |
17 Industries |
ind_30 |
30 Industries |
ind_48 |
48 Industries (most common) |
ind_49 |
49 Industries |
Size/Value Portfolios¶
| Dataset | Description |
|---|---|
port_size_bm_6 |
6 Size/BM (2x3) |
port_size_bm_25 |
25 Size/BM (5x5) |
port_size_bm_100 |
100 Size/BM (10x10) |
International¶
| Dataset | Region |
|---|---|
ff3_developed |
Developed Markets |
ff3_europe |
Europe |
ff3_japan |
Japan |
ff3_asia_ex_japan |
Asia Pacific ex Japan |
Data Format¶
- Returns in decimal format (0.01 = 1%)
- Daily and monthly frequencies
- History from 1926 (US) or 1990 (international)
Combined Factors¶
Create multi-factor models:
# Carhart 4-Factor (FF3 + Momentum)
ff3_mom = provider.fetch_combined(["ff3", "mom"])
# 6-Factor (FF5 + Momentum)
ff5_mom = provider.fetch_combined(["ff5", "mom"])
Academic Citations¶
- FF3: Fama and French (1993)
- FF5: Fama and French (2015)
- Momentum: Jegadeesh and Titman (1993), Carhart (1997)