# `momentum_data.xlsx`

Momentum factor (UMD), FF3 factors, prior-return deciles, and size sorts from the Ken French Data Library.

| | |
|---|---|
| **Source** | **French** — Ken French Data Library (via pandas-datareader) |
| **Years** | 1927-2025 |
| **Frequency** | M |
| **Vintage** | Rolling — refreshed by re-running the builder |
| **Rebuild** | `build_data/Build PDR - Momentum Portfolios.ipynb` |

## Used in this book

- [TA Review - Momentum](../ta_reviews/TA%20Review%20-%20Momentum.ipynb) — Multifactor Pricing Models (Appendix)
- [AQR Momentum Strategies](../case_studies/AQR%20Momentum%20Strategies.ipynb) — Multifactor Pricing Models (Case Study)

## Files in this book

- `momentum_data.xlsx`