dfa_analysis_data.xlsx#
Fama-French factors and 25 size/value portfolios from the Ken French Data Library, for the DFA case study.
Source |
French — Ken French Data Library (via pandas-datareader) |
Years |
1926-2026 |
Frequency |
M |
Vintage |
Rolling — refreshed by re-running the builder |
Rebuild |
|
Provenance |
Ken French monthly factors and value-weighted 25 size/book-to-market portfolios; full source vintage retrieved 2026-10-19. Cached snapshot and source hashes in build_data/dfa/snapshot.json. |
Used in this book#
DFA and Factor Investing — The CAPM (Case Studies)
Solution - Statistics of the DFA Factors — The CAPM (Case Studies)
TA Review - Multi-Factor Models — Multifactor Pricing Models (TA Reviews)
Files in this book#
dfa_analysis_data.xlsx