factor_pricing_data_{SAMPLING}.xlsx

factor_pricing_data_{SAMPLING}.xlsx#

Fama-French 5 factors + momentum (excess returns), 49 industry portfolios, and risk-free rate from the Ken French Data Library; built at daily/weekly/monthly sampling (plain factor_pricing_data.xlsx is the monthly 1980-2025 vintage).

Source

French — Ken French Data Library (via pandas-datareader)

Years

1980-2026

Frequency

per sampling (D/W/M)

Vintage

Rolling — refreshed by re-running the builder

Rebuild

build_data/Build PDR - Factor Pricing.ipynb

Used in this book#

Files in this book#

  • factor_pricing_data.xlsx

  • factor_pricing_data_daily.xlsx

  • factor_pricing_data_monthly.xlsx

  • factor_pricing_data_weekly.xlsx

Contents