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 |
|
Used in this book#
AQR Momentum Strategies — Multifactor Pricing Models (Case Studies)
TA Review - Momentum — Multifactor Pricing Models (TA Reviews)
Files in this book#
momentum_data.xlsx