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Implementation of 5-factor Fama French Model

Python 31.32% Jupyter Notebook 68.68%

famafrench's Introduction

Implementation of 5-factor Fama French Model

This project contains implementation of five factor Fama French model + jupyter notebook for exploratory analysis.

Please refer to the blog post http://www.quantandfinancial.com/2020/06/famafrench.html for more details

Features:

Portfolio returns and factors loaded from Fama-French data library (https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html)
Interactive return attribution
Explanatory analysis of return factors
- Market factor (MER)
- Size factor (SMB)
- Value factor (HML)
- Profitability factor (RMW)
- Investment factor (CMA)
Time-series analysis

Few screenshots from the jupyter notebook:

Statistical analysis of individual factors in different economic regimes

Analysis of explanatory power of individual factors

Time-series analysis of a factor on different portfolios

Full intractive UI

famafrench's People

Contributors

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