fetch_ff_factors
Download Fama-French 5-factor and momentum daily data for factor decomposition in stress testing. Optionally specify a start date.
Instructions
Download Fama-French 5-factor + momentum daily data.
Data is freely available from Kenneth French's Data Library. Used for factor decomposition in stress testing.
Args: start_date: Filter to dates on or after this date (default "2020-01-01").
Returns: JSON with factor records: [{date, MKT-RF, SMB, HML, RMW, CMA, MOM, RF}, ...]. All values are decimals (not percent).
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| start_date | No | 2020-01-01 |
Output Schema
| Name | Required | Description | Default |
|---|---|---|---|
| result | Yes |