Dataframe: P01:ken_french_25_portfolios - 25 Portfolios (5x5 Size x BM)#
Monthly data for 25 portfolios formed on Size (market cap) and Book-to-Market ratio. Contains value-weighted returns, number of firms, average firm size, and annual BE/ME ratios. Primary dataset for the three-pass regression filter replication.
DataFrame Glimpse#
Rows: 1140
Columns: 26
$ SMALL LoBM <f64> -2.134531507997796
$ ME1 BM2 <f64> -1.2888047398426334
$ ME1 BM3 <f64> -0.7698122654954308
$ ME1 BM4 <f64> -0.3298939212610904
$ SMALL HiBM <f64> 0.31181355202670896
$ ME2 BM1 <f64> -2.0980129272652714
$ ME2 BM2 <f64> -1.2833768271132042
$ ME2 BM3 <f64> -0.7765287894989963
$ ME2 BM4 <f64> -0.35012501307499977
$ ME2 BM5 <f64> 0.27982629648619733
$ ME3 BM1 <f64> -2.1794828958600623
$ ME3 BM2 <f64> -1.2594855142561947
$ ME3 BM3 <f64> -0.8128320235059251
$ ME3 BM4 <f64> -0.34291293345119983
$ ME3 BM5 <f64> 0.08672800350982415
$ ME4 BM1 <f64> -2.184802057337662
$ ME4 BM2 <f64> -1.3276481656871573
$ ME4 BM3 <f64> -0.7837285587911837
$ ME4 BM4 <f64> -0.35967945295903114
$ ME4 BM5 <f64> 0.0968544413638821
$ BIG LoBM <f64> -2.501036031717884
$ ME5 BM2 <f64> -1.3719970564190662
$ ME5 BM3 <f64> -0.7431781141655103
$ ME5 BM4 <f64> -0.3979434667093183
$ BIG HiBM <f64> 0.06503839617922215
$ Date <datetime[ns]> 2024-12-01 00:00:00
Dataframe Manifest#
Dataframe Name |
25 Portfolios (5x5 Size x BM) |
|---|---|
Dataframe ID |
|
Data Sources |
Kenneth French Data Library |
Data Providers |
Kenneth French |
Links to Providers |
https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html |
Topic Tags |
Fama-French, Portfolios, Book-To-Market, Size |
Type of Data Access |
P,u,b,l,i,c |
How is data pulled? |
pandas_datareader / direct HTTP download |
Data available up to (min) |
2024-12-01 00:00:00 |
Data available up to (max) |
2024-12-01 00:00:00 |
Dataframe Path |
C:\Users\Zara\Documents\GitHub\FINM-Winter\full-stack-quant\p01_kelly_pruitt_2013_data\25_Portfolios_5x5_BM.parquet |
Download Data as Parquet |
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Download Data as Excel |
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Linked Charts |
None |
Pipeline Manifest#
Pipeline Name |
Market Expectations in the Cross-Section of Present Values |
|---|---|
Pipeline ID |
|
Lead Pipeline Developer |
Zara and Dylan |
Contributors |
Zara, Dylan |
Git Repo URL |
|
Pipeline Web Page |
|
Date of Last Code Update |
2026-03-05 23:55:41 |
OS Compatibility |
|
Linked Dataframes |
P01:crsp_monthly_stock |