opentaps/open-climate-investing

make loading of daily and monthly data consistent

Closed this issue · 2 comments

sichen1234 commented

Make the loading of daily and monthly data from the Ken French data library consistent:

  1. The files in our data/ repository should be the CSV files from the Fama/French 3 Factor, Fama/French 3 Factors [Daily], Momentum Factor (Mom), Momentum Factor (Mom) [Daily]
  2. The files should not have the additional FREQUENCY column. Our data loading script should set the frequency based on the file.
  3. The risk free rate in both cases should be in the CSV files. There should not be separate risk free rates file.
sichen1234 commented

Actually the correct files should be:

  • Fama/French Developed 3 Factors
  • Fama/French Developed 3 Factors [Daily]
  • Developed Momentum Factor (Mom)
  • Developed Momentum Factor (Mom) [Daily]

They're under "Developed Markets Factors and Returns" on http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html#Developed

sichen1234 commented

All done now.