kenneth-french-data-library: A Python repository from smartrus

Detail for 5 Industry Portfolios

Data

Dataset contains 5 Industry Portfolios monthly returns from July 1926 till February 2020.

Industry portfolios:

Cnsmr - Consumer Durables, Nondurables, Wholesale, Retail, and Some Services (Laundries, Repair Shops)
Manuf - Manufacturing, Energy, and Utilities
HiTec - Business Equipment, Telephone and Television Transmission
Hlth - Healthcare, Medical Equipment, and Drugs
Other - Mines, Constr, BldMt, Trans, Hotels, Bus Serv, Entertainment, Finance

To update the data run the process script locally:

python scripts/process.py

Several steps will be done to get the final data.

It first hits the URL and download the XLS file to the archive directory
It applies parsing on a sheet named 'Data' in the downloaded file.
After cleaning and parsing, final output is genertated in a CSV file that is contained under 'data' directory and is named 'avg_value_weighted_returns.csv'.