Happy to announce a small package I put together since I’m stuck at home – FamaFrenchData.jl. It provides easy direct access to the Ken French Data Library, which is a popular data source for financial investments research. Ken French kindly makes a plethora of data available for download, but the files are non-standard CSV files and they come zipped. This package uses HTTP.jl, ZipFile.jl, and CSV.jl to source the file from the web, extract the contents, and read the tables into DataFrames.
It is still in early development, but the majority of the functionality is already in place. It can read from the web or from a local copy of the file. Getting the Fama-French 3 Factor model returns is as easy as
using FamaFrenchData, DataFrames tables, tablenotes, filenotes = readFamaFrench("F-F_Research_Data_Factors") FF3_monthly = tables FF3_annual = tables
The package is in the process of being automatically merged to the general registry, so will be available via
]add FamaFrenchData in about 3 days time. PR’s welcome!
Thanks to those of you who helped answer some related questions I’ve posted recently.