Fama-French Models API

Fama-French factor models implementation.

fama_french_five_factor(risk_free_rate, market_beta, size_beta, value_beta, profitability_beta, investment_beta, market_premium, size_premium, value_premium, profitability_premium, investment_premium)

Calculate expected return using the Fama-French Five-Factor model.

Formula: E(R) = Rf + β_m(Rm-Rf) + β_s(SMB) + β_v(HML) + β_p(RMW) + β_i(CMA)

Parameters:

Name	Type	Description	Default
risk_free_rate	float or array - like	Risk-free rate of return (e.g., 0.03 for 3%)	required
market_beta	float or array - like	Beta coefficient for market risk factor	required
size_beta	float or array - like	Beta coefficient for size factor (SMB - Small Minus Big)	required
value_beta	float or array - like	Beta coefficient for value factor (HML - High Minus Low)	required
profitability_beta	float or array - like	Beta coefficient for profitability factor (RMW - Robust Minus Weak)	required
investment_beta	float or array - like	Beta coefficient for investment factor (CMA - Conservative Minus Aggressive)	required
market_premium	float or array - like	Market risk premium (Rm - Rf)	required
size_premium	float or array - like	Size premium (SMB)	required
value_premium	float or array - like	Value premium (HML)	required
profitability_premium	float or array - like	Profitability premium (RMW)	required
investment_premium	float or array - like	Investment premium (CMA)	required

Returns:

Type	Description
dict	Expected return and factor contributions

Raises:

Type	Description
ValueError	If any of the input arrays are not of the same shape

fama_french_three_factor(risk_free_rate, market_beta, size_beta, value_beta, market_premium, size_premium, value_premium)

Calculate expected return using the Fama-French Three-Factor model.

Formula: E(R) = Rf + β_m(Rm-Rf) + β_s(SMB) + β_v(HML)

Parameters:

Name	Type	Description	Default
risk_free_rate	float or array - like	Risk-free rate of return (e.g., 0.03 for 3%)	required
market_beta	float or array - like	Beta coefficient for market risk factor	required
size_beta	float or array - like	Beta coefficient for size factor (SMB - Small Minus Big)	required
value_beta	float or array - like	Beta coefficient for value factor (HML - High Minus Low)	required
market_premium	float or array - like	Market risk premium (Rm - Rf)	required
size_premium	float or array - like	Size premium (SMB)	required
value_premium	float or array - like	Value premium (HML)	required

Returns:

Type	Description
dict	Expected return and factor contributions

Raises:

Type	Description
ValueError	If any of the input arrays are not of the same shape