A command-line tool to retrieve data for multi-factor asset pricing models.

• The 3-factor, 5-factor, and 6-factor models of Fama & French ^{[1] [3] [4]}
• Mark Carhart's 4-factor model ^[2]
• Pastor and Stambaugh's liquidity factors ^[5]
• Mispricing factors of Stambaugh and Yuan^[6]
• The $q$-factor model of Hou, Mo, Xue and Zhang^[7]
• The augmented $q^5$-factor model of Hou, Mo, Xue and Zhang^[8]
• Intermediary Capital Ratio (ICR) of He, Kelly & Manela^[9]
• The DHS behavioural factors of Daniel, Hirshleifer & Sun^[10]
• The HML $^{DEVIL}$ factor of Asness & Frazzini^[11]
• Betting Against beta, A. Frazzini, L. Pedersen (2014) ^[12]
• Quality Minus Junk, Asness, Frazzini & Pedersen (2017)^[13]
• The 6-factor model of Barillas and Shanken^[14]

Thanks to: Kenneth French, Robert Stambaugh, Lin Sun, Zhiguo He, AQR Capital Management (AQR.com) and Hou, Xue and Zhang (global-q.org), for their research and for the datasets they provide.

Requires:

• Python >=3.10

The easiest way to install getfactormodels is with pip:

pip install getfactormodels

# Fama-French 5-Factor model, monthly
getfactormodels --model ff5 --frequency m

# q-factor model’s weekly ‘R_IA’ since start (using -x/--extract)
getfactormodels -m q -f w --start 2000 -x “R_IA”

# Australia, Quality Minus Junk (daily) saved to file:
getfactormodels -m qmj -f d --region aus --output aus_bab.ipc

# Get multiple models in one table, e.g., ff3 + liquidity factors:
getfactormodel -m ff3 liq

# Attach a Fama-French portfolio (12 industry portfolios)
getfactormodels -m ff6 -f d --industry 30

# Alternately, --portfolio/-p accepts industry as the sort:
getfactormodels -m ff5 -f m --portfolio industry 12

# 10 portfolios formed on Momentum
getfactormodels -m ff6 -f m --portfolio 10 --by mom 

# univariate sorts support 'decile, 'quintile', 'tertile' or 10 5 3
getfactormodels -m ff3 -f m -p quintile -b size

# Add a FF bivariate sort to model/s
getfactormodels -m ff3 -f d -p 2x3 -b mom size

# Accepts an int instead of a sort ('25' for for '5x5', etc.)
getfactormodels -m ff3 liq -f m -p 25 -b mom,size

Example

getfactormodels -m qmj -f d --output qmj.ipc

Data saved to: qmj.ipc

date            Mkt-RF           QMJ           SMB           HML           UMD    RF_AQR
1957-07-01    0.001784     -0.001566     -0.002166      0.001984      0.000651    0.0001
1957-07-02    0.008514     -0.000484     -0.005030     -0.004436      0.002705    0.0001
1957-07-03    0.007938      0.000869     -0.001245     -0.003676      0.002294    0.0001
1957-07-05    0.007755      0.001975     -0.000769     -0.002781     -0.001137    0.0001
  [...]
2025-10-28    0.001157      0.004138     -0.003897     -0.006681      0.011682    0.0002
2025-10-29   -0.002034     -0.003446     -0.007738     -0.002619      0.015875    0.0002
2025-10-30   -0.010841      0.009058     -0.000406      0.005180     -0.006211    0.0002
2025-10-31    0.003867     -0.006546      0.000620      0.001108      0.000869    0.0002

[17574 rows x 7 columns, 905.3 kb]

Data saved to: qfactors_qtrly.md

               Mkt-RF         R_ME         R_IA         R_EG        R_ROE       RF
date
1967-03-31   0.134805     0.114866    -0.053626    -0.015750     0.084400   0.0114
1967-06-30   0.018500     0.087544    -0.026375    -0.018427     0.021278   0.0092
1967-09-30   0.068962     0.055625     0.040412    -0.009986    -0.006436   0.0096
1967-12-31   0.002605     0.052229    -0.052616     0.017556     0.048551   0.0107
  [...]
2024-03-31   0.088848    -0.048872    -0.012363     0.001792     0.034865   0.0132
2024-06-30   0.022145    -0.051355    -0.025798     0.086070     0.084276   0.0135
2024-09-30   0.046601     0.020398     0.017324    -0.058132     0.025571   0.0138
2024-12-31   0.021465    -0.025093    -0.062185     0.024003    -0.038607   0.0116

[232 rows x 7 columns, 12.0 kb]

getfactormodels.model()

import getfactormodels as gfm

m = gfm.model(
    model = 'dhs',
    frequency='m',
    start_date='2000-01-01',
    end_date='2024-12-31',
    output_file='data.csv',
    cache_ttl=86400,
)

from getfactormodels import FamaFrenchFactors

# Initialize model instance
m = FamaFrenchFactors(model='3', frequency='m', 
			region='developed', start_date='2020-01-01')
m.end_date = '2020'

# Download the data 
m = m.load()

# Access/download the Arrow Table:
table = m.data

# As a dataframe:
df = m.to_polars() # Helper method, see also `.to_pandas()`

• Some other examples:

from getfactormodels import Qfactors, BABFactors, QMJFactors

# Q Factors have a "classic" boolean, when true, returns the classic 4 factor model.
q = QFactors(classic=True, frequency='w').load()

# AQR Models for different countries:
nor_qmj_table = QMJFactors(frequency='m', region='nor').load()

# Extract the Japan Betting Against Beta daily 'BAB' factor:
bab_jpn_df = BABFactors(frequency='d', region='JPN', 
                        start='2000-02-20', end '2010').load().extract("BAB").to_polars()

A list of model classes available:

• FamaFrenchFactors
• CarhartFactors
• QFactors
• ICRFactors
• DHSFactors
• LiquidityFactors
• MispricingFactors
• HMLDevilFactors
• BarillasShankenFactors
• BABFactors
• QMJFactors

Data Interoperability

getfactormodels uses PyArrow internally and supports the Dataframe Interchange Protocol. This allows for zero-copy data sharing with most modern Python data tools.

Create a model instance:

from getfactormodels import QFactors
m = getfactormodels.QFactors(frequency='m')

• DuckDB can query a table without conversion

import duckdb
duckdb.sql("SELECT date, ROE, IA FROM m.data LIMIT 7").show() 

• Polars has first-class support for Arrow:

import polars as pl
df = pl.from_arrow(m.data)

• Pandas/NumPy

# Pandas DataFrame
df = m.to_pandas()

# or NumPy Array (via Pandas)
array = m.to_pandas().to_numpy()

The Interchange Protocol

• If you use libraries like Ibis, Modin, or Vaex, you can use the interchange protocol directly:

df = vaex.from_arrow_table(m.data)
print(df.mean(vdf.ROE))

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This table shows each model's start date, available frequencies, and the latest datapoint if not current. The id column contains the shortest identifier for each model. These should all work in python and the CLI.

• Fama-French: data up until until end of prior month.
• Fama-French: most international/emerging factors (accessed with the region param) begin between 1985-1990.
• AQR models: non-US data begins around 1990 (accessed with the country param).

Publications:

1. E. F. Fama and K. R. French, ‘Common risk factors in the returns on stocks and bonds’, Journal of Financial Economics, vol. 33, no. 1, pp. 3–56, 1993. PDF
2. M. Carhart, ‘On Persistence in Mutual Fund Performance’, Journal of Finance, vol. 52, no. 1, pp. 57–82, 1997. PDF
3. E. F. Fama and K. R. French, ‘A five-factor asset pricing model’, Journal of Financial Economics, vol. 116, no. 1, pp. 1–22, 2015. PDF
4. E. F. Fama and K. R. French, ‘Choosing factors’, Journal of Financial Economics, vol. 128, no. 2, pp. 234–252, 2018. PDF
5. L. Pastor and R. Stambaugh, ‘Liquidity Risk and Expected Stock Returns’, Journal of Political Economy, vol. 111, no. 3, pp. 642–685, 2003. PDF
6. R. F. Stambaugh and Y. Yuan, ‘Mispricing Factors’, The Review of Financial Studies, vol. 30, no. 4, pp. 1270–1315, 12 2016. PDF
7. K. Hou, H. Mo, C. Xue, and L. Zhang, ‘Which Factors?’, National Bureau of Economic Research, Inc, 2014. PDF
8. K. Hou, H. Mo, C. Xue, and L. Zhang, ‘An Augmented q-Factor Model with Expected Growth*’, Review of Finance, vol. 25, no. 1, pp. 1–41, 02 2020. PDF
9. Z. He, B. Kelly, and A. Manela, ‘Intermediary asset pricing: New evidence from many asset classes’, Journal of Financial Economics, vol. 126, no. 1, pp. 1–35, 2017. PDF
10. K. Daniel, D. Hirshleifer, and L. Sun, ‘Short- and Long-Horizon Behavioral Factors’, Review of Financial Studies, vol. 33, no. 4, pp. 1673–1736, 2020. PDF
11. C. Asness and A. Frazzini, ‘The Devil in HML’s Details’, The Journal of Portfolio Management, vol. 39, pp. 49–68, 2013. PDF
12. A. Frazzini and L. H. Pedersen, “Betting Against Beta,” Journal of Financial Economics, vol. 111, no. 1, pp. 1–25, Jan. 2014. EconPapersPDF (working paper)
13. C. S. Asness, A. Frazzini, and L. H. Pedersen, “Quality Minus Junk,” Review of Accounting Studies, vol. 24, no. 1, pp. 34–112, Nov. 2019. EconPapers PDF
14. F. Barillas and J. Shanken, ‘Comparing Asset Pricing Models’, Journal of Finance, vol. 73, no. 2, pp. 715–754, 2018. PDF

Data sources:

• K. French, "Data Library," Tuck School of Business at Dartmouth. Link
• R. Stambaugh, "Liquidity" and "Mispricing" factor datasets, Wharton School, University of Pennsylvania. Link
• Z. He, "Intermediary Capital Ratio and Risk Factor" dataset, zhiguohe.net. Link
• K. Hou, G. Xue, R. Zhang, "The Hou-Xue-Zhang q-factors data library," at global-q.org. Link
• AQR Capital Management's Data Sets.
• Lin Sun, DHS Behavioural factors Link

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• AQR Models (HML Devil, Betting Against Beta, Quality Minus Junk) download slowly, particulary daily datasets. Need to implement a progress bar.

• Documentation
• Example notebook
• Error handling
• README
• metadata on models (copyright, construction, factors)
• Refactor of FF models