numeraire_dataset.load_ff_momentum#

numeraire_dataset.load_ff_momentum(*, freq: Literal['monthly', 'daily'] = 'monthly', start_date: str = '1926-07-01', end_date: str = '2023-12-31', timeout: float = 30.0) → DataFrame[source]#

Ken French U.S. momentum factor as date, mom decimal returns.

Monthly data use the primary tidyfinance backend. Daily data fill a documented tidyfinance coverage gap by downloading the official Ken French Data Library CSV zip over HTTPS. The daily parser requires the published header and copyright footer, preserves trading-day timestamps, converts percentages to decimals, and rejects duplicate dates, missing sentinels, and non-finite values. start_date and end_date are inclusive.

Both paths attach inspectable metadata readable through frame_provenance() and frame_data_vintage(). Daily provenance includes the exact download URL, the source’s HTTP Last-Modified timestamp (or unreported), the zip’s SHA-256 digest, and the parsing recipe. No downloaded file is persisted by this loader.