numeraire_dataset.load_ff_portfolios#

numeraire_dataset.load_ff_portfolios(*, portfolio_set: Literal['industry_10', 'size_bm_25', 'momentum'] = 'industry_10', freq: Literal['monthly', 'daily'] = 'monthly', start_date: str = '1926-07-01', end_date: str = '2023-12-31') → DataFrame[source]#

A public Ken French portfolio frame in decimal returns.

portfolio_set selects the ten industry portfolios, the 25 Size–Book-to-Market portfolios, or the momentum (Mom/WML) factor. All three support monthly and daily releases. Momentum is a factor rather than a portfolio; this compatibility surface delegates to the more precisely named load_ff_momentum(). The returned frame is wide and tidy: one date row per observation and one column per investable return series. Monthly source labels are moved from month-start to month-end because that is when the month’s return is realized; daily dates are preserved.

The loader validates source schema and dates and rejects infinite values, but preserves missing returns. Use to_multiasset_view() (or load_ff_portfolio_view()) to apply complete-case filtering and construct a returns-only numeraire view.