Calculate Fama French Five Factors

Proposed is a framework to create the five fama french return factors for the German Stock Market.

Fama French Website

Prerequisites

• Access to the Wharton Research Data Services
• WRDS offers a tutorial for accessing and manipulating their database
• R (at least verison 3.4.1 (2017-06-30 -- "Single Kandle"))
  • get the newest version here
• packages:

install.packages("dplyr")
install.packages("data.table")
install.packages("maggitr")
install.packages("zoo")
install.packages("ggplot2")
install.packages("dtplyr")
install.packages("stringr")
install.packages("tidyr")
install.packages("GRS.test")
install.packages("broom")

Files

• Fama_French_Factors.R : Main file to create FF factors and portfolios
• Get_Data.R : Download data from WRDS
• support_functions.R : helper functions

Output

Final dataframe (all return data in percent):

Date        MyRMRF     MySMB     MyHML      MyRMW      MyCMA        RF
Jan 2017  3.6030333  4.512880 -1.5660417 -1.853988 -0.08854058 -0.03088575
Feb 2017  0.6873182  0.675079 -5.1712090  1.256181  1.97829177 -0.03088575
Mar 2017  4.4001741 -2.118636 -3.0813493  3.923298 -3.51113337 -0.03088575
Apr 2017  3.2083001  1.229573 -0.4375045 -1.114785 -2.99156972 -0.03088575
May 2017  5.7685229  9.970641 -7.2115563  1.863716 -1.11868543 -0.03088575
Jun 2017 -1.4123163  3.156754  3.7051396 -1.977690  1.81300581 -0.03088575

Maintainance

Unfortunately I no longer have access to the WRDS data. As of late November 2017 the script was running without any flaws.