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[ENH] Added Fama-French 3-factor and 5-factor expected return models#733

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WilliamTDavies:ff-expected-returns
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[ENH] Added Fama-French 3-factor and 5-factor expected return models #733
WilliamTDavies wants to merge 1 commit into
PyPortfolio:main from
WilliamTDavies:ff-expected-returns

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@WilliamTDavies

@WilliamTDavies WilliamTDavies commented Jun 8, 2026

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Closes #595
Closes #634

Summary

Adds support for Fama-French factor-based expected return estimation.

New functionality

  • Added Fama-French 3-factor expected return model.
  • Added Fama-French 5-factor expected return model.
  • Added support through return_model() via:
    • ff3_return
    • ff5_return

Documentation

  • Added API documentation for Fama-French expected return estimation.
  • Updated expected returns documentation.
  • Updated README expected returns section.

Tests

Added tests covering:

  • FF3 and FF5 expected return estimation.
  • return_model() dispatch.
  • Invalid model selection.
  • Missing required factor columns.
  • Non-overlapping asset and factor data.
  • Fully missing aligned factor data.
  • returns_data=True support.
  • Compounding and non-compounding annualisation.
  • Validation against synthetic data with known factor exposures.
  • Handling of additional unused factor columns.

@WilliamTDavies WilliamTDavies changed the title (削除) Added Fama-French 3-factor and 5-factor expected return models (削除ここまで) (追記) [ENH] Added Fama-French 3-factor and 5-factor expected return models (追記ここまで) Jun 18, 2026
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