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Fama French Model

My algorith is based on fama french 3 factor model. It works well in back testing but while going there I realized that the fama french factors are calculated several weeks later. For example, currently the fama french factors are only available until March 31st. Wondering if anybody has written custom code for calculating it on a daily basis?

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Hello Manoj,

depending on the factors you are using, many of them are available only on public company records, which are available on monthly/quarterly/... basis.

That why it seems you are using old data, but actually its the latest you can get at that time. 

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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