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?
Eugene
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.Â
Manoj Agarwala
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