BUG: Fixes error in DataReader when getting "F-F_Momentum_Factor" data
Hopefully I didn't screw-up using git and github. This PR fixes the minor issue outlined in `GH6460`. I didn't write any new tests but I added the "F-F_Momentum_Factor" data request to the existing tests of the famafrench data reader.

closes #6460

loooks great! can you add a release note in doc/source/releast.rst, reffing the issue 6460.thanks
 I think I can do that.
 Updated, I think
 merged via https://github.com/pydata/pandas/commit/0eb38184f18639089f6a41fa21812eff17c0b672
 thanks!

FYI in the future I usually rebase the commits and squash them together if they are small

but no biggie
