wff3: Weekly Fama French 3 Factor Returns
In madness: Automatic Differentiation of Multivariate Operations

wff3	R Documentation

Weekly Fama French 3 Factor Returns

Description

The weekly returns of the 3 Fama French Factors: Market, the cap factor SMB, and the growth factor HML.

Usage

wff3

Format

A data.frame object with 4800 observations and 5 columns. The data run from July, 1926 through June, 2018. As in the upstream source, the data are given in percents, meaning a value of 1.00 corresponds to a 1% movement. Note also that returns presumably are ‘simple’ returns, not log returns, though this is not clarified by the upstream source. The columns are defined as follows:

Date: The closing data, as a Date object. These are typically Saturdays.
Mkt: The Market weekly return. Note that the risk free rate has been added back to the excess returns published by the upstream source.
SMB: The cap factor weekly return.
HML: The growth factor weekly return.
RF: The risk-free rate, presumably as an weekly rate, though note that no corrections have been made for weekend effects when adding the risk-free rate back to the market rate.