ff: Fama-French Five Factors

Description Usage Format Source

Description

Data set containing the five factors described by \insertCitefamafrench15;textualCPAT, from the data library maintained by Kenneth French. Data ranges from July 1, 1963 to October 31, 2017.

Usage

1

Format

A data frame with 13679 rows and 6 variables:

Mkt.RF

Market excess returns

RF

The risk-free rate of return

SMB

The return on a diversified portfolio of small stocks minus return on a diversified portfolio of big stocks

HML

The return of a portfolio of stocks with a high book-to-market (B/M) ratio minus the return of a portfolio of stocks with a low B/M ratio

RMW

The return of a portfolio of stocks with robust profitability minus a portfolio of stocks with weak profitability

CMA

The return of a portfolio of stocks with conservative investment minus the return of a portfolio of stocks with aggressive investment

Row names are dates in YYYYMMDD format.

Source

http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html


ntguardian/CPAT documentation built on May 22, 2019, 2:20 p.m.