dff4: Daily Fama French 4 Factor Returns

In shabbychef/aqfb_data: Data for the AQFB Book and Package

Description

The daily returns of the 4 Fama French Factors: Market, the cap factor SMB, the growth factor HML, and the momentum factor UMD.

Usage

dff4

Format

An xts object with 24,290 observations and 5 columns. The data run from January, 1927 through December, 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:

Mkt

The Market daily return. Note that the risk free rate has been added back to the excess returns published by the upstream source.

SMB

The cap factor daily return.

HML

The growth factor daily return.

UMD

The momentum factor daily return.

RF

The risk-free rate, presumably as an daily rate, though note that no corrections have been made for weekend effects when adding the risk-free rate back to the market rate.

Author(s)

Steven E. Pav [e-mail]

Source

Kenneth French data library. See http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html, data description at http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/f-f_factors.html.

Examples

## Not run: 
data(dff4)
str(dff4)

## End(Not run)

shabbychef/aqfb_data documentation built on June 16, 2019, 1:07 a.m.