The monthly returns of the 4 Fama French Factors: Market, the cap factor SMB, the growth factor HML, and the momentum factor UMD.
xts object with 1,080 observations and 5 columns.
The data run from January, 1927 through December, 2016.
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:
The Market monthly return. Note that the risk free rate has been added back to the excess returns published by the upstream source.
The cap factor monthly return.
The growth factor monthly return.
The momentum factor monthly return.
The risk-free rate, presumably as a monthly rate. The average value is arround 0.28, corresponding to an annualized rate of around 3.3%.
Steven E. Pav [email protected]
Kenneth French data library, via Quandl.
data description at http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/f-f_factors.html,
and Quandl datasets
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