mff4: Monthly Fama French 4 Factor Returns

Description Usage Format Author(s) Source Examples

Description

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

Usage

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Format

An 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:

Mkt

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

SMB

The cap factor monthly return.

HML

The growth factor monthly return.

UMD

The momentum factor monthly return.

RF

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%.

Author(s)

Steven E. Pav [email protected]

Source

Kenneth French data library, via Quandl. 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, and Quandl datasets KFRENCH/FACTORS_M and KFRENCH/MOMENTUM_M.

Examples

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## Not run: 
data(mff4)
str(mff4)

## End(Not run)

shabbychef/aqfb_data documentation built on May 27, 2018, 12:25 a.m.