mff6: Monthly Fama French 6 Factor Returns

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

Description

The monthly returns of the 6 Fama French Factors: Market, the cap factor SMB, the growth factor HML, the momentum factor UMD, the profitability factor RMW, and the invesment factor CMA.

Usage

mff6

Format

An xts object with 666 observations and 7 columns. The data run from July, 1963 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 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.

RMW

The profitability factor monthly return.

CMA

The investment factor monthly return.

RF

The risk-free rate, presumably as a monthly rate. The average value is arround 0.39, corresponding to an annualized rate of around 4.7%.

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, and data description at http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/f-f_5_factors_2x3.html.

Examples

## Not run: 
data(mff6)
str(mff6)

## End(Not run)

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