Description Usage Format Author(s) Source Examples
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.
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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%.
Steven E. Pav steven@gilgamath.com
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.
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