Home

Biography

Curriculum Vitae

Working Papers

Data Library

 

Benchmarks

 

U.S. Research Returns

 

U.S. Research Breakpoints

 

U.S. Book Equity Data

 

International Research Returns

Consulting Relationship

Fama / French Forum

Contact Information

 

Detail for 38 Industry Portfolios

Monthly Returns:

 

July 1926-December 2004

 

 

 

Annual Returns:

 

1927-2004

 

 

 

Portfolios:

 

Download industry definitions

 

 

 

Construction:

 

We assign each NYSE, AMEX, and NASDAQ stock to an industry portfolio at the end o f June of year t based on its four-digit SIC code at that time. We then compute returns from July of t to June of t+1.

 

 

 

 

 

Copyright Kenneth R. French