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Description of Fama/French 3 Factors for Developed Markets

Daily Returns:

 

July 1, 1990–June 30, 2017

 

 

 

Monthly Returns:

 

July 1990–August 2017

 

 

 

Annual Returns:

 

1991–2016

 

 

 

Construction:

 

All returns are in U.S. dollars, include dividends and capital gains, and are not continuously compounded. Market is the return on a region's value-weight market portfolio minus the U.S. one month T-bill rate.

To construct the SMB and HML factors, we sort stocks in a region into two market cap and three book-to-market equity (B/M) groups at the end of each June. Big stocks are those in the top 90% of June market cap for the region, and small stocks are those in the bottom 10%. The B/M breakpoints for a region are the 30th and 70th percentiles of B/M for the big stocks of the region.

The global portfolios use global size breaks, but we use the B/M breakpoints for the four regions to allocate the stocks of these regions to the global portfolios. Similarly, the global ex us portfolios use global ex us size breaks and regional B/M breakpoints. The independent 2x3 sorts on size and B/M produce six value-weight portfolios, SG, SN, SV, BG, BN, and BV, where S and B indicate small or big and G, N, and V indicate growth (low B/M), neutral, and value (high B/M).

SMB is the equal-weight average of the returns on the three small stock portfolios for the region minus the average of the returns on the three big stock portfolios,

SMB = 1/3 (Small Value + Small Neutral + Small Growth)
– 1/3 (Big Value + Big Neutral + Big Growth).


HML is the equal-weight average of the returns for the two high B/M portfolios for a region minus the average of the returns for the two low B/M portfolios,

HML = 1/2 (Small Value + Big Value)
– 1/2 (Small Growth + Big Growth).

 

 

 

Stocks:

 

RmRf for July of year t to June of t+1 include all stocks for which we have market equity data for June of t. SMB and HML for July of year t to June of t+1 include all stocks for which we have market equity data for December of t–1 and June of t, and (positive) book equity data for t–1.

 

Country Global Global ex US Europe Japan Asia Pacific ex Japan North America
 Australia      
 Austria      
 Belgium      
 Canada      
 Switzerland      
 Germany      
 Denmark      
 Spain      
 Finland      
 France      
 Great Britain      
 Greece      
 Hong Kong      
 Ireland      
 Italy      
 Japan      
 Netherlands      
 Norway      
 New Zealand      
 Portugal      
 Sweden      
 Singapore      
 United States