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  Description of Fama/French 5 Factors (2x3)

Monthly Returns:   July 1963 -October 2017
     
Annual Returns:   1964 - 2016
     
Construction:   The Fama/French 5 factors (2x3) are constructed using the 6 value-weight portfolios formed on size and book-to-market, the 6 value-weight portfolios formed on size and operating profitability, and the 6 value-weight portfolios formed on size and investment. (See the description of the 6 size/book-to-market, size/operating profitability, size/investment portfolios.)
     
    SMB (Small Minus Big) is the average return on the nine small stock portfolios minus the average return on the nine big stock portfolios,
     
   
  SMB(B/M) =



SMB(OP) =



SMB(INV) =




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

1/3 (Small Robust + Small Neutral + Small Weak)
  - 1/3 (Big Robust + Big Neutral + Big Weak).

1/3 (Small Conservative + Small Neutral + Small Aggressive)
  - 1/3 (Big Conservative + Big Neutral + Big Aggressive).


1/3 ( SMB(B/M) + SMB(OP) + SMB(INV) ).
 
     
    HML (High Minus Low) is the average return on the two value portfolios minus the average return on the two growth portfolios,
     
   
  HML =

1/2 (Small Value + Big Value)
 - 1/2 (Small Growth + Big Growth).
 
     
    RMW (Robust Minus Weak) is the average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios,
     
   
  RMW =

1/2 (Small Robust + Big Robust)
  - 1/2 (Small Weak + Big Weak).
 
     
    CMA (Conservative Minus Aggressive) is the average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios,
     
   
  CMA =

1/2 (Small Conservative + Big Conservative)
  - 1/2 (Small Aggressive + Big Aggressive).
 
     
    Rm-Rf, the excess return on the market, value-weight return of all CRSP firms incorporated in the US and listed on the NYSE, AMEX, or NASDAQ that have a CRSP share code of 10 or 11 at the beginning of month t, good shares and price data at the beginning of t, and good return data for t minus the one-month Treasury bill rate (from Ibbotson Associates).
     
    See Fama and French, 1993, "Common Risk Factors in the Returns on Stocks and Bonds," Journal of Financial Economics, and Fama and French, 2014, "A Five-Factor Asset Pricing Model" for a complete description of the factor returns.
     
Stocks:   Rm-Rf includes all NYSE, AMEX, and NASDAQ firms. SMB, HML, RMW, and CMA for July of year t to June of t+1 include all NYSE, AMEX, and NASDAQ stocks for which we have market equity data for December of t-1 and June of t, (positive) book equity data for t-1 (for SMB, HML, and RMW), non-missing revenues and at least one of the following: cost of goods sold, selling, general and administrative expenses, or interest expense for t-1 (for SMB and RMW), and total assets data for t-2 and t-1 (for SMB and CMA).