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Description of Fama/French 5 Factors for Emerging Markets

Monthly Returns:

 

July 1989–July 2019

 

 

 

Annual Returns:

 

1990–2018

 

 

 

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.

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.

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

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) ).
 

     
    Note: Between July 1989 and June 1991, SMB = SMB(B/M) and between July 1991 and June 1992 SMB is the average of SMB(B/M) and SMB(OP)

    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).
 

 

 

 

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, HML, RMW, and CMA 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, (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).

The emerging markets countries currently include:
Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, Saudi Arabia, South Africa, South Korea, Taiwan, Thailand, Turkey, United Arab Emirates.