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  Description of Fama/French Factors

Daily Returns:   July 1, 1926-October 31, 2014
     
Weekly Returns:   July 2, 1926-October 31, 2014
     
Monthly Returns:   July 1926-October 2014
     
Annual Returns:   1927-2013
     
Construction:   The Fama/French factors are constructed using the 6 value-weight portfolios formed on size and book-to-market. (See the description of the 6 size/book-to-market portfolios.)
     
    SMB (Small Minus Big) is the average return on the three small portfolios minus the average return on the three big portfolios,
     
   
  SMB =

1/3 (Small Value + Small Neutral + Small Growth)
 - 1/3 (Big Value + Big Neutral + Big Growth).
 
     
    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).
 
     
    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, for a complete description of the factor returns.
     
Stocks:   Rm-Rf includes all NYSE, AMEX, and NASDAQ firms. SMB and HML 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, and (positive) book equity data for t-1.