Kenneth R. French - Data Library






			NEW!

Current Research Returns

We have revised the market return used to measure Rm-Rf in the US. It is now the 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. Previously we used the CRSP NYSE/AMEX/NASDAQ Value-Weighted Market Index as the proxy for the market return. The set of firms in the new series is more consistent with the universe used to compute the other US returns.

	April 2013	Last 3 Months	Last 12 Months
Fama/French Research Factors Rm-Rf SMB HML	1.56 -2.42 0.39	7.01 -2.10 0.80	17.13 -1.27 13.03
Fama/French Research Portfolios Small Value Small Neutral Small Growth Big Value Big Neutral Big Growth	-0.40 -0.60 -0.84 2.14 1.47 1.80	6.00 4.23 5.44 7.86 7.27 6.83	23.91 18.19 14.40 29.58 17.70 13.02

Current Benchmark Returns

Because the benchmark factors are currently being used we have decided to continue updating them beyond June 2012.

	April 2013	Last 3 Months	Last 12 Months
Fama/French Benchmark Factors Rm-Rf SMB HML	1.57 -2.20 -0.05	7.04 -1.69 -0.02	17.06 -1.47 8.00
Fama/French Benchmark Portfolios Small Value Small Neutral Small Growth Big Value Big Neutral Big Growth	-0.58 -0.53 -0.05 2.31 1.24 1.88	5.55 4.73 6.70 8.35 6.46 7.25	18.69 20.60 13.37 24.30 19.16 13.61

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Historical Benchmark Returns (Downloadable Files)

Fama/French Benchmark Factors Details
Monthly

Quarterly

Annual

Fama/French Benchmark Portfolios Details
Monthly

Quarterly

Annual

The benchmark returns are designed for investors seeking benchmarks for asset class portfolio returns. (Fama and French, as well as other academics, use the research factors when explaining the cross-section of returns with the three factor model.) We update the benchmark returns approximately two weeks after the end of each month. The benchmark factors summarize (1) the excess return on the market (Rm-Rf), (2) the performance of small stocks relative to big stocks (SMB, Small Minus Big), and (3) the performance of value stocks relative to growth stocks (HML, High Minus Low). The Fama/French benchmark portfolios are rebalanced quarterly using independent sorts on size (market equity) and the ratio of book equity to market equity. The book-to-market ratio is high for value stocks and low for growth stocks.

Note: The market returns in the quarterly benchmark file for September 1926 to September 2006 were wrong because the riskfree rate was subtracted twice. As October 2006, the returns were corrected historically and going forward.

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U.S. Research Breakpoints Data (Downloadable Files)

ME Breakpoints  Details

BE/ME Breakpoints  Details

E/P Breakpoints  Details

CF/P Breakpoints  Details

D/P Breakpoints  Details

Prior (2-12) Return Breakpoints  Details

Click here for Variable Definitions

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U.S. Book Equity Data (Downloadable File)

Historical Book Equity Data Details

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International Research Returns Data (Downloadable Files)

Country Portfolios formed on B/M, E/P, CE/P, and D/P  Details

Country Portfolios formed on B/M, E/P, CE/P, and D/P [ex. Dividends]  Details

Index Portfolios formed on B/M, E/P, CE/P, and D/P  Details

Index Portfolios formed on B/M, E/P, CE/P, and D/P [ex. Dividends]  Details

We form value and growth portfolios in each country using four ratios: book-to-market (B/M); earnings-price (E/P); cash earnings to price (CE/P); and dividend yield (D/P). Firms in the country portfolios are value-weighted. To construct index returns, we weight each country in proportion to its EAFE weight. The raw data are from Morgan Stanley Capital International for 1975 to 2006 and from Bloomberg for 2007 to 2012.

Notes:
1. We have changed the construction of the country portfolios using with-dividend returns. In the files produced before June 2007, each firm's return for month t (RET t) is weighted by market equity ME t-1 = ME t-2 * (1 + RET t-1). Each firm's return for month t in files produced after June 2007 is weighted by ME t-1 = ME t-2 * (1 + RETX t-1) where RETX is the without-dividend return. The country and index files using with-dividend returns have been changed.

2. We have changed the construction of the country portfolios. Previously, zero dividend firms were included in the growth portfolio formed on D/P. As of January 2008, these zero dividend firms are instead put into their own bucket. The historical data in the country and index files has been updated to reflect this change as well.

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