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  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.

Please see Changes in CRSP Data for descriptions of data changes by CRSP affecting the data series below.


 
October
2014
Last 3
Months
Last 12
Months
Fama/French 3 Research Factors

Rm-Rf
SMB
HML


2.52
4.16
-1.88


4.75
0.55
-4.40


15.55
-7.79
-1.86
Fama/French 5 Research Factors (2x3)

Rm-Rf
SMB
HML
RMW
CMA


2.52
3.69
-1.88
-0.81
-0.08


4.75
-0.10
-4.40
-0.17
-1.43


15.55
-8.03
-1.86
-0.02
-2.85
Fama/French Research Portfolios

Size and Book-to-Market Portfolios
Small Value
Small Neutral
Small Growth

Big Value
Big Neutral
Big Growth

Size and Operating Profitability Portfolios
Small Robust
Small Neutral
Small Weak

Big Robust
Big Neutral
Big Weak

Size and Investment Portfolios
Small Conservative
Small Neutral
Small Aggressive

Big Conservative
Big Neutral
Big Aggressive



5.15
6.02
7.13

1.03
1.96
2.81


4.45
6.76
5.97

2.30
1.99
2.40


4.96
6.54
5.78

2.77
2.11
2.12



2.26
4.94
6.89

2.57
3.12
6.74


5.10
4.60
4.42

5.16
3.86
6.17


2.52
5.50
5.27

5.24
4.21
5.34



5.98
10.89
7.45

14.55
16.33
16.81


7.96
8.02
8.71

18.11
14.00
17.39


8.08
9.17
7.16

13.13
15.62
19.76



U.S. Research Returns Data (Downloadable Files)

Changes in CRSP Data
Changes in Industry Specifications

Fama/French 3 Factors  Details
Fama/French 3 Factors [Weekly]  Details
Fama/French 3 Factors [Daily]  Details

Fama/French 5 Factors (2x3)  Details   NEW!

Fama/French 5 Factors (2x2)  Details   NEW!

Fama/French 5 Factors (2x2x2x2)  Details   NEW!

Portfolios Formed on Size  Details
Portfolios Formed on Size [ex. Dividends]  Details
Portfolios Formed on Size [Daily]  Details

Portfolios Formed on Book-to-Market  Details
Portfolios Formed on Book-to-Market [ex. Dividends]  Details
Portfolios Formed on Book-to-Market [Daily]  Details

Portfolios Formed on Operating Profitability  Details   NEW!
Portfolios Formed on Operating Profitability [ex. Dividends]  Details   NEW!

Portfolios Formed on Investment  Details   NEW!
Portfolios Formed on Investment [ex. Dividends]  Details   NEW!

4 Portfolios Formed on Size and Book-to-Market (2 x 2)  Details   NEW!
4 Portfolios Formed on Size and Book-to-Market (2 x 2) [ex. Dividends]  Details   NEW!

6 Portfolios Formed on Size and Book-to-Market (2 x 3)  Details
6 Portfolios Formed on Size and Book-to-Market (2 x 3) [ex. Dividends]  Details
6 Portfolios Formed on Size and Book-to-Market (2 x 3) [Weekly]  Details
6 Portfolios Formed on Size and Book-to-Market (2 x 3) [Daily]  Details

25 Portfolios Formed on Size and Book-to-Market (5 x 5)  Details
25 Portfolios Formed on Size and Book-to-Market (5 x 5) [ex. Dividends]  Details
25 Portfolios Formed on Size and Book-to-Market (5 x 5) [Daily]  Details

100 Portfolios Formed on Size and Book-to-Market (10 x 10)  Details
100 Portfolios Formed on Size and Book-to-Market (10 x 10) [ex. Dividends]  Details
100 Portfolios Formed on Size and Book-to-Market (10 x 10) [Daily]  Details

4 Portfolios Formed on Size and Operating Profitability (2 x 2)  Details   NEW!
4 Portfolios Formed on Size and Operating Profitability (2 x 2) [ex. Dividends]  Details   NEW!

6 Portfolios Formed on Size and Operating Profitability (2 x 3)  Details   NEW!
6 Portfolios Formed on Size and Operating Profitability (2 x 3) [ex. Dividends]  Details   NEW!

25 Portfolios Formed on Size and Operating Profitability (5 x 5)  Details   NEW!
25 Portfolios Formed on Size and Operating Profitability (5 x 5) [ex. Dividends]  Details   NEW!

100 Portfolios Formed on Size and Operating Profitability (10 x 10)  Details   NEW!
100 Portfolios Formed on Size and Operating Profitability (10 x 10) [ex. Dividends]  Details   NEW!

4 Portfolios Formed on Size and Investment (2 x 2)  Details   NEW!
4 Portfolios Formed on Size and Investment (2 x 2) [ex. Dividends]  Details   NEW!

6 Portfolios Formed on Size and Investment (2 x 3)  Details   NEW!
6 Portfolios Formed on Size and Investment (2 x 3) [ex. Dividends]  Details   NEW!

25 Portfolios Formed on Size and Investment (5 x 5)  Details   NEW!
25 Portfolios Formed on Size and Investment (5 x 5) [ex. Dividends]  Details   NEW!

100 Portfolios Formed on Size and Investment (10 x 10)  Details   NEW!
100 Portfolios Formed on Size and Investment (10 x 10) [ex. Dividends]  Details   NEW!

25 Portfolios Formed on Book-to-Market and Operating Profitability (5 x 5)  Details   NEW!
25 Portfolios Formed on Book-to-Market and Operating Profitability (5 x 5) [ex. Dividends]  Details   NEW!

25 Portfolios Formed on Book-to-Market and Investment (5 x 5)  Details   NEW!
25 Portfolios Formed on Book-to-Market and Investment (5 x 5) [ex. Dividends]  Details   NEW!

25 Portfolios Formed on Operating Profitability and Investment (5 x 5)  Details   NEW!
25 Portfolios Formed on Operating Profitability and Investment (5 x 5) [ex. Dividends]  Details   NEW!

32 Portfolios Formed on Size, Book-to-Market, and Operating Profitability (2 x 4 x 4)  Details   NEW!
32 Portfolios Formed on Size, Book-to-Market, and Operating Profitability (2 x 4 x 4) [ex. Dividends]  Details   NEW!

32 Portfolios Formed on Size, Book-to-Market, and Investment (2 x 4 x 4)  Details   NEW!
32 Portfolios Formed on Size, Book-to-Market, and Investment (2 x 4 x 4) [ex. Dividends]  Details   NEW!

32 Portfolios Formed on Size, Operating Profitability, and Investment (2 x 4 x 4)  Details   NEW!
32 Portfolios Formed on Size, Operating Profitability, and Investment (2 x 4 x 4) [ex. Dividends]  Details   NEW!

16 Portfolios Formed on Size, Book-to-Market, Operating Profitability, and Investment (2 x 2 x 2 x 2)  Details   NEW!
16 Portfolios Formed on Size, Book-to-Market, Operating Profitability, and Investment (2 x 2 x 2 x 2) [ex. Dividends]  Details   NEW!

Portfolios Formed on Earnings/Price  Details
Portfolios Formed on Earnings/Price [ex. Dividends]  Details

Portfolios Formed on Cashflow/Price  Details
Portfolios Formed on Cashflow/Price [ex. Dividends]  Details

Portfolios Formed on Dividend Yield  Details
Portfolios Formed on Dividend Yield [ex. Dividends]  Details

Momentum Factor (Mom)  Details
Momentum Factor (Mom) [Daily]  Details

6 Portfolios Formed on Size and Momentum (2 x 3)  Details
6 Portfolios Formed on Size and Momentum (2 x 3) [Daily]  Details

25 Portfolios Formed on Size and Momentum (5 x 5)  Details
25 Portfolios Formed on Size and Momentum (5 x 5) [Daily]  Details

10 Portfolios Formed on Momentum  Details
10 Portfolios Formed on Momentum [Daily]  Details

Short-Term Reversal Factor (ST Rev)  Details
Short-Term Reversal Factor (ST Rev) [Daily]  Details

6 Portfolios Formed on Size and Short-Term Reversal (2 x 3)  Details
6 Portfolios Formed on Size and Short-Term Reversal (2 x 3) [Daily]  Details

25 Portfolios Formed on Size and Short-Term Reversal (5 x 5)  Details
25 Portfolios Formed on Size and Short-Term Reversal (5 x 5) [Daily]  Details

10 Portfolios Formed on Short-Term Reversal  Details
10 Portfolios Formed on Short-Term Reversal [Daily]  Details

Long-Term Reversal Factor (LT Rev)  Details
Long-Term Reversal Factor (LT Rev) [Daily]  Details

6 Portfolios Formed on Size and Long-Term Reversal (2 x 3)  Details
6 Portfolios Formed on Size and Long-Term Reversal (2 x 3) [Daily]  Details

25 Portfolios Formed on Size and Long-Term Reversal (5 x 5)  Details
25 Portfolios Formed on Size and Long-Term Reversal (5 x 5) [Daily]  Details

10 Portfolios Formed on Long-Term Reversal  Details
10 Portfolios Formed on Long-Term Reversal [Daily]  Details

5 Industry Portfolios  Details  
5 Industry Portfolios [Daily]  Details  
5 Industry Portfolios [Old Specification]  Details

10 Industry Portfolios  Details  
10 Industry Portfolios [Daily]  Details  
10 Industry Portfolios [Old Specification]  Details

12 Industry Portfolios  Details  
12 Industry Portfolios [Daily]  Details  
12 Industry Portfolios [Old Specification]  Details

17 Industry Portfolios  Details  
17 Industry Portfolios [Daily]  Details  
17 Industry Portfolios [Old Specification]  Details

30 Industry Portfolios  Details  
30 Industry Portfolios [Daily]  Details  
30 Industry Portfolios [Old Specification]  Details

38 Industry Portfolios  Details  
38 Industry Portfolios [Daily]  Details  
38 Industry Portfolios [Old Specification]  Details

48 Industry Portfolios  Details  
48 Industry Portfolios [Daily]  Details  
48 Industry Portfolios [Old Specification]  Details

49 Industry Portfolios  Details  
49 Industry Portfolios [Daily]  Details  

Fama and French update the research data at least once a year, but we may update them at other times. Unlike the benchmark portfolios, we reform almost all these portfolios annually (UMD is formed monthly). In addition, we reconstruct the full history of returns each time we update the portfolios. (Historical returns can change, for example, if CRSP revises its database.) Although the portfolios include all NYSE, AMEX, and NASDAQ firms with the necessary data, the breakpoints use only NYSE firms. Missing data are indicated by -99.99 or -999.

Click here for Variable Definitions

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Historical Benchmark Returns (Downloadable Files)
 
Fama/French Benchmark Factors  Details
Fama/French Benchmark Portfolios  Details
 
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.
 

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U.S. Research Breakpoints Data (Downloadable Files)

ME Breakpoints  Details

BE/ME Breakpoints  Details

Operating Profitability Breakpoints  Details   NEW!

Investment Breakpoints  Details   NEW!

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 2013.

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Developed Market Factors and Returns  Details

Fama/French Factors  Details

Fama/French Global Factors  Details
Fama/French Global ex US Factors  Details
Fama/French European Factors  Details
Fama/French Japanese Factors  Details
Fama/French Asia Pacific ex Japan Factors  Details
Fama/French North American Factors  Details

6 Portfolios Formed on Size and Book-to-Market (2 x 3)  Details

6 Global Portfolios Formed on Size and Book-to-Market (2 x 3)  Details
6 Global ex US Portfolios Formed on Size and Book-to-Market (2 x 3)  Details
6 European Portfolios Formed on Size and Book-to-Market (2 x 3)  Details
6 Japanese Portfolios Formed on Size and Book-to-Market (2 x 3)  Details
6 Asia Pacific ex Japan Portfolios Formed on Size and Book-to-Market (2 x 3)  Details
6 North American Portfolios Formed on Size and Book-to-Market (2 x 3)  Details

25 Portfolios Formed on Size and Book-to-Market (5 x 5)  Details

25 Global Portfolios Formed on Size and Book-to-Market (5 x 5)  Details
25 Global ex US Portfolios Formed on Size and Book-to-Market (5 x 5)  Details
25 European Portfolios Formed on Size and Book-to-Market (5 x 5)  Details
25 Japanese Portfolios Formed on Size and Book-to-Market (5 x 5)  Details
25 Asia Pacific ex Japan Portfolios Formed on Size and Book-to-Market (5 x 5)  Details
25 North American Portfolios Formed on Size and Book-to-Market (5 x 5)  Details

6 Portfolios Formed on Size and Momentum (2 x 3)  Details

6 Global Portfolios Formed on Size and Momentum (2 x 3)  Details
6 Global ex US Portfolios Formed on Size and Momentum (2 x 3)  Details
6 European Portfolios Formed on Size and Momentum (2 x 3)  Details
6 Japanese Portfolios Formed on Size and Momentum (2 x 3)  Details
6 Asia Pacific ex Japan Portfolios Formed on Size and Momentum (2 x 3)  Details
6 North American Portfolios Formed on Size and Momentum (2 x 3)  Details

25 Portfolios Formed on Size and Momentum (5 x 5)  Details

25 Global Portfolios Formed on Size and Momentum (5 x 5)  Details
25 Global ex US Portfolios Formed on Size and Momentum (5 x 5)  Details
25 European Portfolios Formed on Size and Momentum (5 x 5)  Details
25 Japanese Portfolios Formed on Size and Momentum (5 x 5)  Details
25 Asia Pacific ex Japan Portfolios Formed on Size and Momentum (5 x 5)  Details
25 North American Portfolios Formed on Size and Momentum (5 x 5)  Details

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Copyright Kenneth R. French