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  Current Research Returns

Please note, CRSP just completed an extensive review of their shares outstanding data for 1925-1946. The file they released in January 2015 (with data through December 2014) incorporates over 4000 changes that affect 400 Permnos. As a result, many of the returns we report for 1925-1946 change in our January 2015 update and some of the changes are large.

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


 
June
2015
Last 3
Months
Last 12
Months
Fama/French 3 Research Factors

Rm-Rf
SMB
HML


-1.53
2.84
-1.02


0.39
0.77
-0.79


7.35
0.30
-13.54
Fama/French 5 Research Factors (2x3)

Rm-Rf
SMB
HML
RMW
CMA


-1.53
2.90
-1.02
1.01
-1.51


0.39
0.75
-0.79
-0.05
-2.81


7.35
-0.77
-13.54
2.85
-6.94
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



0.21
0.66
2.24

-1.71
-2.02
-1.69


1.61
2.33
-0.26

-1.81
-1.74
-1.96


-0.09
0.83
2.17

-2.25
-1.74
-1.50



0.22
0.79
2.34

0.56
0.46
0.02


0.46
1.90
0.96

0.62
-0.04
0.23


-0.93
0.25
3.54

-0.13
0.04
1.02



-1.39
5.65
13.95

-0.47
6.51
11.28


7.50
5.46
6.79

11.06
4.39
6.07


1.59
5.71
10.52

6.99
5.00
11.93

U.S. Research Returns Data (Downloadable Files)

Changes in CRSP Data

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

Fama/French 5 Factors (2x3)  TXT  CSV  Details
Fama/French 5 Factors (2x3) [Daily]  TXT  CSV  Details

Univariate sorts on Size, B/M, OP, and Inv

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

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

Portfolios Formed on Operating Profitability  TXT  CSV  Details
Portfolios Formed on Operating Profitability [ex. Dividends]  TXT  CSV  Details

Portfolios Formed on Investment  TXT  CSV  Details
Portfolios Formed on Investment [ex. Dividends]  TXT  CSV  Details

Bivariate sorts on Size, B/M, OP, and Inv

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

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

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

6 Portfolios Formed on Size and Operating Profitability (2 x 3)  TXT  CSV  Details
6 Portfolios Formed on Size and Operating Profitability (2 x 3) [ex. Dividends]  TXT  CSV  Details
6 Portfolios Formed on Size and Operating Profitability (2 x 3) [Daily]  TXT  CSV  Details

25 Portfolios Formed on Size and Operating Profitability (5 x 5)  TXT  CSV  Details
25 Portfolios Formed on Size and Operating Profitability (5 x 5) [ex. Dividends]  TXT  CSV  Details
25 Portfolios Formed on Size and Operating Profitability (5 x 5) [Daily]  TXT  CSV  Details

100 Portfolios Formed on Size and Operating Profitability (10 x 10)  TXT  CSV  Details
100 Portfolios Formed on Size and Operating Profitability (10 x 10) [ex. Dividends]  TXT  CSV  Details
100 Portfolios Formed on Size and Operating Profitability (10 x 10) [Daily]  TXT  CSV  Details

6 Portfolios Formed on Size and Investment (2 x 3)  TXT  CSV  Details
6 Portfolios Formed on Size and Investment (2 x 3) [ex. Dividends]  TXT  CSV  Details
6 Portfolios Formed on Size and Investment (2 x 3) [Daily]  TXT  CSV  Details

25 Portfolios Formed on Size and Investment (5 x 5)  TXT  CSV  Details
25 Portfolios Formed on Size and Investment (5 x 5) [ex. Dividends]  TXT  CSV  Details
25 Portfolios Formed on Size and Investment (5 x 5) [Daily]  TXT  CSV  Details

100 Portfolios Formed on Size and Investment (10 x 10)  TXT  CSV  Details
100 Portfolios Formed on Size and Investment (10 x 10) [ex. Dividends]  TXT  CSV  Details
100 Portfolios Formed on Size and Investment (10 x 10) [Daily]  TXT  CSV  Details

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

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

25 Portfolios Formed on Operating Profitability and Investment (5 x 5)  TXT  CSV  Details
25 Portfolios Formed on Operating Profitability and Investment (5 x 5) [ex. Dividends]  TXT  CSV  Details
25 Portfolios Formed on Operating Profitability and Investment (5 x 5) [Daily]  TXT  CSV  Details

Three-way sorts on Size, B/M, OP, and Inv

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

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

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

Univariate sorts on E/P, CF/P, and D/P

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

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

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

Sorts involving Prior Returns

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

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

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

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

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

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

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

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

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

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

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

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

Sorts involving Accruals, Market Beta, Net Share Issues, Daily Variance, and Daily Residual Variance

Portfolios Formed on Accruals  TXT  CSV  Details
25 Portfolios Formed on Size and Accruals  TXT  CSV  Details

Portfolios Formed on Market Beta  TXT  CSV  Details
25 Portfolios Formed on Size and Market Beta  TXT  CSV  Details

Portfolios Formed on Net Share Issues  TXT  CSV  Details
25 Portfolios Formed on Size and Net Share Issues  TXT  CSV  Details

Portfolios Formed on Variance  TXT  CSV  Details
25 Portfolios Formed on Size and Variance  TXT  CSV  Details

Portfolios Formed on Residual Variance  TXT  CSV  Details
25 Portfolios Formed on Size and Residual Variance  TXT  CSV  Details

Industry Portfolios

5 Industry Portfolios  TXT  CSV  Details
5 Industry Portfolios [ex. Dividends]  TXT  CSV  Details
5 Industry Portfolios [Daily]  TXT  CSV  Details

10 Industry Portfolios  TXT  CSV  Details
10 Industry Portfolios [ex. Dividends]  TXT  CSV  Details
10 Industry Portfolios [Daily]  TXT  CSV  Details

12 Industry Portfolios  TXT  CSV  Details
12 Industry Portfolios [ex. Dividends]  TXT  CSV  Details
12 Industry Portfolios [Daily]  TXT  CSV  Details

17 Industry Portfolios  TXT  CSV  Details
17 Industry Portfolios [ex. Dividends]  TXT  CSV  Details
17 Industry Portfolios [Daily]  TXT  CSV  Details

30 Industry Portfolios  TXT  CSV  Details
30 Industry Portfolios [ex. Dividends]  TXT  CSV  Details
30 Industry Portfolios [Daily]  TXT  CSV  Details

38 Industry Portfolios  TXT  CSV  Details
38 Industry Portfolios [ex. Dividends]  TXT  CSV  Details
38 Industry Portfolios [Daily]  TXT  CSV  Details

48 Industry Portfolios  TXT  CSV  Details
48 Industry Portfolios [ex. Dividends]  TXT  CSV  Details
48 Industry Portfolios [Daily]  TXT  CSV  Details

49 Industry Portfolios  TXT  CSV  Details
49 Industry Portfolios [ex. Dividends]  TXT  CSV  Details
49 Industry Portfolios [Daily]  TXT  CSV  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.

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.

We have revised the method for computing daily portfolio returns to match more closely the method for computing monthly portfolio returns. Daily files produced before May 2015 keep stocks in a portfolio until the next time it is reconstituted, at the end of June, regardless of the CRSP delist date. Also, a stock is excluded if its price is missing for more than 10 consecutive trading days. Daily files produced after May 2015 drop stocks from a portfolio (i) immediately after their CRSP delist date and (ii) during any period in which they are missing prices for more than 200 consecutive trading days.

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  TXT  CSV  Details

BE/ME Breakpoints  TXT  CSV  Details

Operating Profitability Breakpoints  TXT  CSV  Details

Investment Breakpoints  TXT  CSV  Details

E/P Breakpoints  TXT  CSV  Details

CF/P Breakpoints  TXT  CSV  Details

D/P Breakpoints  TXT  CSV  Details

Prior (2-12) Return Breakpoints  TXT  CSV  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 2014.

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Developed Market Factors and Returns  Details

Fama/French Factors  Details

Fama/French Global Factors  TXT  CSV  Details
Fama/French Global ex US Factors  TXT  CSV  Details
Fama/French European Factors  TXT  CSV  Details
Fama/French Japanese Factors  TXT  CSV  Details
Fama/French Asia Pacific ex Japan Factors  TXT  CSV  Details
Fama/French North American Factors  TXT  CSV  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)  TXT  CSV  Details
6 Global ex US Portfolios Formed on Size and Book-to-Market (2 x 3)  TXT  CSV  Details
6 European Portfolios Formed on Size and Book-to-Market (2 x 3)  TXT  CSV  Details
6 Japanese Portfolios Formed on Size and Book-to-Market (2 x 3)  TXT  CSV  Details
6 Asia Pacific ex Japan Portfolios Formed on Size and Book-to-Market (2 x 3)  TXT  CSV  Details
6 North American Portfolios Formed on Size and Book-to-Market (2 x 3)  TXT  CSV  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)  TXT  CSV  Details
25 Global ex US Portfolios Formed on Size and Book-to-Market (5 x 5)  TXT  CSV  Details
25 European Portfolios Formed on Size and Book-to-Market (5 x 5)  TXT  CSV  Details
25 Japanese Portfolios Formed on Size and Book-to-Market (5 x 5)  TXT  CSV  Details
25 Asia Pacific ex Japan Portfolios Formed on Size and Book-to-Market (5 x 5)  TXT  CSV  Details
25 North American Portfolios Formed on Size and Book-to-Market (5 x 5)  TXT  CSV  Details

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

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

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

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

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Copyright Kenneth R. French