Kenneth R. French - Data Library

Current Benchmark Returns

	March 2008	Last 3 Months	Last 12 Months
Fama/French Benchmark Factors Rm-Rf SMB HML	-0.91 0.75 -1.12	-10.16 -0.42 2.64	-9.92 -7.66 -16.13
Fama/French Benchmark Portfolios Small Value Small Neutral Small Growth Big Value Big Neutral Big Growth	-0.38 0.37 -2.33 -3.76 -1.24 0.42	-7.64 -8.09 -15.65 -12.03 -8.77 -9.31	-22.45 -12.85 -12.05 -19.89 -6.46 1.98

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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. The returns are now correct.

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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  New!

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   New!

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.

Note: We have changed the construction of the country portfolios using with-dividend returns. Until now, each firm's monthly with-dividend return RET t was weighted by market equity ME t-1 = ME t-2 * (1 + RET t-1), whereas from now on, each firm's monthly return RET t 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.

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