| Daily Returns: |
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July 1, 1926 - September 30, 2024 |
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| Weekly Returns: |
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July 2, 1926 - September 30, 2024 |
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| Monthly Returns: |
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July 1926 - September 2024 |
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| Annual Returns: |
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1927 - 2023 |
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| Construction: |
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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.)
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SMB
(Small Minus Big) is the average return on the three small portfolios minus the
average return on the three big portfolios,
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SMB =
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1/3 (Small Value +
Small Neutral + Small Growth)
- 1/3 (Big Value + Big Neutral + Big Growth). |
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HML
(High Minus Low) is the average return on the two value portfolios minus the
average return on the two growth portfolios,
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HML =
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1/2 (Small Value +
Big Value)
- 1/2 (Small Growth + Big Growth). |
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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.
The one-month Treasury bill rate data through May 2024 are from Ibbotson Associates.
Starting from September 2024, the one-month Treasury bill rate is from ICE BofA US 1-Month Treasury Bill Index. |
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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. |
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| Stocks: |
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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. |
