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Current Research Returns
In this paper Fama and French explain how they produce the U.S. factor returns in their Data Library and they estimate the effect of the two changes in their process and five major CRSP data-improvement projects on the average values of SMB and HML.
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September
2024
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Last 3
Months
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Last 12
Months
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Fama/French 3 Research Factors
Rm-Rf
SMB
HML
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1.74
-0.17
-2.60
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4.70
2.89
1.81
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30.04
-10.66
0.87
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Fama/French 5 Research Factors (2x3)
Rm-Rf
SMB
HML
RMW
CMA
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1.74
-1.03
-2.60
0.03
-0.26
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4.70
3.41
1.81
1.14
1.10
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30.04
-11.02
0.87
3.42
-8.72
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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 |
-0.02
0.99
1.49
-0.83
0.94
2.86
1.74
0.67
0.44
2.23
1.84
3.46
0.98
0.61
0.80
1.96
1.81
2.66
|
10.61
8.31
10.14
8.14
7.25
5.00
10.84
9.99
8.42
5.47
6.25
5.60
9.67
9.75
8.12
4.77
8.58
4.13
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27.54
22.68
23.83
37.06
29.92
39.03
20.64
29.42
22.33
38.07
36.84
29.53
25.82
22.66
24.65
29.32
31.04
47.93
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U.S. Research Returns Data (Downloadable Files)
Changes in CRSP
Data
Fama/French 3 Factors
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Historical Archives
Fama/French 3 Factors [Weekly]
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Fama/French 3 Factors [Daily]
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Fama/French 5 Factors (2x3)
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Historical Archives
Fama/French 5 Factors (2x3) [Daily]
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Univariate sorts on Size, B/M, OP, and Inv
Portfolios Formed on Size
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Portfolios Formed on Size [ex.Dividends]
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Portfolios Formed on Size [Daily]
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Portfolios Formed on Book-to-Market
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Portfolios Formed on Book-to-Market [ex. Dividends]
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Portfolios Formed on Book-to-Market [Daily]
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Portfolios Formed on Operating Profitability
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Portfolios Formed on Operating Profitability [ex. Dividends]
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Portfolios Formed on Operating Profitability [Daily]
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Portfolios Formed on Investment
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Portfolios Formed on Investment [ex. Dividends]
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Portfolios Formed on Investment [Daily]
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Bivariate sorts on Size, B/M, OP and Inv
6 Portfolios Formed on Size and Book-to-Market (2 x 3)
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Historical Archives
6 Portfolios Formed on Size and Book-to-Market (2 x 3) [ex. Dividends]
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6 Portfolios Formed on Size and Book-to-Market (2 x 3) [Weekly]
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6 Portfolios Formed on Size and Book-to-Market (2 x 3) [Daily]
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25 Portfolios Formed on Size and Book-to-Market (5 x 5)
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25 Portfolios Formed on Size and Book-to-Market (5 x 5) [ex. Dividends]
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25 Portfolios Formed on Size and Book-to-Market (5 x 5) [Daily]
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100 Portfolios Formed on Size and Book-to-Market (10 x 10)
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100 Portfolios Formed on Size and Book-to-Market (10 x 10) [ex. Dividends]
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100 Portfolios Formed on Size and Book-to-Market (10 x 10) [Daily]
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6 Portfolios Formed on Size and Operating Profitability (2 x 3)
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Historical Archives
6 Portfolios Formed on Size and Operating Profitability (2 x 3) [ex. Dividends]
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6 Portfolios Formed on Size and Operating Profitability (2 x 3) [Daily]
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25 Portfolios Formed on Size and Operating Profitability (5 x 5)
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25 Portfolios Formed on Size and Operating Profitability (5 x 5) [ex. Dividends]
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25 Portfolios Formed on Size and Operating Profitability (5 x 5) [Daily]
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100 Portfolios Formed on Size and Operating Profitability (10 x 10)
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100 Portfolios Formed on Size and Operating Profitability (10 x 10) [ex. Dividends]
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100 Portfolios Formed on Size and Operating Profitability (10 x 10) [Daily]
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6 Portfolios Formed on Size and Investment (2 x 3)
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Historical Archives
6 Portfolios Formed on Size and Investment (2 x 3) [ex. Dividends]
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6 Portfolios Formed on Size and Investment (2 x 3) [Daily]
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25 Portfolios Formed on Size and Investment (5 x 5)
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25 Portfolios Formed on Size and Investment (5 x 5) [ex. Dividends]
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25 Portfolios Formed on Size and Investment (5 x 5) [Daily]
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100 Portfolios Formed on Size and Investment (10 x 10)
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100 Portfolios Formed on Size and Investment (10 x 10) [ex. Dividends]
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100 Portfolios Formed on Size and Investment (10 x 10) [Daily]
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25 Portfolios Formed on Book-to-Market and Operating Profitability (5 x 5)
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25 Portfolios Formed on Book-to-Market and Operating Profitability (5 x 5) [ex. Dividends]
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25 Portfolios Formed on Book-to-Market and Operating Profitability (5 x 5) [Daily]
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25 Portfolios Formed on Book-to-Market and Investment (5 x 5)
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25 Portfolios Formed on Book-to-Market and Investment (5 x 5) [ex. Dividends]
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25 Portfolios Formed on Book-to-Market and Investment (5 x 5) [Daily]
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25 Portfolios Formed on Operating Profitability and Investment (5 x 5)
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25 Portfolios Formed on Operating Profitability and Investment (5 x 5) [ex. Dividends]
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25 Portfolios Formed on Operating Profitability and Investment (5 x 5) [Daily]
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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)
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32 Portfolios Formed on Size, Book-to-Market, and Operating Profitability (2 x 4 x 4) [ex. Dividends]
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32 Portfolios Formed on Size, Book-to-Market, and Investment (2 x 4 x 4)
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32 Portfolios Formed on Size, Book-to-Market, and Investment (2 x 4 x 4) [ex. Dividends]
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32 Portfolios Formed on Size, Operating Profitability, and Investment (2 x 4 x 4)
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32 Portfolios Formed on Size, Operating Profitability, and Investment (2 x 4 x 4) [ex. Dividends]
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Univariate sorts on E/P, CF/P, and D/P
Portfolios Formed on Earnings/Price
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Portfolios Formed on Earnings/Price [ex. Dividends]
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Portfolios Formed on Cashflow/Price
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Portfolios Formed on Cashflow/Price [ex. Dividends]
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Portfolios Formed on Dividend Yield
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Portfolios Formed on Dividend Yield [ex. Dividends]
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Bivariate sorts on Size, E/P, CF/P, and D/P
6 Portfolios Formed on Size and Earnings/Price
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6 Portfolios Formed on Size and Earnings/Price [ex. Dividends]
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6 Portfolios Formed on Size and Cashflow/Price
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6 Portfolios Formed on Size and Cashflow/Price [ex. Dividends]
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6 Portfolios Formed on Size and Dividend Yield
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6 Portfolios Formed on Size and Dividend Yield [ex. Dividends]
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Sorts involving Prior Returns
Momentum Factor (Mom)
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Momentum Factor (Mom) [Daily]
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6 Portfolios Formed on Size and Momentum (2 x 3)
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6 Portfolios Formed on Size and Momentum (2 x 3) [Daily]
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25 Portfolios Formed on Size and Momentum (5 x 5)
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25 Portfolios Formed on Size and Momentum (5 x 5) [Daily]
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10 Portfolios Formed on Momentum
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10 Portfolios Formed on Momentum [Daily]
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Short-Term Reversal Factor (ST Rev)
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Short-Term Reversal Factor (ST Rev) [Daily]
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6 Portfolios Formed on Size and Short-Term Reversal (2 x 3)
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6 Portfolios Formed on Size and Short-Term Reversal (2 x 3) [Daily]
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25 Portfolios Formed on Size and Short-Term Reversal (5 x 5)
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25 Portfolios Formed on Size and Short-Term Reversal (5 x 5) [Daily]
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10 Portfolios Formed on Short-Term Reversal
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10 Portfolios Formed on Short-Term Reversal [Daily]
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Long-Term Reversal Factor (LT Rev)
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Long-Term Reversal Factor (LT Rev) [Daily]
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6 Portfolios Formed on Size and Long-Term Reversal (2 x 3)
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6 Portfolios Formed on Size and Long-Term Reversal (2 x 3) [Daily]
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25 Portfolios Formed on Size and Long-Term Reversal (5 x 5)
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25 Portfolios Formed on Size and Long-Term Reversal (5 x 5) [Daily]
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10 Portfolios Formed on Long-Term Reversal
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10 Portfolios Formed on Long-Term Reversal [Daily]
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Sorts involving Accruals, Market Beta, Net Share Issues, Daily Variance, and Daily Residual Variance
Portfolios Formed on Accruals
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25 Portfolios Formed on Size and Accruals
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Portfolios Formed on Market Beta
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25 Portfolios Formed on Size and Market Beta
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Portfolios Formed on Net Share Issues
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25 Portfolios Formed on Size and Net Share Issues
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Portfolios Formed on Variance
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25 Portfolios Formed on Size and Variance
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Portfolios Formed on Residual Variance
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25 Portfolios Formed on Size and Residual Variance
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Industry Portfolios
5 Industry Portfolios
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5 Industry Portfolios [ex. Dividends]
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5 Industry Portfolios [Daily]
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10 Industry Portfolios
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10 Industry Portfolios [ex. Dividends]
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10 Industry Portfolios [Daily]
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12 Industry Portfolios
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12 Industry Portfolios [ex. Dividends]
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12 Industry Portfolios [Daily]
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17 Industry Portfolios
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17 Industry Portfolios [ex. Dividends]
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17 Industry Portfolios [Daily]
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30 Industry Portfolios
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30 Industry Portfolios [ex. Dividends]
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30 Industry Portfolios [Daily]
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38 Industry Portfolios
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38 Industry Portfolios [ex. Dividends]
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38 Industry Portfolios [Daily]
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48 Industry Portfolios
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48 Industry Portfolios [ex. Dividends]
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48 Industry Portfolios [Daily]
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49 Industry Portfolios
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49 Industry Portfolios [ex. Dividends]
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49 Industry Portfolios [Daily]
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The momentum and short term reversal portfolios are reconstituted monthly and the other research portfolios are reconstituted annually.
We reconstruct the full history of returns each month when 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.
In December 2012, we 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 (i) a CRSP share code of 10 or 11 at the beginning of month t,
(ii) good shares and price data at the beginning of t, and (iii) 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.
In January 2015, CRSP 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 above.
In May 2015, we made two changes in the way we compute daily portfolio returns so the process is closer to the way we compute monthly portfolio returns. In daily files produced in May 2015 or thereafter, stocks are dropped from a portfolio immediately after their CRSP delist date; in files produced before May 2015, those stocks are held until the portfolio is reconstituted, at the end of June. Also, in daily files produced before May 2015 we exclude a stock from portfolios during any period in which it is missing prices for more than 10 consecutive trading days; in daily files produced in May 2015 and thereafter, we exclude a stock if there is no price for more than 200 consecutive trading days.
Because of changes in the treatment of deferred taxes described in FASB 109,
files produced from August 2016 on no longer add Deferred Taxes and Investment Tax Credit to BE for fiscal years ending in 1993 or later.
In August 2018, we have revised the method for computing Operating Profitability.
We now include minority interest in the denominator, so the operating profitability ratio used to form portfolios in June of year t is annual
revenues minus cost of goods sold, interest expense, and selling, general, and administrative expense divided by the sum of book equity and
minority interest for the last fiscal year ending in t-1.
In September 2020, we removed the adjustment to book equity related to FASB Statement No. 106, Employers' Accounting for Postretirement Benefits Other Than Pensions, which was issued in 1990. This adjustment affects portfolios formed on book-to-market equity and portfolios formed on profitability, which is defined as operating income before depreciation and amortization minus interest expense scaled by book equity.
In September 2021, we transitioned from using our proprietary links between CRSP and Compustat data to those provided by CRSP after examining their consistency.
We also updated the eligible universe through time to apply time-sensitive evaluation of stocks on criteria such as whether they are investment funds.
We now provide historical archives of the US monthly Fama/French 3 factors and 5 factors, as well as the 2x3 bivariate portfolio sorts used to construct the factors for each July data cut. The July cut has data through July and was released in August of that year.
Click here for Variable Definitions
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U.S. Research Breakpoints Data (Downloadable Files)
ME Breakpoints
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BE/ME Breakpoints
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Operating Profitability Breakpoints
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Investment Breakpoints
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E/P Breakpoints
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CF/P Breakpoints
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D/P Breakpoints
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Prior (2-12) Return Breakpoints
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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 present.
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Developed Markets Factors and Returns Details
Fama/French Factors
Fama/French Developed 3 Factors
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Fama/French Developed 3 Factors [Daily]
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Fama/French Developed ex US 3 Factors
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Fama/French Developed ex US 3 Factors [Daily]
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Fama/French European 3 Factors
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Fama/French European 3 Factors [Daily]
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Fama/French Japanese 3 Factors
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Fama/French Japanese 3 Factors [Daily]
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Fama/French Asia Pacific ex Japan 3 Factors
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Fama/French Asia Pacific ex Japan 3 Factors [Daily]
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Fama/French North American 3 Factors
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Fama/French North American 3 Factors [Daily]
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Fama/French Developed 5 Factors
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Fama/French Developed 5 Factors [Daily]
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Fama/French Developed ex US 5 Factors
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Fama/French Developed ex US 5 Factors [Daily]
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Fama/French European 5 Factors
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Fama/French European 5 Factors [Daily]
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Fama/French Japanese 5 Factors
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Fama/French Japanese 5 Factors [Daily]
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Fama/French Asia Pacific ex Japan 5 Factors
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Fama/French Asia Pacific ex Japan 5 Factors [Daily]
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Fama/French North American 5 Factors
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Fama/French North American 5 Factors [Daily]
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Developed Momentum Factor (Mom)
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Developed Momentum Factor (Mom) [Daily]
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Developed ex US Momentum Factor (Mom)
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Developed ex US Momentum Factor (Mom) [Daily]
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European Momentum Factor (Mom)
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European Momentum Factor (Mom) [Daily]
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Japanese Momentum Factor (Mom)
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Japanese Momentum Factor (Mom) [Daily]
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Asia Pacific ex Japan Momentum Factor (Mom)
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Asia Pacific ex Japan Momentum Factor (Mom) [Daily]
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North American Momentum Factor (Mom)
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North American Momentum Factor (Mom) [Daily]
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6 Portfolios Formed on Size and Book-to-Market (2 x 3)
6 Developed Portfolios Formed on Size and Book-to-Market (2 x 3)
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6 Developed Portfolios Formed on Size and Book-to-Market (2 x 3) [Daily]
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6 Developed ex US Portfolios Formed on Size and Book-to-Market (2 x 3)
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6 Developed ex US Portfolios Formed on Size and Book-to-Market (2 x 3) [Daily]
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6 European Portfolios Formed on Size and Book-to-Market (2 x 3)
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6 European Portfolios Formed on Size and Book-to-Market (2 x 3) [Daily]
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6 Japanese Portfolios Formed on Size and Book-to-Market (2 x 3)
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6 Japanese Portfolios Formed on Size and Book-to-Market (2 x 3) [Daily]
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6 Asia Pacific ex Japan Portfolios Formed on Size and Book-to-Market (2 x 3)
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6 Asia Pacific ex Japan Portfolios Formed on Size and Book-to-Market (2 x 3) [Daily]
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6 North American Portfolios Formed on Size and Book-to-Market (2 x 3)
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6 North American Portfolios Formed on Size and Book-to-Market (2 x 3) [Daily]
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25 Portfolios Formed on Size and Book-to-Market (5 x 5)
25 Developed Portfolios Formed on Size and Book-to-Market (5 x 5)
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25 Developed Portfolios Formed on Size and Book-to-Market (5 x 5) [Daily]
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25 Developed ex US Portfolios Formed on Size and Book-to-Market (5 x 5)
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25 Developed ex US Portfolios Formed on Size and Book-to-Market (5 x 5) [Daily]
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25 European Portfolios Formed on Size and Book-to-Market (5 x 5)
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25 European Portfolios Formed on Size and Book-to-Market (5 x 5) [Daily]
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25 Japanese Portfolios Formed on Size and Book-to-Market (5 x 5)
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25 Japanese Portfolios Formed on Size and Book-to-Market (5 x 5) [Daily]
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25 Asia Pacific ex Japan Portfolios Formed on Size and Book-to-Market (5 x 5)
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25 Asia Pacific ex Japan Portfolios Formed on Size and Book-to-Market (5 x 5) [Daily]
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25 North American Portfolios Formed on Size and Book-to-Market (5 x 5)
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25 North American Portfolios Formed on Size and Book-to-Market (5 x 5) [Daily]
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6 Portfolios Formed on Size and Operating Profitability (2 x 3)
6 Developed Portfolios Formed on Size and Operating Profitability (2 x 3)
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6 Developed Portfolios Formed on Size and Operating Profitability (2 x 3) [Daily]
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6 Developed ex US Portfolios Formed on Size and Operating Profitability (2 x 3)
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6 Developed ex US Portfolios Formed on Size and Operating Profitability (2 x 3) [Daily]
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6 European Portfolios Formed on Size and Operating Profitability (2 x 3)
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6 European Portfolios Formed on Size and Operating Profitability (2 x 3) [Daily]
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6 Japanese Portfolios Formed on Size and Operating Profitability (2 x 3)
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6 Japanese Portfolios Formed on Size and Operating Profitability (2 x 3) [Daily]
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6 Asia Pacific ex Japan Portfolios Formed on Size and Operating Profitability (2 x 3)
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6 Asia Pacific ex Japan Portfolios Formed on Size and Operating Profitability (2 x 3) [Daily]
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6 North American Portfolios Formed on Size and Operating Profitability (2 x 3)
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6 North American Portfolios Formed on Size and Operating Profitability (2 x 3) [Daily]
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25 Portfolios Formed on Size and Operating Profitability (5 x 5)
25 Developed Portfolios Formed on Size and Operating Profitability (5 x 5)
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Details
25 Developed Portfolios Formed on Size and Operating Profitability (5 x 5) [Daily]
TXT
CSV
Details
25 Developed ex US Portfolios Formed on Size and Operating Profitability (5 x 5)
TXT
CSV
Details
25 Developed ex US Portfolios Formed on Size and Operating Profitability (5 x 5) [Daily]
TXT
CSV
Details
25 European Portfolios Formed on Size and Operating Profitability (5 x 5)
TXT
CSV
Details
25 European Portfolios Formed on Size and Operating Profitability (5 x 5) [Daily]
TXT
CSV
Details
25 Japanese Portfolios Formed on Size and Operating Profitability (5 x 5)
TXT
CSV
Details
25 Japanese Portfolios Formed on Size and Operating Profitability (5 x 5) [Daily]
TXT
CSV
Details
25 Asia Pacific ex Japan Portfolios Formed on Size and Operating Profitability (5 x 5)
TXT
CSV
Details
25 Asia Pacific ex Japan Portfolios Formed on Size and Operating Profitability (5 x 5) [Daily]
TXT
CSV
Details
25 North American Portfolios Formed on Size and Operating Profitability (5 x 5)
TXT
CSV
Details
25 North American Portfolios Formed on Size and Operating Profitability (5 x 5) [Daily]
TXT
CSV
Details
6 Portfolios Formed on Size and Investment (2 x 3)
6 Developed Portfolios Formed on Size and Investment (2 x 3)
TXT
CSV
Details
6 Developed Portfolios Formed on Size and Investment (2 x 3) [Daily]
TXT
CSV
Details
6 Developed ex US Portfolios Formed on Size and Investment (2 x 3)
TXT
CSV
Details
6 Developed ex US Portfolios Formed on Size and Investment (2 x 3) [Daily]
TXT
CSV
Details
6 European Portfolios Formed on Size and Investment (2 x 3)
TXT
CSV
Details
6 European Portfolios Formed on Size and Investment (2 x 3) [Daily]
TXT
CSV
Details
6 Japanese Portfolios Formed on Size and Investment (2 x 3)
TXT
CSV
Details
6 Japanese Portfolios Formed on Size and Investment (2 x 3) [Daily]
TXT
CSV
Details
6 Asia Pacific ex Japan Portfolios Formed on Size and Investment (2 x 3)
TXT
CSV
Details
6 Asia Pacific ex Japan Portfolios Formed on Size and Investment (2 x 3) [Daily]
TXT
CSV
Details
6 North American Portfolios Formed on Size and Investment (2 x 3)
TXT
CSV
Details
6 North American Portfolios Formed on Size and Investment (2 x 3) [Daily]
TXT
CSV
Details
25 Portfolios Formed on Size and Investment (5 x 5)
25 Developed Portfolios Formed on Size and Investment (5 x 5)
TXT
CSV
Details
25 Developed Portfolios Formed on Size and Investment (5 x 5) [Daily]
TXT
CSV
Details
25 Developed ex US Portfolios Formed on Size and Investment (5 x 5)
TXT
CSV
Details
25 Developed ex US Portfolios Formed on Size and Investment (5 x 5) [Daily]
TXT
CSV
Details
25 European Portfolios Formed on Size and Investment (5 x 5)
TXT
CSV
Details
25 European Portfolios Formed on Size and Investment (5 x 5) [Daily]
TXT
CSV
Details
25 Japanese Portfolios Formed on Size and Investment (5 x 5)
TXT
CSV
Details
25 Japanese Portfolios Formed on Size and Investment (5 x 5) [Daily]
TXT
CSV
Details
25 Asia Pacific ex Japan Portfolios Formed on Size and Investment (5 x 5)
TXT
CSV
Details
25 Asia Pacific ex Japan Portfolios Formed on Size and Investment (5 x 5) [Daily]
TXT
CSV
Details
25 North American Portfolios Formed on Size and Investment (5 x 5)
TXT
CSV
Details
25 North American Portfolios Formed on Size and Investment (5 x 5) [Daily]
TXT
CSV
Details
6 Portfolios Formed on Size and Momentum (2 x 3)
6 Developed Portfolios Formed on Size and Momentum (2 x 3)
TXT
CSV
Details
6 Developed Portfolios Formed on Size and Momentum (2 x 3) [Daily]
TXT
CSV
Details
6 Developed ex US Portfolios Formed on Size and Momentum (2 x 3)
TXT
CSV
Details
6 Developed ex US Portfolios Formed on Size and Momentum (2 x 3) [Daily]
TXT
CSV
Details
6 European Portfolios Formed on Size and Momentum (2 x 3)
TXT
CSV
Details
6 European Portfolios Formed on Size and Momentum (2 x 3) [Daily]
TXT
CSV
Details
6 Japanese Portfolios Formed on Size and Momentum (2 x 3)
TXT
CSV
Details
6 Japanese Portfolios Formed on Size and Momentum (2 x 3) [Daily]
TXT
CSV
Details
6 Asia Pacific ex Japan 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) [Daily]
TXT
CSV
Details
6 North American Portfolios Formed on Size and Momentum (2 x 3)
TXT
CSV
Details
6 North American Portfolios Formed on Size and Momentum (2 x 3) [Daily]
TXT
CSV
Details
25 Portfolios Formed on Size and Momentum (5 x 5)
25 Developed Portfolios Formed on Size and Momentum (5 x 5)
TXT
CSV
Details
25 Developed Portfolios Formed on Size and Momentum (5 x 5) [Daily]
TXT
CSV
Details
25 Developed ex US Portfolios Formed on Size and Momentum (5 x 5)
TXT
CSV
Details
25 Developed ex US Portfolios Formed on Size and Momentum (5 x 5) [Daily]
TXT
CSV
Details
25 European Portfolios Formed on Size and Momentum (5 x 5)
TXT
CSV
Details
25 European Portfolios Formed on Size and Momentum (5 x 5) [Daily]
TXT
CSV
Details
25 Japanese Portfolios Formed on Size and Momentum (5 x 5)
TXT
CSV
Details
25 Japanese Portfolios Formed on Size and Momentum (5 x 5) [Daily]
TXT
CSV
Details
25 Asia Pacific ex Japan 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) [Daily]
TXT
CSV
Details
25 North American Portfolios Formed on Size and Momentum (5 x 5)
TXT
CSV
Details
25 North American Portfolios Formed on Size and Momentum (5 x 5) [Daily]
TXT
CSV
Details
32 Portfolios Formed on Size, Book-to-Market, Operating Profitability, and Investment (2 x 4 x 4)
32 Developed Portfolios Formed on Size, Book-to-Market, and Operating Profitability (2 x 4 x 4)
TXT
CSV
Details
32 Developed ex US Portfolios Formed on Size, Book-to-Market, and Operating Profitability (2 x 4 x 4)
TXT
CSV
Details
32 European Portfolios Formed on Size, Book-to-Market, and Operating Profitability (2 x 4 x 4)
TXT
CSV
Details
32 Japanese Portfolios Formed on Size, Book-to-Market, and Operating Profitability (2 x 4 x 4)
TXT
CSV
Details
32 Asia Pacific ex Japan Portfolios Formed on Size, Book-to-Market, and Operating Profitability (2 x 4 x 4)
TXT
CSV
Details
32 North American Portfolios Formed on Size, Book-to-Market, and Operating Profitability (2 x 4 x 4)
TXT
CSV
Details
32 Developed Portfolios Formed on Size, Book-to-Market, and Investment (2 x 4 x 4)
TXT
CSV
Details
32 Developed ex US Portfolios Formed on Size, Book-to-Market, and Investment (2 x 4 x 4)
TXT
CSV
Details
32 European Portfolios Formed on Size, Book-to-Market, and Investment (2 x 4 x 4)
TXT
CSV
Details
32 Japanese Portfolios Formed on Size, Book-to-Market, and Investment (2 x 4 x 4)
TXT
CSV
Details
32 Asia Pacific ex Japan Portfolios Formed on Size, Book-to-Market, and Investment (2 x 4 x 4)
TXT
CSV
Details
32 North American Portfolios Formed on Size, Book-to-Market, and Investment (2 x 4 x 4)
TXT
CSV
Details
32 Developed Portfolios Formed on Size, Operating Profitability, and Investment (2 x 4 x 4)
TXT
CSV
Details
32 Developed ex US Portfolios Formed on Size, Operating Profitability, and Investment (2 x 4 x 4)
TXT
CSV
Details
32 European Portfolios Formed on Size, Operating Profitability, and Investment (2 x 4 x 4)
TXT
CSV
Details
32 Japanese Portfolios Formed on Size, Operating Profitability, and Investment (2 x 4 x 4)
TXT
CSV
Details
32 Asia Pacific ex Japan Portfolios Formed on Size, Operating Profitability, and Investment (2 x 4 x 4)
TXT
CSV
Details
32 North American Portfolios Formed on Size, Operating Profitability, and Investment (2 x 4 x 4)
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CSV
Details
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Emerging Markets Factors and Returns
Fama/French Factors
Fama/French Emerging 5 Factors
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CSV
Details
Emerging Momentum Factor (Mom)
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CSV
Details
6 Portfolios Formed on Size, Book-to-Market, Operating Profitability, Investment, and Momentum (2 x 3)
6 Emerging Market Portfolios Formed on Size and Book-to-Market (2 x 3)
TXT
CSV
Details
6 Emerging Market Portfolios Formed on Size and Operating Profitability (2 x 3)
TXT
CSV
Details
6 Emerging Market Portfolios Formed on Size and Investment (2 x 3)
TXT
CSV
Details
6 Emerging Market Portfolios Formed on Size and Momentum (2 x 3)
TXT
CSV
Details
4 Portfolios Formed on Book-to-Market, Operating Profitability and Investment (2 x 2)
4 Emerging Market Portfolios Formed on Book-to-Market and Operating Profitability (2 x 2)
TXT
CSV
Details
4 Emerging Market Portfolios Formed on Operating Profitability and Investment (2 x 2)
TXT
CSV
Details
4 Emerging Market Portfolios Formed on Book-to-Market and Investment (2 x 2)
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CSV
Details
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