Home
Biography
Curriculum Vitae
Working Papers
Data Library
  U.S. Research Returns
  Benchmarks
  U.S. Research Breakpoints
  U.S. Book Equity Data
  International Research Returns
Consulting Relationship
Fama / French Forum
Contact Information
 

Detail for 48 Industry Portfolios

Daily Returns:   July 1, 1926- January 31, 2024
     
Monthly Returns:   July 1926- January 2024
     
Annual Returns:   1927-2021
     
Portfolios:   Download industry definitions
     
Construction:   We assign each NYSE, AMEX, and NASDAQ stock to an industry portfolio at the end of June of year t based on its four-digit SIC code at that time. (We use Compustat SIC codes for the fiscal year ending in calendar year t-1. Whenever Compustat SIC codes are not available, we use CRSP SIC codes for June of year t.) We then compute returns from July of t to June of t+1.

 

 

 

 

Copyright Kenneth R. French