Monthly Returns: 

July 1963  March 2021 



Annual Returns: 

1964  2020 



Construction: 

The
Fama/French 5 factors (2x3) are constructed using the 6 valueweight portfolios formed on
size and booktomarket, the 6 valueweight portfolios formed on size and operating profitability,
and the 6 valueweight portfolios formed on size and investment. (See the description of the 6
size/booktomarket, size/operating profitability, size/investment portfolios.)






SMB
(Small Minus Big) is the average return on the nine small stock portfolios
minus the average return on the nine big stock portfolios,







SMB_{(B/M)} =
SMB_{(OP)} =
SMB_{(INV)} =
SMB = 
1/3 (Small Value + Small Neutral + Small Growth)
 1/3 (Big Value + Big Neutral + Big Growth).
1/3 (Small Robust + Small Neutral + Small Weak)
 1/3 (Big Robust + Big Neutral + Big Weak).
1/3 (Small Conservative + Small Neutral + Small Aggressive)
 1/3 (Big Conservative + Big Neutral + Big Aggressive).
1/3 ( SMB_{(B/M)} + SMB_{(OP)} + SMB_{(INV)} ).








HML
(High Minus Low) is the average return on the two value portfolios minus the
average return on the two growth portfolios,







HML =

1/2 (Small Value +
Big Value)
 1/2 (Small Growth + Big Growth). 







RMW
(Robust Minus Weak) is the average return on the two robust operating profitability portfolios minus
the average return on the two weak operating profitability portfolios,







RMW =

1/2 (Small Robust + Big Robust)
 1/2 (Small Weak + Big Weak). 







CMA
(Conservative Minus Aggressive) is the average return on the two conservative investment portfolios
minus the average return on the two aggressive investment portfolios,







CMA =

1/2 (Small
Conservative + Big Conservative)
 1/2 (Small Aggressive + Big Aggressive). 







RmRf,
the excess return on the market, valueweight 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 onemonth Treasury bill rate (from
Ibbotson Associates). 





See
Fama and French, 1993, "Common Risk Factors in the Returns on Stocks and
Bonds," Journal of Financial Economics, and Fama and French, 2014,
"A FiveFactor Asset Pricing Model" for a complete description of the factor returns. 



Stocks: 

RmRf includes all NYSE, AMEX, and NASDAQ firms.
SMB, HML, RMW, and CMA 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 t1 and June of t, (positive) book equity data for t1 (for SMB, HML, and RMW),
nonmissing revenues and at least one of the following:
cost of goods sold, selling, general and administrative expenses, or interest expense for t1 (for SMB and RMW),
and total assets data for t2 and t1 (for SMB and CMA). 