Monthly Returns: |
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July 1963 - October 2024 |
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Annual Returns: |
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1964 - 2023 |
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Construction: |
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The
Fama/French 5 factors (2x3) are constructed using the 6 value-weight portfolios formed on
size and book-to-market, the 6 value-weight portfolios formed on size and operating profitability,
and the 6 value-weight portfolios formed on size and investment. (See the description of the 6
size/book-to-market, size/operating profitability, size/investment portfolios.)
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SMB
(Small Minus Big) is the average return on the nine small stock portfolios
minus the average return on the nine big stock portfolios,
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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) ).
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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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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,
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RMW =
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1/2 (Small Robust + Big Robust)
- 1/2 (Small Weak + Big Weak). |
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CMA
(Conservative Minus Aggressive) is the average return on the two conservative investment portfolios
minus the average return on the two aggressive investment portfolios,
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CMA =
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1/2 (Small
Conservative + Big Conservative)
- 1/2 (Small Aggressive + Big Aggressive). |
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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 October 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, and Fama and French, 2014,
"A Five-Factor Asset Pricing Model" 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, 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 t-1 and June of t, (positive) book equity data for t-1 (for SMB, HML, and RMW),
non-missing revenues and at least one of the following:
cost of goods sold, selling, general and administrative expenses, or interest expense for t-1 (for SMB and RMW),
and total assets data for t-2 and t-1 (for SMB and CMA). |