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Monthly Returns: | July 1963 - July 2024 | |||||
Annual Returns: | 1964 - 2023 | |||||
Construction: | 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.) | |||||
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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HML(High Minus Low) is the average return on the two value portfolios minus theaverage return on the two growth portfolios, | ||||||
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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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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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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 July 2024, the one-month Treasury bill rate is from ICE BofA US 1-Month Treasury Bill Index. | ||||||
SeeFama and French, 1993, "Common Risk Factors in the Returns on Stocks andBonds," Journal of Financial Economics, and Fama and French, 2014, "A Five-Factor Asset Pricing Model" for a complete description of the factor returns. | ||||||
Stocks: | 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). |