Ken French

Fama/French Factors (Daily)

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    Dataset Information

    Data Updated
    about 2 hours ago, on 24 Apr 2014
    Frequency daily
    Source Ken French
    Validate http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/F-F_Research_Data_...
    Permalink http://www.quandl.com/KFRENCH/FACTORS_D
    Code KFRENCH/FACTORS_D
    Description

    The Fama/French factors are constructed using the 6 value-weight portfolios formed on size and book-to-market. (See the description of the 6 size/book-to-market portfolios.) SMB (Small Minus Big) is the average return on the three small portfolios minus the average return on the three big portfolios. HML (High Minus Low) is the average return on the two value portfolios minus the average return on the two growth portfolios. Rm-Rf, the excess return on the market, is the value-weight return on all NYSE, AMEX, and NASDAQ stocks (from CRSP) minus the one-month Treasury bill rate (from Ibbotson Associates).