Fama-French Five Factors
Data set containing the five factors described by Fama and French (2015), from the data library maintained by Kenneth French. Data ranges from July 1, 1963 to October 31, 2017.
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A data frame with 13679 rows and 6 variables:
Market excess returns
The risk-free rate of return
The return on a diversified portfolio of small stocks minus return on a diversified portfolio of big stocks
The return of a portfolio of stocks with a high book-to-market (B/M) ratio minus the return of a portfolio of stocks with a low B/M ratio
The return of a portfolio of stocks with robust profitability minus a portfolio of stocks with weak profitability
The return of a portfolio of stocks with conservative investment minus the return of a portfolio of stocks with aggressive investment
Row names are dates in YYYYMMDD format.
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