Kenneth R. French - Description of Fama/French Factors (2024)

Kenneth R. French - Description of Fama/French Factors (1)

Kenneth R. French - Description of Fama/French Factors (4)

Kenneth R. French - Description of Fama/French Factors (6)

Kenneth R. French - Description of Fama/French Factors (8)

Kenneth R. French - Description of Fama/French Factors (10)

Kenneth R. French - Description of Fama/French Factors (17)

Kenneth R. French - Description of Fama/French Factors (19)

Kenneth R. French - Description of Fama/French Factors (21)

Description ofFama/French 5 Factors (2x3)

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,

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 theaverage 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).

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).