Kenneth R. French - Data Library (original) (raw)
Current Research Returns
In this paper Fama and French explain how they produce the U.S. factor returns in their Data Library and they estimate the effect of the two changes in their process and five major CRSP data-improvement projects on the average values of SMB and HML.
| | August2024 | Last 3 Months | Last 12 Months | | | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- | --------------------------------------------------------------------------------------------------------- | ----------------------------------------------------------------------------------------- | ----------------------------------------------------------------------------------------------------------- | | Fama/French 3 Research Factors Rm-Rf SMB HML | 1.61 -3.55 -1.12 | 5.77 -0.20 1.10 | 20.78 -13.02 6.01 | | Fama/French 5 Research Factors (2x3) Rm-Rf SMB HML RMW CMA | 1.61 -3.65 -1.12 0.85 0.86 | 5.77 -0.18 1.10 1.48 -0.48 | 20.78 -11.39 6.01 5.35 -8.82 | | Fama/French Research Portfolios Size and Book-to-Market Portfolios Small Value Small Neutral Small Growth Big Value Big Neutral Big Growth Size and Operating Profitability Portfolios Small Robust Small Neutral Small Weak Big Robust Big Neutral Big Weak Size and Investment Portfolios Small Conservative Small Neutral Small Aggressive Big Conservative Big Neutral Big Aggressive | -2.22 -2.39 0.10 2.44 1.33 2.37 -1.68 -2.01 -1.39 2.83 1.63 0.83 -1.15 -1.45 -2.20 2.56 2.56 1.90 | 8.66 4.50 7.61 8.48 5.57 7.33 4.01 8.12 6.43 8.24 6.42 2.86 6.18 7.47 5.56 5.50 8.66 7.08 | 19.81 14.32 13.87 33.96 25.24 27.87 14.86 21.19 12.22 28.04 29.19 19.99 14.75 15.46 16.34 21.26 22.43 37.32 |
Bivariate sorts on Size, B/M, OP and Inv
6 Portfolios Formed on Size and Book-to-Market (2 x 3) TXT CSV
Details Historical Archives
6 Portfolios Formed on Size and Book-to-Market (2 x 3) [ex. Dividends] TXT CSV Details
6 Portfolios Formed on Size and Book-to-Market (2 x 3) [Weekly] TXT CSV Details
6 Portfolios Formed on Size and Book-to-Market (2 x 3) [Daily] TXT CSV Details
25 Portfolios Formed on Size and Book-to-Market (5 x 5) TXT CSV
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25 Portfolios Formed on Size and Book-to-Market (5 x 5) [ex. Dividends] TXT CSV Details
25 Portfolios Formed on Size and Book-to-Market (5 x 5) [Daily] TXT CSV Details
100 Portfolios Formed on Size and Book-to-Market (10 x 10) TXT CSV
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100 Portfolios Formed on Size and Book-to-Market (10 x 10) [ex. Dividends] TXT CSV Details
100 Portfolios Formed on Size and Book-to-Market (10 x 10) [Daily] TXT CSV Details
6 Portfolios Formed on Size and Operating Profitability (2 x 3) TXT CSV
Details Historical Archives
6 Portfolios Formed on Size and Operating Profitability (2 x 3) [ex. Dividends] TXT CSV Details
6 Portfolios Formed on Size and Operating Profitability (2 x 3) [Daily] TXT CSV Details
25 Portfolios Formed on Size and Operating Profitability (5 x 5) TXT CSV
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25 Portfolios Formed on Size and Operating Profitability (5 x 5) [ex. Dividends] TXT CSV Details
25 Portfolios Formed on Size and Operating Profitability (5 x 5) [Daily] TXT CSV Details
100 Portfolios Formed on Size and Operating Profitability (10 x 10) TXT CSV
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100 Portfolios Formed on Size and Operating Profitability (10 x 10) [ex. Dividends] TXT CSV Details
100 Portfolios Formed on Size and Operating Profitability (10 x 10) [Daily] TXT CSV Details
6 Portfolios Formed on Size and Investment (2 x 3) TXT CSV
Details Historical Archives
6 Portfolios Formed on Size and Investment (2 x 3) [ex. Dividends] TXT CSV Details
6 Portfolios Formed on Size and Investment (2 x 3) [Daily] TXT CSV Details
25 Portfolios Formed on Size and Investment (5 x 5) TXT CSV
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25 Portfolios Formed on Size and Investment (5 x 5) [ex. Dividends] TXT CSV Details
25 Portfolios Formed on Size and Investment (5 x 5) [Daily] TXT CSV Details
100 Portfolios Formed on Size and Investment (10 x 10) TXT CSV
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100 Portfolios Formed on Size and Investment (10 x 10) [ex. Dividends] TXT CSV Details
100 Portfolios Formed on Size and Investment (10 x 10) [Daily] TXT CSV Details
25 Portfolios Formed on Book-to-Market and Operating Profitability (5 x 5) TXT CSV
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25 Portfolios Formed on Book-to-Market and Operating Profitability (5 x 5) [ex. Dividends] TXT CSV Details
25 Portfolios Formed on Book-to-Market and Operating Profitability (5 x 5) [Daily] TXT CSV Details
25 Portfolios Formed on Book-to-Market and Investment (5 x 5) TXT CSV
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25 Portfolios Formed on Book-to-Market and Investment (5 x 5) [ex. Dividends] TXT CSV Details
25 Portfolios Formed on Book-to-Market and Investment (5 x 5) [Daily] TXT CSV Details
25 Portfolios Formed on Operating Profitability and Investment (5 x 5) TXT CSV
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25 Portfolios Formed on Operating Profitability and Investment (5 x 5) [ex. Dividends] TXT CSV Details
25 Portfolios Formed on Operating Profitability and Investment (5 x 5) [Daily] TXT CSV Details
Three-way sorts on Size, B/M, OP, and Inv
32 Portfolios Formed on Size, Book-to-Market, and Operating Profitability (2 x 4 x 4) TXT CSV
Details
32 Portfolios Formed on Size, Book-to-Market, and Operating Profitability (2 x 4 x 4) [ex. Dividends] TXT CSV Details
32 Portfolios Formed on Size, Book-to-Market, and Investment (2 x 4 x 4) TXT CSV
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32 Portfolios Formed on Size, Book-to-Market, and Investment (2 x 4 x 4) [ex. Dividends] TXT CSV Details
32 Portfolios Formed on Size, Operating Profitability, and Investment (2 x 4 x 4) TXT CSV
Details
32 Portfolios Formed on Size, Operating Profitability, and Investment (2 x 4 x 4) [ex. Dividends] TXT CSV Details
Univariate sorts on E/P, CF/P, and D/P
Portfolios Formed on Earnings/Price TXT CSV
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Portfolios Formed on Earnings/Price [ex. Dividends] TXT CSV Details
Portfolios Formed on Cashflow/Price TXT CSV
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Portfolios Formed on Cashflow/Price [ex. Dividends] TXT CSV Details
Portfolios Formed on Dividend Yield TXT CSV
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Portfolios Formed on Dividend Yield [ex. Dividends] TXT CSV Details
Bivariate sorts on Size, E/P, CF/P, and D/P
6 Portfolios Formed on Size and Earnings/Price TXT CSV
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6 Portfolios Formed on Size and Earnings/Price [ex. Dividends] TXT CSV Details
6 Portfolios Formed on Size and Cashflow/Price TXT CSV
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6 Portfolios Formed on Size and Cashflow/Price [ex. Dividends] TXT CSV Details
6 Portfolios Formed on Size and Dividend Yield TXT CSV
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6 Portfolios Formed on Size and Dividend Yield [ex. Dividends] TXT CSV Details
Sorts involving Prior Returns
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Momentum Factor (Mom) [Daily] TXT CSV Details
6 Portfolios Formed on Size and Momentum (2 x 3) TXT CSV
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6 Portfolios Formed on Size and Momentum (2 x 3) [Daily] TXT CSV Details
25 Portfolios Formed on Size and Momentum (5 x 5) TXT CSV
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25 Portfolios Formed on Size and Momentum (5 x 5) [Daily] TXT CSV Details
10 Portfolios Formed on Momentum TXT CSV
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10 Portfolios Formed on Momentum [Daily] TXT CSV Details
Short-Term Reversal Factor (ST Rev) TXT CSV
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Short-Term Reversal Factor (ST Rev) [Daily] TXT CSV Details
6 Portfolios Formed on Size and Short-Term Reversal (2 x 3) TXT CSV
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6 Portfolios Formed on Size and Short-Term Reversal (2 x 3) [Daily] TXT CSV Details
25 Portfolios Formed on Size and Short-Term Reversal (5 x 5) TXT CSV
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25 Portfolios Formed on Size and Short-Term Reversal (5 x 5) [Daily] TXT CSV Details
10 Portfolios Formed on Short-Term Reversal TXT CSV
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10 Portfolios Formed on Short-Term Reversal [Daily] TXT CSV Details
Long-Term Reversal Factor (LT Rev) TXT CSV
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Long-Term Reversal Factor (LT Rev) [Daily] TXT CSV Details
6 Portfolios Formed on Size and Long-Term Reversal (2 x 3) TXT CSV
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6 Portfolios Formed on Size and Long-Term Reversal (2 x 3) [Daily] TXT CSV Details
25 Portfolios Formed on Size and Long-Term Reversal (5 x 5) TXT CSV
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25 Portfolios Formed on Size and Long-Term Reversal (5 x 5) [Daily] TXT CSV Details
10 Portfolios Formed on Long-Term Reversal TXT CSV
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10 Portfolios Formed on Long-Term Reversal [Daily] TXT CSV Details
Sorts involving Accruals, Market Beta, Net Share Issues, Daily Variance, and Daily Residual Variance
Portfolios Formed on Accruals TXT CSV
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25 Portfolios Formed on Size and Accruals TXT CSV Details
Portfolios Formed on Market Beta TXT CSV
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25 Portfolios Formed on Size and Market Beta TXT CSV Details
Portfolios Formed on Net Share Issues TXT CSV
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25 Portfolios Formed on Size and Net Share Issues TXT CSV Details
Portfolios Formed on Variance TXT CSV
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25 Portfolios Formed on Size and Variance TXT CSV Details
Portfolios Formed on Residual Variance TXT CSV
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25 Portfolios Formed on Size and Residual Variance TXT CSV Details
The momentum and short term reversal portfolios are reconstituted monthly and the other research portfolios are reconstituted annually. We reconstruct the full history of returns each month when we update the portfolios. (Historical returns can change, for example, if CRSP revises its database.) Although the portfolios include all NYSE, AMEX, and NASDAQ firms with the necessary data, the breakpoints use only NYSE firms. Missing data are indicated by -99.99 or -999.
In December 2012, we revised the market return used to measure Rm-Rf in the US. It is now the value-weight return of all CRSP firms incorporated in the US and listed on the NYSE, AMEX, or NASDAQ that have (i) a CRSP share code of 10 or 11 at the beginning of month t, (ii) good shares and price data at the beginning of t, and (iii) good return data for t. Previously we used the CRSP NYSE/AMEX/NASDAQ Value-Weighted Market Index as the proxy for the market return. The set of firms in the new series is more consistent with the universe used to compute the other US returns.
In January 2015, CRSP completed an extensive review of their shares outstanding data for 1925-1946. The file they released in January 2015 (with data through December 2014) incorporates over 4000 changes that affect 400 Permnos. As a result, many of the returns we report for 1925-1946 change in our January 2015 update and some of the changes are large. Please see Changes in CRSP Data for descriptions of data changes by CRSP affecting the data series above.
In May 2015, we made two changes in the way we compute daily portfolio returns so the process is closer to the way we compute monthly portfolio returns. In daily files produced in May 2015 or thereafter, stocks are dropped from a portfolio immediately after their CRSP delist date; in files produced before May 2015, those stocks are held until the portfolio is reconstituted, at the end of June. Also, in daily files produced before May 2015 we exclude a stock from portfolios during any period in which it is missing prices for more than 10 consecutive trading days; in daily files produced in May 2015 and thereafter, we exclude a stock if there is no price for more than 200 consecutive trading days.
Because of changes in the treatment of deferred taxes described in FASB 109, files produced from August 2016 on no longer add Deferred Taxes and Investment Tax Credit to BE for fiscal years ending in 1993 or later.
In August 2018, we have revised the method for computing Operating Profitability. We now include minority interest in the denominator, so the operating profitability ratio used to form portfolios in June of year t is annual revenues minus cost of goods sold, interest expense, and selling, general, and administrative expense divided by the sum of book equity and minority interest for the last fiscal year ending in t-1.
In September 2020, we removed the adjustment to book equity related to FASB Statement No. 106, Employers' Accounting for Postretirement Benefits Other Than Pensions, which was issued in 1990. This adjustment affects portfolios formed on book-to-market equity and portfolios formed on profitability, which is defined as operating income before depreciation and amortization minus interest expense scaled by book equity.
In September 2021, we transitioned from using our proprietary links between CRSP and Compustat data to those provided by CRSP after examining their consistency. We also updated the eligible universe through time to apply time-sensitive evaluation of stocks on criteria such as whether they are investment funds.
We now provide historical archives of the US monthly Fama/French 3 factors and 5 factors, as well as the 2x3 bivariate portfolio sorts used to construct the factors for each July data cut. The July cut has data through July and was released in August of that year. Click here for Variable Definitions
International Research Returns Data (Downloadable Files)
Country Portfolios formed on B/M, E/P, CE/P, and D/P Details Country Portfolios formed on B/M, E/P, CE/P, and D/P [ex. Dividends] Details Index Portfolios formed on B/M, E/P, CE/P, and D/P Details
Index Portfolios formed on B/M, E/P, CE/P, and D/P [ex. Dividends]
We form value and growth portfolios in each country using four ratios: book-to-market (B/M); earnings-price (E/P); cash earnings to price (CE/P); and dividend yield (D/P). Firms in the country portfolios are value-weighted. To construct index returns, we weight each country in proportion to its EAFE weight. The raw data are from Morgan Stanley Capital International for 1975 to 2006 and from Bloomberg for 2007 to present.
Developed Markets Factors and Returns Details
Fama/French Factors
Fama/French Developed 3 Factors TXT CSV Details
Fama/French Developed 3 Factors [Daily] TXT CSV Details
Fama/French Developed ex US 3 Factors TXT CSV Details
Fama/French Developed ex US 3 Factors [Daily] TXT CSV Details
Fama/French European 3 Factors TXT CSV Details
Fama/French European 3 Factors [Daily] TXT CSV Details
Fama/French Japanese 3 Factors TXT CSV Details
Fama/French Japanese 3 Factors [Daily] TXT CSV Details
Fama/French Asia Pacific ex Japan 3 Factors TXT CSV Details
Fama/French Asia Pacific ex Japan 3 Factors [Daily] TXT CSV Details
Fama/French North American 3 Factors TXT CSV Details
Fama/French North American 3 Factors [Daily] TXT CSV Details
Fama/French Developed 5 Factors TXT CSV
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Fama/French Developed 5 Factors [Daily] TXT CSV Details
Fama/French Developed ex US 5 Factors TXT CSV Details
Fama/French Developed ex US 5 Factors [Daily] TXT CSV Details
Fama/French European 5 Factors TXT CSV Details
Fama/French European 5 Factors [Daily] TXT CSV Details
Fama/French Japanese 5 Factors TXT CSV Details
Fama/French Japanese 5 Factors [Daily] TXT CSV Details
Fama/French Asia Pacific ex Japan 5 Factors TXT CSV Details
Fama/French Asia Pacific ex Japan 5 Factors [Daily] TXT CSV Details
Fama/French North American 5 Factors TXT CSV Details
Fama/French North American 5 Factors [Daily] TXT CSV Details
Developed Momentum Factor (Mom) TXT CSV
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Developed Momentum Factor (Mom) [Daily] TXT CSV Details
Developed ex US Momentum Factor (Mom) TXT CSV Details
Developed ex US Momentum Factor (Mom) [Daily] TXT CSV Details
European Momentum Factor (Mom) TXT CSV Details
European Momentum Factor (Mom) [Daily] TXT CSV Details
Japanese Momentum Factor (Mom) TXT CSV Details
Japanese Momentum Factor (Mom) [Daily] TXT CSV Details
Asia Pacific ex Japan Momentum Factor (Mom) TXT CSV Details
Asia Pacific ex Japan Momentum Factor (Mom) [Daily] TXT CSV Details
North American Momentum Factor (Mom) TXT CSV Details
North American Momentum Factor (Mom) [Daily] TXT CSV Details 6 Portfolios Formed on Size and Book-to-Market (2 x 3)
6 Developed Portfolios Formed on Size and Book-to-Market (2 x 3) TXT CSV
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6 Developed Portfolios Formed on Size and Book-to-Market (2 x 3) [Daily] TXT CSV Details
6 Developed ex US Portfolios Formed on Size and Book-to-Market (2 x 3) TXT CSV Details
6 Developed ex US Portfolios Formed on Size and Book-to-Market (2 x 3) [Daily] TXT CSV Details
6 European Portfolios Formed on Size and Book-to-Market (2 x 3) TXT CSV Details
6 European Portfolios Formed on Size and Book-to-Market (2 x 3) [Daily] TXT CSV Details
6 Japanese Portfolios Formed on Size and Book-to-Market (2 x 3) TXT CSV Details
6 Japanese Portfolios Formed on Size and Book-to-Market (2 x 3) [Daily] TXT CSV Details
6 Asia Pacific ex Japan Portfolios Formed on Size and Book-to-Market (2 x 3) TXT CSV Details
6 Asia Pacific ex Japan Portfolios Formed on Size and Book-to-Market (2 x 3) [Daily] TXT CSV Details
6 North American Portfolios Formed on Size and Book-to-Market (2 x 3) TXT CSV Details
6 North American Portfolios Formed on Size and Book-to-Market (2 x 3) [Daily] TXT CSV Details 25 Portfolios Formed on Size and Book-to-Market (5 x 5)
25 Developed Portfolios Formed on Size and Book-to-Market (5 x 5) TXT CSV
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25 Developed Portfolios Formed on Size and Book-to-Market (5 x 5) [Daily] TXT CSV Details
25 Developed ex US Portfolios Formed on Size and Book-to-Market (5 x 5) TXT CSV Details
25 Developed ex US Portfolios Formed on Size and Book-to-Market (5 x 5) [Daily] TXT CSV Details
25 European Portfolios Formed on Size and Book-to-Market (5 x 5) TXT CSV Details
25 European Portfolios Formed on Size and Book-to-Market (5 x 5) [Daily] TXT CSV Details
25 Japanese Portfolios Formed on Size and Book-to-Market (5 x 5) TXT CSV Details
25 Japanese Portfolios Formed on Size and Book-to-Market (5 x 5) [Daily] TXT CSV Details
25 Asia Pacific ex Japan Portfolios Formed on Size and Book-to-Market (5 x 5) TXT CSV Details
25 Asia Pacific ex Japan Portfolios Formed on Size and Book-to-Market (5 x 5) [Daily] TXT CSV Details
25 North American Portfolios Formed on Size and Book-to-Market (5 x 5) TXT CSV Details
25 North American Portfolios Formed on Size and Book-to-Market (5 x 5) [Daily] TXT CSV Details 6 Portfolios Formed on Size and Operating Profitability (2 x 3)
6 Developed Portfolios Formed on Size and Operating Profitability (2 x 3) TXT CSV
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6 Developed Portfolios Formed on Size and Operating Profitability (2 x 3) [Daily] TXT CSV Details
6 Developed ex US Portfolios Formed on Size and Operating Profitability (2 x 3) TXT CSV Details
6 Developed ex US Portfolios Formed on Size and Operating Profitability (2 x 3) [Daily] TXT CSV Details
6 European Portfolios Formed on Size and Operating Profitability (2 x 3) TXT CSV Details
6 European Portfolios Formed on Size and Operating Profitability (2 x 3) [Daily] TXT CSV Details
6 Japanese Portfolios Formed on Size and Operating Profitability (2 x 3) TXT CSV Details
6 Japanese Portfolios Formed on Size and Operating Profitability (2 x 3) [Daily] TXT CSV Details
6 Asia Pacific ex Japan Portfolios Formed on Size and Operating Profitability (2 x 3) TXT CSV Details
6 Asia Pacific ex Japan Portfolios Formed on Size and Operating Profitability (2 x 3) [Daily] TXT CSV Details
6 North American Portfolios Formed on Size and Operating Profitability (2 x 3) TXT CSV Details
6 North American Portfolios Formed on Size and Operating Profitability (2 x 3) [Daily] TXT CSV Details 25 Portfolios Formed on Size and Operating Profitability (5 x 5)
25 Developed Portfolios Formed on Size and Operating Profitability (5 x 5) TXT CSV
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25 Developed Portfolios Formed on Size and Operating Profitability (5 x 5) [Daily] TXT CSV Details
25 Developed ex US Portfolios Formed on Size and Operating Profitability (5 x 5) TXT CSV Details
25 Developed ex US Portfolios Formed on Size and Operating Profitability (5 x 5) [Daily] TXT CSV Details
25 European Portfolios Formed on Size and Operating Profitability (5 x 5) TXT CSV Details
25 European Portfolios Formed on Size and Operating Profitability (5 x 5) [Daily] TXT CSV Details
25 Japanese Portfolios Formed on Size and Operating Profitability (5 x 5) TXT CSV Details
25 Japanese Portfolios Formed on Size and Operating Profitability (5 x 5) [Daily] TXT CSV Details
25 Asia Pacific ex Japan Portfolios Formed on Size and Operating Profitability (5 x 5) TXT CSV Details
25 Asia Pacific ex Japan Portfolios Formed on Size and Operating Profitability (5 x 5) [Daily] TXT CSV Details
25 North American Portfolios Formed on Size and Operating Profitability (5 x 5) TXT CSV Details
25 North American Portfolios Formed on Size and Operating Profitability (5 x 5) [Daily] TXT CSV Details 6 Portfolios Formed on Size and Investment (2 x 3)
6 Developed Portfolios Formed on Size and Investment (2 x 3) TXT CSV
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6 Developed Portfolios Formed on Size and Investment (2 x 3) [Daily] TXT CSV Details
6 Developed ex US Portfolios Formed on Size and Investment (2 x 3) TXT CSV Details
6 Developed ex US Portfolios Formed on Size and Investment (2 x 3) [Daily] TXT CSV Details
6 European Portfolios Formed on Size and Investment (2 x 3) TXT CSV Details
6 European Portfolios Formed on Size and Investment (2 x 3) [Daily] TXT CSV Details
6 Japanese Portfolios Formed on Size and Investment (2 x 3) TXT CSV Details
6 Japanese Portfolios Formed on Size and Investment (2 x 3) [Daily] TXT CSV Details
6 Asia Pacific ex Japan Portfolios Formed on Size and Investment (2 x 3) TXT CSV Details
6 Asia Pacific ex Japan Portfolios Formed on Size and Investment (2 x 3) [Daily] TXT CSV Details
6 North American Portfolios Formed on Size and Investment (2 x 3) TXT CSV Details
6 North American Portfolios Formed on Size and Investment (2 x 3) [Daily] TXT CSV Details 25 Portfolios Formed on Size and Investment (5 x 5)
25 Developed Portfolios Formed on Size and Investment (5 x 5) TXT CSV
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25 Developed Portfolios Formed on Size and Investment (5 x 5) [Daily] TXT CSV Details
25 Developed ex US Portfolios Formed on Size and Investment (5 x 5) TXT CSV Details
25 Developed ex US Portfolios Formed on Size and Investment (5 x 5) [Daily] TXT CSV Details
25 European Portfolios Formed on Size and Investment (5 x 5) TXT CSV Details
25 European Portfolios Formed on Size and Investment (5 x 5) [Daily] TXT CSV Details
25 Japanese Portfolios Formed on Size and Investment (5 x 5) TXT CSV Details
25 Japanese Portfolios Formed on Size and Investment (5 x 5) [Daily] TXT CSV Details
25 Asia Pacific ex Japan Portfolios Formed on Size and Investment (5 x 5) TXT CSV Details
25 Asia Pacific ex Japan Portfolios Formed on Size and Investment (5 x 5) [Daily] TXT CSV Details
25 North American Portfolios Formed on Size and Investment (5 x 5) TXT CSV Details
25 North American Portfolios Formed on Size and Investment (5 x 5) [Daily] TXT CSV Details 6 Portfolios Formed on Size and Momentum (2 x 3)
6 Developed Portfolios Formed on Size and Momentum (2 x 3) TXT CSV
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6 Developed Portfolios Formed on Size and Momentum (2 x 3) [Daily] TXT CSV Details
6 Developed ex US Portfolios Formed on Size and Momentum (2 x 3) TXT CSV Details
6 Developed ex US Portfolios Formed on Size and Momentum (2 x 3) [Daily] TXT CSV Details
6 European Portfolios Formed on Size and Momentum (2 x 3) TXT CSV Details
6 European Portfolios Formed on Size and Momentum (2 x 3) [Daily] TXT CSV Details
6 Japanese Portfolios Formed on Size and Momentum (2 x 3) TXT CSV Details
6 Japanese Portfolios Formed on Size and Momentum (2 x 3) [Daily] TXT CSV Details
6 Asia Pacific ex Japan Portfolios Formed on Size and Momentum (2 x 3) TXT CSV Details
6 Asia Pacific ex Japan Portfolios Formed on Size and Momentum (2 x 3) [Daily] TXT CSV Details
6 North American Portfolios Formed on Size and Momentum (2 x 3) TXT CSV Details
6 North American Portfolios Formed on Size and Momentum (2 x 3) [Daily] TXT CSV Details 25 Portfolios Formed on Size and Momentum (5 x 5)
25 Developed Portfolios Formed on Size and Momentum (5 x 5) TXT CSV
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25 Developed Portfolios Formed on Size and Momentum (5 x 5) [Daily] TXT CSV Details
25 Developed ex US Portfolios Formed on Size and Momentum (5 x 5) TXT CSV Details
25 Developed ex US Portfolios Formed on Size and Momentum (5 x 5) [Daily] TXT CSV Details
25 European Portfolios Formed on Size and Momentum (5 x 5) TXT CSV Details
25 European Portfolios Formed on Size and Momentum (5 x 5) [Daily] TXT CSV Details
25 Japanese Portfolios Formed on Size and Momentum (5 x 5) TXT CSV Details
25 Japanese Portfolios Formed on Size and Momentum (5 x 5) [Daily] TXT CSV Details
25 Asia Pacific ex Japan Portfolios Formed on Size and Momentum (5 x 5) TXT CSV Details
25 Asia Pacific ex Japan Portfolios Formed on Size and Momentum (5 x 5) [Daily] TXT CSV Details
25 North American Portfolios Formed on Size and Momentum (5 x 5) TXT CSV Details
25 North American Portfolios Formed on Size and Momentum (5 x 5) [Daily] TXT CSV Details 32 Portfolios Formed on Size, Book-to-Market, Operating Profitability, and Investment (2 x 4 x 4)
32 Developed Portfolios Formed on Size, Book-to-Market, and Operating Profitability (2 x 4 x 4) TXT CSV
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32 Developed ex US Portfolios Formed on Size, Book-to-Market, and Operating Profitability (2 x 4 x 4) TXT CSV Details
32 European Portfolios Formed on Size, Book-to-Market, and Operating Profitability (2 x 4 x 4) TXT CSV Details
32 Japanese Portfolios Formed on Size, Book-to-Market, and Operating Profitability (2 x 4 x 4) TXT CSV Details
32 Asia Pacific ex Japan Portfolios Formed on Size, Book-to-Market, and Operating Profitability (2 x 4 x 4) TXT CSV Details
32 North American Portfolios Formed on Size, Book-to-Market, and Operating Profitability (2 x 4 x 4) TXT CSV Details
32 Developed Portfolios Formed on Size, Book-to-Market, and Investment (2 x 4 x 4) TXT CSV
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32 Developed ex US Portfolios Formed on Size, Book-to-Market, and Investment (2 x 4 x 4) TXT CSV Details
32 European Portfolios Formed on Size, Book-to-Market, and Investment (2 x 4 x 4) TXT CSV Details
32 Japanese Portfolios Formed on Size, Book-to-Market, and Investment (2 x 4 x 4) TXT CSV Details
32 Asia Pacific ex Japan Portfolios Formed on Size, Book-to-Market, and Investment (2 x 4 x 4) TXT CSV Details
32 North American Portfolios Formed on Size, Book-to-Market, and Investment (2 x 4 x 4) TXT CSV Details
32 Developed Portfolios Formed on Size, Operating Profitability, and Investment (2 x 4 x 4) TXT CSV
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32 Developed ex US Portfolios Formed on Size, Operating Profitability, and Investment (2 x 4 x 4) TXT CSV Details
32 European Portfolios Formed on Size, Operating Profitability, and Investment (2 x 4 x 4) TXT CSV Details
32 Japanese Portfolios Formed on Size, Operating Profitability, and Investment (2 x 4 x 4) TXT CSV Details
32 Asia Pacific ex Japan Portfolios Formed on Size, Operating Profitability, and Investment (2 x 4 x 4) TXT CSV Details
32 North American Portfolios Formed on Size, Operating Profitability, and Investment (2 x 4 x 4) TXT CSV Details
Emerging Markets Factors and Returns
Fama/French Factors
Fama/French Emerging 5 Factors TXT CSV
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Emerging Momentum Factor (Mom) TXT CSV Details
6 Portfolios Formed on Size, Book-to-Market, Operating Profitability, Investment, and Momentum (2 x 3)
6 Emerging Market Portfolios Formed on Size and Book-to-Market (2 x 3) TXT CSV
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6 Emerging Market Portfolios Formed on Size and Operating Profitability (2 x 3) TXT CSV Details
6 Emerging Market Portfolios Formed on Size and Investment (2 x 3) TXT CSV Details
6 Emerging Market Portfolios Formed on Size and Momentum (2 x 3) TXT CSV Details
4 Portfolios Formed on Book-to-Market, Operating Profitability and Investment (2 x 2)
4 Emerging Market Portfolios Formed on Book-to-Market and Operating Profitability (2 x 2) TXT CSV
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4 Emerging Market Portfolios Formed on Operating Profitability and Investment (2 x 2) TXT CSV Details
4 Emerging Market Portfolios Formed on Book-to-Market and Investment (2 x 2) TXT CSV Details