Alternative Fama-French 3 Research Factors
Alternative Fama-French factors are refreshed monthly Contact me if you are interested in receiving a real-time data stream or are in need of portfolio assignments for individual stocks.
Key differences from the Kenneth French Data Library:
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Portfolio is based off Russell 3000 constituent returns rather than returns for all firms trading on NYSE, NASDAQ, and AMEX
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All returns are calculated using daily adjusted prices and should be considered inclusive of dividends and splits
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Book-to-market and Market capitalization cutpoints are based off Russell 3000 rather than NYSE
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Risk free rate is based off 3-month Treasury Bill rate and does not account for yield spread
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Top 1% of tickers by standard deviation of their returns are omitted
NOTE: Factors underweight small-cap firms due to constituent mix of Russell 3000, however, there is minimal impact to factors; average daily correlation >95%.
Date | Rm-Rf | SMB | HML |
|---|---|---|---|
9/30/24 | 0.34 | -0.001 | -0.001 |
9/27/24 | 0.182 | 0.002 | 0.003 |
9/26/24 | 0.505 | 0.002 | 0.001 |
9/25/24 | -0.573 | -0.005 | -0.006 |
9/24/24 | 0.028 | 0.004 | -0.002 |
9/23/24 | 0.16 | -0.01 | 0.003 |
9/20/24 | -0.256 | -0.011 | -0.008 |
9/19/24 | 1.602 | 0.006 | -0.003 |
9/18/24 | -0.141 | 0 | 0.001 |
9/17/24 | 0.231 | 0.005 | 0.001 |
9/16/24 | 0.314 | -0.005 | 0.008 |
9/13/24 | 0.806 | 0.016 | 0.002 |
9/12/24 | 0.715 | 0.005 | -0.002 |
9/11/24 | 0.605 | -0.001 | -0.011 |
9/10/24 | 0.25 | 0.005 | -0.008 |
9/9/24 | 0.781 | -0.005 | -0.003 |
9/6/24 | -1.737 | -0.003 | 0.005 |
9/5/24 | -0.234 | -0.002 | -0.002 |
9/4/24 | -0.192 | 0 | -0.006 |
9/3/24 | -1.9 | -0.016 | 0.013 |