| ff {CPAT} | R Documentation |
Fama-French Five Factors
Description
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.
Usage
ff
Format
A data frame with 13679 rows and 6 variables:
- Mkt.RF
Market excess returns
- RF
The risk-free rate of return
- SMB
The return on a diversified portfolio of small stocks minus return on a diversified portfolio of big stocks
- HML
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
- RMW
The return of a portfolio of stocks with robust profitability minus a portfolio of stocks with weak profitability
- CMA
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.
Source
http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html