wff3 {madness}

Weekly Fama French 3 Factor Returns

Description

The weekly returns of the 3 Fama French Factors: Market, the cap factor SMB, and the growth factor HML.

Usage

wff3

Format

A data.frame object with 4800 observations and 5 columns. The data run from July, 1926 through June, 2018. As in the upstream source, the data are given in percents, meaning a value of 1.00 corresponds to a 1% movement. Note also that returns presumably are ‘simple’ returns, not log returns, though this is not clarified by the upstream source. The columns are defined as follows:

Date

The closing data, as a Date object. These are typically Saturdays.

Mkt

The Market weekly return. Note that the risk free rate has been added back to the excess returns published by the upstream source.

SMB

The cap factor weekly return.

HML

The growth factor weekly return.

RF

The risk-free rate, presumably as an weekly rate, though note that no corrections have been made for weekend effects when adding the risk-free rate back to the market rate.

Author(s)

Steven E. Pav [e-mail]

Source

Kenneth French data library, via Quandl. See http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html, data description at http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/f-f_factors.html.

Examples

data(wff3)
str(wff3)