Fama-French and Momentum Factors, Portfolios and other Benchmark Portfolio Data
For more details on the construction of the factors and portfolios below and asset pricing tests on these, please see Gregory, A. Tharayan, R. And Christidis, A. (2013) 'Constructing and Testing Alternative Versions of the Fama–French and Carhart Models in the UK', Journal of Business Finance & Accounting, 40(1) & (2), 172–214, January/February 2013, 172-214.
Datasets containing the Daily, Monthly and Annual SMB, HML and momentum factors for the UK market 1980OCT-2017DEC (daily from 1988OCT to 2017Dec). The zip folders contains the relevant data files in excel (.xls), ascii (.txt) and stata (.dta) formats.
| Dataset Name | Description | Data File |
|---|---|---|
| Daily Factors | Daily smb, hml, umd factors, risk free rate and market returns, based on the largest 350 firms. | dailyfactors.zip |
| Monthly Factors | Monthly smb, hml, umd factors, risk free rate and market returns. | monthlyfactors.zip |
| Annual Factors | Annual smb, hml, umd factors, risk free rate and market returns. | annualfactors.zip |
Datasets containing the Fama-french and momentum portfolios used to create the SMB, HML and UMD factors and other benchmark portfolios. The zip folders contains equally and value weighted returns data files in excel (.xls), ascii (.txt) and stata (.dta) formats and a file containing information on the number of portfolios per year and the cutoffs points used to create the portfolios.
| Dataset Name | Description | Data File |
|---|---|---|
| 6 Size/BM Portfolios | 6 Size/BM portfolios used to form the smb and hml factors. | 6ports_size_bm.zip |
| 6 Size/Mom Portfolios | 6 Size/Mom portfolios used to form the umd factor. | 6ports_size_mom.zip |
| 25 Size/BM Portfolios | 5 size portfolios – 4 portfolios formed from the largest 350 firms + 1 portfolio formed from the rest intersected with 5 B/M portfolios – based on the largest 350 firms. | 25ports_size_bm.zip |
| 25 Size/Mom Portfolios | 5 size portfolios – 4 portfolios from the largest 350 + 1 portfolio from the rest Intersected with 5 Momentum portfolios – based on the largest 350 firms. |
25ports_size_mom.zip |
| 27 Size/BM/Mom Portfolios | 3 Size portfolios – 2 portfolios formed from the largest 250 firms + 1 group from the rest, then within each size group we create 3 B/M groups and then within each of these 9 portfolios we form 3 momentum groups. | 3way_size_bm_mom.zip |
| 5 size Portfolios | 4 portfolios from the largest 350 firms + 1 from the rest. | 5ports_size_350.zip |
| 5 simple quintile size Portfolios | 5 portfolios formed on quintiles of size. | 5ports_size.zip |
| 10 simple decile size Portfolios | 10 portfolios formed on deciles of size. | 10ports_size.zip |
| 5 B/M portfolios | 5 portfolios formed from B/M of the largest 350 firms. | 5ports_bm_350.zip |
| 5 simple quintile BTM Portfolios. | 5 portfolios formed on quintiles of B/M of all firms. | 5ports_bm.zip |
| 10 simple decile BTM Portfolios | 10 portfolios formed on deciles of B/M of all firms. | 10ports_bm.zip |
| Negative B/M Portfolio | Portfolios formed on negative B/M stocks. | port_neg_bm.zip |
| 25 SD portfolios | 25 standard deviation portfolios formed on prior 12 month returns. | 25ports_sd.zip |
