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.

 

Factor Data

Datasets containing the Daily, Monthly and Annual SMB, HML and momentum factors for the UK market 1980-2013 (daily from 1988). The zip folders contains the relevant data files in excel (.xls), ascii (.txt) and stata (.dta) formats.

Dataset NameDescriptionData 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

 

Portfolio Data

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 NameDescriptionData 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/BM (“Alternative 350 groups”) 5 size portfolios – 3 portfolios formed from the largest 350 firms + 2 small portfolios formed from the rest intersected with 5 B/M portfolios formed from all firms. 25ports_size_bm_alt350.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