Datasets containing the Daily, Monthly and Annual SMB, HML, CMA, RMW, SIZE, INV, ROE factors for the UK market 1980JUL-2025MAR (Daily from 1988JUL-2025MAR). The zip folders contain the factor data files in csv (.csv), text (.txt) and stata (.dta).
|
Dataset Name |
Description |
Data File |
|
Daily Factors |
Daily smb, hml, cma, rmw, size, inv, roe factors, risk free rate and market returns. |
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Monthly Factors |
Monthly smb, hml, cma, rmw, size, inv, roe factors, risk free rate and market returns. |
monthlyfactors.zip |
|
Annual Factors |
Annual smb, hml, cma, rmw, size, inv, roe factors, risk free rate and market returns. |
annualfactors.zip |
Datasets containing portfolios used to create the SMB, HML, CMA, RMW, SIZE, INV, ROE factors and other benchmark portfolios for the UK market 1980JUL-2025MAR. The zip folders contains value weighted monthly returns data files in csv (.csv), text (.txt) and stata (.dta).
|
Dataset Name |
Description |
Data File |
|
6 Size/BM Portfolios |
6 Size/BM portfolios used to form the smb and hml factors. (FF5 model) |
6ports_size_bm.zip |
|
6 Size/INV Portfolio |
6 Size/INV portfolios used to form the smb, cma factor (FF5 model) |
|
|
6 Size/OP Portfolio |
6 Size/OP portfolios used to form the smb, rmw factor. (FF5 model) |
6ports_size_op.zip |
|
18 Size/INV/ROE |
18 Size/INV/ROE portfolios used to form size, inv and roe factors. (Q-Model) |
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10 Size Portfolios |
10 portfolios formed on deciles of size. |
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10 SD Portfolios |
10 portfolios formed on deciles of SD |
10ports_sd.zip |
|
10 Momentum Portfolios |
10 portfolios formed on deciles of momentum. |
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|
10 OP Portfolios |
10 portfolios formed on deciles of OP. |
10ports_op.zip |
|
10 ROE (Return-on-Equity) Portfolios |
10 portfolios formed on deciles of ROE. |
|
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10 Investment-to-asset (I/A) Portfolios |
10 formed on deciles of I/A ratio |
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