All return time-series are denoted by a series name. Series names typically begin with either a special character (e.g., ~) or an abbreviation representing the source or type of data. For example:
| Source | Start with | Example series name | Represents |
|---|---|---|---|
| Huck Finn | Varies | US MKT | US Market Index |
| Market security | . (period) | .SPY | SPY ETF |
| User-defined | ~ (tilde) | ~MY DATA | A user-defined return |
| S&P | S&P | S&P 500 | S&P 500 Index |
| MSCI | MS | MS USA | MSCI USA Index |
| Russell | RU | RU 1 | Russell 1000 Index |
| Fama French | FF | FF MKT | Fama French Market |
| ... | ... | ... | ... |
Some series do not represent a time-series but contain a group of member series . They are used to add all of their member series to a view in one step. For example, in the performance tool if you add the series "FF IND 12 GROUP" it will add all 12 industry series (FF FIN 12, FF DUR 12, FF CHEM 12 etc). By convention, all group series end with the word "GROUP".
Some series associate dates with conditions, e.g., Economic Contraction/Expansion. These series are used to perform conditional analysis. For example, determine if there is a difference in market return between economic contractions and expansions. By convention, all group series end with the word "COND".
An historic financial data source used extensively by academic and practitioner researchers. Eugene Fama and Kenneth French are two prominent economists/finance professors known for their work in asset pricing. They published their seminal articles in the early 90s regarding the importance of size and value (book-to-market equity) in explaining stock returns. In recent years, they extended the 'factors' to include operating profitability and investment. The data and description is available here
The data is updated with about a month and a half lag, i.e., March data will be made available in mid May.
We provide access to a small subset of their data. The most prominent returns are the long-short factors in 3-factor & 5-factor models but as a part of that work they compute returns for the market portfolio back to 1926 which is very useful for long-term market return tests.
Summary of available series.
| Series name | Description |
|---|---|
| FF MKT | Capitalization weighted return for U.S. stocks |
| FF RFR | 30-day treasury bill yield |
| Series name | Description |
|---|---|
| FF SZ SMB | Size factor - small minus big |
| FF VAL HML | Value factor - high minus low |
| FF PROF RMW | Profitability factor - robust minus weak |
| FF INV CMA | Investment factor - conservative minus aggressive |
| Series name | Description |
|---|---|
| FF FIN 12 | Finance industry group |
| FF DUR 12 | Durable goods group |
| ... | ... |
Stocks are ranked based on a factor and then grouped into deciles (groups of 10), quintiles (groups of 5) or terciles (groups of 3). For a factor XYZ, the series are named as follows:
| Name | Description |
|---|---|
| FF XYZ HI10 | Top decile |
| FF XYZ D2 | 2nd decile |
| FF XYZ D3 | 3rd decile |
| ... | ... |
| FF XYZ LO10 | Bottom decile |
| Name | Description |
|---|---|
| FF XYZ HI20 | Top quintile |
| FF XYZ Q2 | 2nd quintile |
| ... | ... |
| FF XYZ LO20 | Bottom quintile |
| Name | Description |
|---|---|
| FF XYZ HI30 | Top 30% |
| FF XYZ MID40 | Middle 40% |
| FF XYZ LO30 | Bottom 30% |
MSCI (Morgan Stanley Capital Internation) is the premier provider of equity indexes. For more information see here . We provide access to a small subset of their data.
Summary of available series.
Russell is a prominent supplier of U.S. equity indexes, with its most notable offerings being the Russell 1000, Russell 2000 and the Russell 1000 Value & Growth indexes. For more information see here . We provide access to a small subset of their data.
Summary of available series.
S&P is provider of the popular S&P 500 index. For more information see here . We provide access to the S&P 500 and Value, Growth & Equal-weighted styles.
AQR is an investment management firm co-founded by Cliff Asness. The firm is a leading supplier of funds based on factor-based investing principles. For more information see here . They have published extensively on the topic of factor investing and provide some factor index returns some of which we offer access to:
