Fama-French Industry Returns
StockViz
March 27, 2023
- AERO: Aircraft
- AGRIC: Agriculture
- AUTOS: Automobiles and Trucks
- BANKS: Banking
- BEER: Beer & Liquor
- BLDMT: Construction Materials
- BOOKS: Printing and Publishing
- BOXES: Shipping Containers
- BUSSV: Business Services
- CHEMS: Chemicals
- CHIPS: Electronic Equipment
- CLTHS: Apparel
- CNSTR: Construction
- COAL: Coal
- DRUGS: Pharmaceutical Products
- ELCEQ: Electrical Equipment
- FABPR: Fabricated Products
- FIN: Trading
- FOOD: Food Products
- FUN: Entertainment
- GOLD: Precious Metals
- GUNS: Defense
- HARDW: Computers
- HLTH: Healthcare
- HSHLD: Consumer Goods
- INSUR: Insurance
- LABEQ: Measuring and Control Equipment
- MACH: Machinery
- MEALS: Restaurants, Hotels, Motels
- MEDEQ: Medical Equipment
- MINES: Non-Metallic and Industrial Metal Mining
- OIL: Petroleum and Natural Gas
- OTHER: Almost Nothing
- PAPER: Business Supplies
- PERSV: Personal Services
- RLEST: Real Estate
- RTAIL: Retail
- RUBBR: Rubber and Plastic Products
- SHIPS: Shipbuilding, Railroad Equipment
- SMOKE: Tobacco Products
- SODA: Candy & Soda
- SOFTW: Computer Software
- STEEL: Steel Works Etc
- TELCM: Communication
- TOYS: Recreation
- TRANS: Transportation
- TXTLS: Textiles
- UTIL: Utilities
- WHLSL: Wholesale
AERO: Aircraft
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
AGRIC: Agriculture
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
AUTOS: Automobiles and Trucks
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
BANKS: Banking
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
BEER: Beer & Liquor
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
BLDMT: Construction Materials
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
BOOKS: Printing and Publishing
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
BOXES: Shipping Containers
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
BUSSV: Business Services
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
CHEMS: Chemicals
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
CHIPS: Electronic Equipment
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
CLTHS: Apparel
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
CNSTR: Construction
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
COAL: Coal
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
DRUGS: Pharmaceutical Products
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
ELCEQ: Electrical Equipment
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
FABPR: Fabricated Products
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
FIN: Trading
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
FOOD: Food Products
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
FUN: Entertainment
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
GOLD: Precious Metals
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
GUNS: Defense
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
HARDW: Computers
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
HLTH: Healthcare
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
HSHLD: Consumer Goods
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
INSUR: Insurance
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
LABEQ: Measuring and Control Equipment
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
MACH: Machinery
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
MEALS: Restaurants, Hotels, Motels
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
MEDEQ: Medical Equipment
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
MINES: Non-Metallic and Industrial Metal Mining
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
OIL: Petroleum and Natural Gas
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
OTHER: Almost Nothing
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
PAPER: Business Supplies
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
PERSV: Personal Services
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
RLEST: Real Estate
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
RTAIL: Retail
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
RUBBR: Rubber and Plastic Products
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
SHIPS: Shipbuilding, Railroad Equipment
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
SMOKE: Tobacco Products
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
SODA: Candy & Soda
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
SOFTW: Computer Software
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
STEEL: Steel Works Etc
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
TELCM: Communication
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
TOYS: Recreation
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
TRANS: Transportation
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
TXTLS: Textiles
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
UTIL: Utilities
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
WHLSL: Wholesale
Cumulative Returns
Annual Returns
Factor Exposures
SMB : average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
HML : average return on the two value portfolios minus the average return on the two growth portfolios
RMW : average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
CMA : average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios
MOM : average return on the two high prior return portfolios minus the average return on the two low prior return portfolios
Source: Fama-French Data Library
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