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How do I calculate the three factors? The first "market" factor seems straightforward. However the SmB and the HmL factors seem to require accounting data. Also, how does one calculate the momentum factor? Can you write down explicit formulas with clearly defined notation, or provide a reference that describes the canonical calculations?

Is the necessary accounting data even publicly available?

How do I calculate the three factors? The first "market" factor seems straightforward. However the SmB and the HmL factors seem to require accounting data. Also, how does one calculate the momentum factor? Can you write down explicit formulas with clearly defined notation, or provide a reference that describes the canonical calculations?

Is the necessary accounting data even publicly available?