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For Fama-French model we need SMB (small[market cap] minus big) and HML (high[book-to-market-ratio] minis low). I want to calculate daily alpha in real time, but the problem is how to get these values.

Is there any benchmark for this values or I have to know entire market and calculate these values manually?

Does Bloomberg or some other service provide this kind of data?

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All the Fama-French data is downloadable here:

http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

and in particular, daily RMRF, SMB and HML data can be downloaded here:

http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/F-F_Research_Data_Factors_daily.zip

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  • $\begingroup$ This is historical daily data which can be used for research purpose. But how to get (or how to calculate) real time data for SMB and HML. E.g. I need up to today values in order to calculate alpha for tomorrow. $\endgroup$
    – Dejan
    Nov 13 '14 at 16:45
  • $\begingroup$ The explicit way Fama and French construct SMB and HML are explained here: mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/… Basically, what they do is divide the world up a grid of 5x5 portfolios: size on one axis, value on the other. If you have access to market cap and B/E you could follow their procedure that they outline. Hence, these factors are themselves average returns, so their calculation is dependent on the stocks you choose to input. $\endgroup$
    – Kian
    Nov 13 '14 at 17:19
  • $\begingroup$ I have access to market cap for every company through API. As far as I understand, I need to create portfolios of small caps and big caps, so I need to download market caps for every company in order to create these portfolios, and this would be to much data for download. I am interested in some approximate values of SMB and HML to avoid this computation. Is there any market index which is good representative of these portfolios? $\endgroup$
    – Dejan
    Nov 13 '14 at 18:05
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    $\begingroup$ No, I am still looking for the answer. I have implemented CAPM model which works in real time, and I want change it with Fama French but I didn't found SMB and HML data yet. It is so unusual to me that this model is well known and that we do not have these values provided by some service in real time. This rise the question if anyone uses FF, or it is just for research purpose. $\endgroup$
    – Dejan
    Nov 15 '14 at 22:23
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    $\begingroup$ @Dejan I've found this: quantopian.com/posts/… $\endgroup$
    – GabyLP
    Feb 9 '18 at 18:06
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K. French's data library gets updated with a 1-2 month delay.

Alternatives that come close are:

It's important that we use market-neutral indices to replace the factors. A value or large-cap index or ETF would not do the trick, as these only cover the long side.

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