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Kenneth R. French website only provides monthly European factor data. I want to track this data daily.

Here's what I tried:

  • MSCI Europe Barra Value Index - it's long short 130/30, not 100/100.
  • Lyxor JP Morgan Europe Value Factor UCITS ETF - long only. Short only version has no data.
  • iShares MSCI Europe Value Factor UCITS ETF - long only.
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3 Answers 3

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Well, there's no absolute thing called a factor. You can make your own factor, say "stocks that begin with the letter 'A'". Or stocks that closed above their previous close.

MSCI/Barra sells their factor breakdowns and they have so many different models. USE3L, USE4S, GEM3, US NSTM, etc etc. And they will have different factor breakdowns entirely.

Fama is famous for his factor model. Which is things like high-low, book value. If he doesn't distribute it, you will have to make it yourself. As long as you can get the close prices then it is not hard to generate. If you are a student you might be able to get free access to CRSP, which will give you some of the fundamentals that you need for book value.

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It seems that daily European factor data has been added to the website!

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

You can also find daily data for other regions (Japan, APAC, North America).

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There is also a version in the AQR website based on papers written by affiliated authors.

https://www.aqr.com/library/data-sets/value-and-momentum-everywhere-factors-monthly

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