I'm replicating the Fama-French five factor model. I have formed factor portfolios. I'm not sure how to calculate the average monthly percent excess returns for portfolios. In other words, I want to get the Table 1 in their paper.
Thanks in advance
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Sign up to join this communityI'm replicating the Fama-French five factor model. I have formed factor portfolios. I'm not sure how to calculate the average monthly percent excess returns for portfolios. In other words, I want to get the Table 1 in their paper.
Thanks in advance
If you have a Bloomberg terminal, you have several options including writing a few Excel functions to dump the data you need to produce these calculations (see =BDH() ).
Based on what I can glean from the question, you do not have that option. I'd try Yahoo finance for historical asset price data -- should be able to pull down the TBill rate AND the stock returns of your portfolio. Once you have that historical pricing data, you'll have to compute the returns by comparing the increase in asset price of your portfolio with the increase in the TBill index (or the current annual yield of the TBill adjusted for the holding period or something).
If you have any updates or clarifications to the question that may redirect our answers, feel free to call that out.