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

  • $\begingroup$ If you can show the algorithm for excess return, the data, and Table of the paper, it may be more helpful for your question. $\endgroup$
    – Gordon
    Jun 27 '16 at 20:29
  • $\begingroup$ The paper says they take the average of the monthly returns of the stocks in each portfolio and subtract the one month Tbill rate. You have identified the stocks, the CRSP database has the monthly returns of those stocks, you can find monthly tbill rates on French's website or maybe the Fed web site, so... what is the question? $\endgroup$
    – Alex C
    Jun 27 '16 at 23:20

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.


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