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In the famous Ken French web side there is database of historical values of FF 3 factors model. The partition is between daily/weekly/monthly tables.

  1. Is it possible (and how) to transform one of these tables to semi-annual/annual table?
  2. If not, is there a way to calculate semi-annual/annual tables based on other data from this web site? Note - The issue is to calculate values based on free public available data, assuming paid access to CRSP etc. N/A.

Thanks,

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2 Answers 2

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The following paper has a good discussion on the topic:

On the Consistency between the Fama-French Daily and Monthly Factors

Basically you should cumulate monthly ones to get to annual numbers.

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  • $\begingroup$ Hi, Thanks. What you mean by "cumulate"? $\endgroup$
    – michael
    Nov 17, 2016 at 14:08
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    $\begingroup$ (1+HML1)*(1+HML2)*...*(1+HML12)-1 for example $\endgroup$
    – KarolisR
    Nov 17, 2016 at 15:02
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Most French website data contains annual factors too. You just have to scroll to the bottom of the text file after the monthly data.

Also, this is a related question.

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