Does anyone know if Kenneth French's return data on his website is log returns?
$\begingroup$
$\endgroup$
2
-
1$\begingroup$ I wrote him to ask on 12/31/2018 and immediately got a reply: "Our returns are simple, not natural logs." $\endgroup$– Mike O'ConnorDec 24, 2019 at 10:04
-
$\begingroup$ @MikeO'Connor Thanks Mike!!!!!````¬¬¬¬ $\endgroup$– Tony ChiversJan 2, 2020 at 8:28
Add a comment
|
1 Answer
$\begingroup$
$\endgroup$
No, none of the returns on Kenneth French's data library are log-returns.
Any of the Fama/French research factors (i.e. SML, HML, etc.) is calculated as the mean of value-weighted portfolio returns. The description for the 3-factor calculation states:
The Fama/French factors are constructed using the 6 value-weight portfolios formed on size and book-to-market.
,which holds for other factor-returns as well.
The returns of the industry-portfolios are given both as monthly and yearly return series, calculated as equal-weighted returns as well as value-weighted returns. This information can be obtained wether within the download file or its corresponding description page.
answered Nov 26, 2018 at 16:11