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Does anyone know if Kenneth French's return data on his website is log returns?

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    $\begingroup$ I wrote him to ask on 12/31/2018 and immediately got a reply: "Our returns are simple, not natural logs." $\endgroup$ – Mike O'Connor Dec 24 '19 at 10:04
  • $\begingroup$ @MikeO'Connor Thanks Mike!!!!!````¬¬¬¬ $\endgroup$ – Tony Chivers Jan 2 at 8:28
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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.

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