How to calculate the value weighted or equally weighted returns for the six portfolios SL,SM,SH,BL,BM,BH of fama french 3 factor model?
They are available on their websites.
If you want to build them by yourself, the procedure is well described on their original paper.
- divide the sample in deciles for each variable
- build long-short portfolios based on these deciles
- aggregate and compare perfomances
Overall, I think you should further detail your question.