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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?

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They are available on their websites.

If you want to build them by yourself, the procedure is well described on their original paper.

In short:

  • 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.

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  • $\begingroup$ Thanks for your answer, let me detail my question,i already sort data according to size and book to market ratio i want to know that how to calculate the value weighted or equally weighted returns of 6 portfolios in excel for Pakistan Stock Exchange data.? $\endgroup$ – Ehtesham Fazal Jun 2 at 10:34

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