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I have tried to transform the values from daily $R^d_t$ to weekly $R_t^w$ by calculating the cumulative return: $$RMW_t^w = \left[\left(\frac{RMW_1}{100} + 1\right)\left(\frac{RMW_2}{100}+1\right)...\right] - 1$$

The weekly results $RMW_t^w$ are not the same as the values given for HML from Kenneth French website.

So do i really have to check each week? How does one week work? Is the value 20100115 (weekly) all the values from ( including 8? or just from 11-14 or 15)?

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So i checked FF results:

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but mine do not all align:

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So i am not sure, if i calculate FF5 values if they are right, because SMB is far off. I have to do it over 7 years and some weeks only have 3 days, some 5 etc.

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  • $\begingroup$ It would be helpful if you show us your results for transforming daily factor returns to weekly returns and what results you are expecting. You may look at my answer on differences on daily/weekly/monthly factor returns here. $\endgroup$ – skoestlmeier Jul 3 '19 at 18:26
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    $\begingroup$ i have updated above. thank you $\endgroup$ – MR Flo Jul 4 '19 at 11:20

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