Background: I am conducting some research on equity returns across Denmark, Finland, Norway and Sweden. The analysis is seen from a Danish investor’s point of view, and therefore I have currency adjusted all return data into DKK.

All data is retreived from Thomson Reuters Eikon.

Question: Right now I am trying to calculate the Fama-French (1993) three factor model (mkt, smb and hml). Should I also currency adjust the data I use as input for computing the SMB and HML factors?


1 Answer 1



Size, value, and momentum in international stock returns by Fama French states:

SMB is the equal-weight average of the returns on the three small stock portfolios for the region minus the average of the returns on the three big stock portfolios.

HML is the difference between the returns on diversified portfolios of high book-to-market (value) stocks and low book-to-market (growth) stocks.

The description of table 1 explains that:

All returns are in U.S. dollars.

  • $\begingroup$ thanks a lot!! I wonder if you know if there is any MATLAB or Python code on the computation of these factors published at this forum? I am new at stackexchange and still have some difficulties using the search function. $\endgroup$
    – Oliver
    Sep 25, 2021 at 20:43
  • $\begingroup$ Do you mean computing HML or SMB with python code? If so, if you Google this, you will find numerous useful results like this one. It's really just sorting returns in the dataframe though. $\endgroup$
    – AKdemy
    Sep 25, 2021 at 20:56

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