when using the monthly Fama/French 3 Factors .csv file on the French data libary web site, it is possible to see that the left column includes the monthly excess return of the market (Mkt-RF) and the very right column includes the monthly risk free rate (RF). The latter one is based on the one month T-Bill.

However I am unsure, if the RF in the dataset is annualized or already breaked down to a monthly rate.

Am I correct to assume that Mkt-RF was calculated with the monthly market return minus the monthly risk free rate breaked down to a monthly basis (100 * ( 12√ 1 + RF/100 - 1))?

Are the interest rates in the right column (RF) on a monthly basis or annualized?

I would like to thank you in advance and please let me know how I can improve my question.



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