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I am working with data from Kenneth French Data library. While I am aware that they use simple returns, I remain unsure about their format in downloadable files.

This is an extract of the file "Portfolios formed on Book to Market" showing daily portfolio returns based on their Book to Market ratio.

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I do not see it anywhere if the values are simple returns in absolute terms (1.37=137%), or in percentages (i.e. 1.37%).

Thanks!

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    $\begingroup$ Unless otherwise stated, it is likely in percentages. In many of his papers, he specifies different metrics in percentage-based values (returns, standard deviations, autocorrelations, etc.). It would be counterintuitive if his data library didn't do the same. $\endgroup$
    – Pleb
    Commented Feb 10, 2022 at 12:50
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    $\begingroup$ You can also do some simple checks as to whether the order of magnitude makes any sense (and verify with other sources). Is a daily return of 71% for April 5, 2021 plausible and correct? (No.) Is a daily return of 1.71% for April 5, 2021 plausible? (Yes.) $\endgroup$ Commented Feb 10, 2022 at 15:33
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    $\begingroup$ It's a good question though! Getting these simple details correct are hugely important, and they're often not documented super precisely (though Fama French are more cleanly documented and replicable than most IMHO). As @Pleb implied, you can also get some info into what they did from their papers rather than just relying on website docs. $\endgroup$ Commented Feb 10, 2022 at 16:07
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    $\begingroup$ Just to quickly add to @MatthewGunn's perfect answer: Ken French uses 99.99s to signal missing data (if some portfolios are empty). If you ever find such an entry, make sure to handle it properly :) $\endgroup$
    – Kevin
    Commented Feb 10, 2022 at 17:01

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In my experience working with Ken French's data library, a "1.37" in the return field would correspond to a 1.37% return (with rounding to the hundredths place).

You can of course do some simple checks as to whether the order of magnitude makes sense in whatever particular product you're downloading.

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