Converting Fama–French Monthly Factors to Annual Values

Summary

The document asks how to obtain semiannual or annual Fama–French three-factor values from the public historical data provided at daily, weekly, and monthly frequencies. Its accepted response recommends aggregating monthly factor returns to form annual figures, and points to a discussion of consistency between daily and monthly factors.

A second response notes that annual factor data may already appear farther down the relevant data file, after the monthly section. This offers two practical routes: check whether the desired frequency is published directly, or construct annual values from monthly observations. The source does not spell out the aggregation formula, clarify whether different factor series require distinct treatment, or provide a worked calculation. It also does not give guidance for semiannual aggregation beyond the general question. Researchers should therefore consult the cited factor documentation and verify the intended return aggregation before using converted series.

Key ideas

• Annual factor values can be formed by cumulating monthly factor values.
• Some public factor files may include annual data after the monthly series.
• The source points to research discussing consistency between daily and monthly factor data.
• It does not provide a worked formula or detailed semiannual conversion procedure.

Tags

# Fama/French 3 Factors: How to convert published daily/weekly/monthly values to semi-annual/annual?


# Fama/French 3 Factors: How to convert published daily/weekly/monthly values to semi-annual/annual?












In the famous Ken French web side there is database of historical values of FF 3 factors model. The partition is between daily/weekly/monthly tables.

- Is it possible (and how) to transform one of these tables to semi-annual/annual table?

- If not, is there a way to calculate semi-annual/annual tables based on other data from this web site? Note - The issue is to calculate values based on free public available data, assuming paid access to CRSP etc. N/A.

Thanks,

## Answer by KarolisR (score 1, accepted)

https://quant.stackexchange.com/a/31051

The following paper has a good discussion on the topic:

On the Consistency between the Fama-French Daily and Monthly Factors

Basically you should cumulate monthly ones to get to annual numbers.

## Answer by Cyurmt (score 1)

https://quant.stackexchange.com/a/33065

Most French website data contains annual factors too. You just have to scroll to the bottom of the text file after the monthly data.

Also, this is a related question.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.