Reconstructing Daily SMB and HML Factors from Portfolio Sorts

Summary

The discussion explains why the Fama–French size and value factors are not readily available as current daily observations from the standard French data library: their underlying CRSP inputs are updated monthly. For a daily estimate, the answer proposes rebuilding the portfolios and calculating their returns from stock-level data.

The construction uses market equity and book-to-market sorts, with published NYSE breakpoints, and holds portfolio membership fixed between annual formation dates. Daily stock returns for the relevant exchanges are then combined to calculate the factor returns. Market capitalization and book equity data are also needed to assign stocks to portfolios. The response notes that the published breakpoints do not provide constituent lists and suggests obtaining the inputs from CRSP, Compustat, or another suitable source. This is a reconstruction method, not a real-time feed or a guarantee of exact equivalence to the official factors; the excerpt gives no validation results or vendor assessment.

Key ideas

• Monthly updates to the underlying CRSP data constrain how frequently the standard factors can be refreshed.
• Daily SMB and HML estimates can be built from stock-level data and portfolio assignments.
• The proposed sorts use market equity and book-to-market breakpoints and annual portfolio formation.
• Daily constituent returns are needed to calculate the factor returns.
• Published breakpoints alone do not identify portfolio constituents.

Tags

# Fama French 3 Factor Data


# Fama French 3 Factor Data












I have a trading strategy that uses the Fama and French 3 Factor data. It's provided on French's website up until the previous month or so.

And indeed, this is a great source of data. The only problem is: it is not real time (as previous posts have discussed)

Obviously the market factor is easy to get a real time proxy for (FTSE100 or the S&P500). What about the SMB and HML fators though? Can someone tell me how I can get daily data for yesterday's SMB and HML factors?

## Answer by pbr142 (score 3, accepted)

https://quant.stackexchange.com/a/17003

Fama and French calculate the factors based on CRSP data. The fastest that CRSP data is updated is monthly which is why Ken French updates the data on his website at monthly intervals.

If you need daily updates, you would have to construct the 2x3 sort by ME and BE/ME yourself. French's website publishes the breakpoints (based on all NYSE stocks) for the portfolios. But as far as I know, he does not publish what the portfolio constituents are. For the SMB and HML factors, the portfolio sorts are formed at the end of June each year and held constant throughout the year. You can use CRSP and Compustat data (or any other source that gives you the market cap and book equity) to figure out which stock is member of which portfolio. If you have access to the returns of all stocks listed on NYSE, AMEX, and NASDAQ at the end of each day, you can then construct the factor returns. P.S.: There may be data vendors that sell the factor returns at a daily frequency, but I am unaware of them.

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