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Sources and Limitations for Real-Time Fama-French Factor Data

Article Quant Q&A · Author: Dejan
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Summary

The document asks how to obtain daily SMB and HML data for real-time use in a Fama-French model. It points to the Ken French data library as a source for daily market, size, and value factor series, while noting that the library is updated with a delay of roughly one to two months. This makes the historical data useful for research but unsuitable when current, real-time values are required.

For a timely market factor proxy, one answer suggests subtracting a short-term Treasury bill index from a broad U.S. total market index. It also cautions that substitutes for size and value factors should be market-neutral: a value or large-cap index or ETF alone represents only the long side and does not reproduce a long-short factor. The suggested proxy is approximate, not an exact replacement for the published factors.

Key ideas

  • The Ken French data library provides daily Fama-French factor series, but with a publication delay.
  • A broad market index less a short-term Treasury bill index is suggested as a market-factor proxy.
  • A single value or large-cap index does not capture a market-neutral long-short factor.
  • Alternative factor proxies are approximations and may not match the original construction.

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Factor investingEquitiesStatistics
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# How to get real-time data for Fama-French model?


# How to get real-time data for Fama-French model?












For Fama-French model we need `SMB` (small[market cap] minus big) and `HML` (high[book-to-market-ratio] minis low). I want to calculate daily alpha in real time, but the problem is how to get these values.

Is there any benchmark for this values or I have to know entire market and calculate these values manually?

Does Bloomberg or some other service provide this kind of data?

## Answer by Kian (score 3)

https://quant.stackexchange.com/a/15443

All the Fama-French data is downloadable here:

http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

and in particular, daily RMRF, SMB and HML data can be downloaded here:

http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/F-F_Research_Data_Factors_daily.zip

## Answer by Martin (score 1)

https://quant.stackexchange.com/a/63237

K. French's data library gets updated with a 1-2 month delay.

Alternatives that come close are:

- Mkt-RF: Dow Jones U.S. Total Stock Market Index minus S&P U.S. Treasury Bill 0-3 Month Index





It's important that we use market-neutral indices to replace the factors. A value or large-cap index or ETF would not do the trick, as these only cover the long side.

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.