Scribd
Upload
88 views1 page

Momentum - 1927 - 2014 Partial View of Data in Spreadsheet

This document provides annual stock market return data from 1927 to 1967 for the United States, including returns for the total market (Mkt_RF), size (SMB), value (HML), and momentum (UMD) factors. It also gives risk-free rates of return (RF) and returns for the bottom (m1) and top (m10) deciles of the momentum factor. The data comes from several sources, including the French Data Library and papers by Fama and French.

Uploaded by

pedro
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
88 views1 page

Momentum - 1927 - 2014 Partial View of Data in Spreadsheet

This document provides annual stock market return data from 1927 to 1967 for the United States, including returns for the total market (Mkt_RF), size (SMB), value (HML), and momentum (UMD) factors. It also gives risk-free rates of return (RF) and returns for the bottom (m1) and top (m10) deciles of the momentum factor. The data comes from several sources, including the French Data Library and papers by Fama and French.

Uploaded by

pedro
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 1

Source for U.S. Stock Returns and U.S. Treasury Bill Rates: Kenneth R.

French Data Library (http://mb


For defintions of Fama-French Factors (Mkt_RF, SMB, & HML), see: http://mba.tuck.dartmouth.edu/
For definitions of UMD and bottom (m1) and top (m10) momentum deciles, see:
http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/det_mom_factor.html and

date Mkt_RF SMB HML RF Momentum (UMD) m1 (bottom decile)


1927 29.47 -2.5 -3.67 3.12 23.51 14.73
1928 35.39 4.2 -6.15 3.56 28.06 17.44
1929 -19.54 -30.79 11.83 4.75 20.63 -58.7
1930 -31.23 -5.13 -12.28 2.41 25.58 -54.99
1931 -45.11 3.53 -14.29 1.07 23.99 -64.73
1932 -9.39 4.68 10.16 0.96 -21.08 4.91
1933 57.05 48.94 28.27 0.3 19.74 55.32
1934 3.02 25.45 -27.37 0.16 17.31 -7.03
1935 44.96 6.76 14.73 0.17 21.33 25.36
1936 32.07 17.87 35.86 0.18 5.89 32.07
1937 -34.96 -14 -3.97 0.31 -4.36 -46.29
1938 28.48 9.35 -12.18 -0.02 -1.69 32.5
1939 2.7 5.85 -19.17 0.02 0.88 -11.22
1940 -7.14 0.76 -0.85 0 5.99 -15.67
1941 -10.53 -4.04 11.13 0.06 9.14 -28.58
1942 16.2 5.05 19.87 0.27 -15.54 38.76
1943 27.96 33.35 38.97 0.35 14.24 37.24
1944 20.97 17.98 15.64 0.33 10.75 21.67
1945 38.38 25.59 11.4 0.33 15.38 42.15
1946 -6.73 -3.78 2.98 0.35 5.34 -16.54
1947 2.95 -7.08 9.76 0.5 13.85 -13.15
1948 1.07 -9.14 3.52 0.81 11.86 -14.33
1949 19.12 3.93 -4.55 1.1 0.35 30.5
1950 28.82 0.93 27.01 1.2 15.38 17.46
1951 19.22 -5.1 -5.62 1.49 11.63 13.37
1952 11.8 -7.02 4.05 1.66 9.01 3.17
1953 -1.05 -0.8 -8.7 1.82 16.32 -19.72
1954 49.35 -2.46 25.74 0.86 10.34 48.65
1955 23.75 -6.76 5.71 1.57 14.05 13.88
1956 5.9 -1.38 -1.07 2.46 19.04 -6.11
1957 -13.16 -2.76 -6.42 3.14 9.9 -25.44
1958 43.45 14.78 13.14 1.54 -9.56 71.77
1959 9.76 5.59 1.51 2.95 19.23 -2.06
1960 -1.46 -2.69 -4.67 2.66 17.21 -13.43
1961 24.81 0.07 7.11 2.13 10.75 33.64
1962 -12.9 -8.62 9.29 2.73 11.96 -20.14
1963 17.84 -5.82 15.47 3.12 11.67 6.85
1964 12.54 -1.08 10.09 3.54 4.7 8.79
1965 10.52 21.68 7.53 3.93 20.55 22.24
1966 -13.51 2.68 -0.86 4.76 10.47 -15.44
1967 24.49 51.09 -8.92 4.21 22.49 36.65

You might also like