Global_3_Factors.csvThis file was created using the 201702 Blo.docx

Global_3_Factors.csvThis file was created using the 201702
Bloomberg database.Missing data are indicated by -99.99.Mkt-
RFSMBHMLRF199007 0.86 0.77 -0.25 0.68199008 -
10.82 -1.59 0.57 0.66199009 -11.97 1.24 0.74
0.60199010 9.57 -7.41 -4.17 0.68199011 -3.87 1.24
1.12 0.57199012 1.10 -0.78 -1.64 0.60199101 2.44 -
2.02 0.44 0.52199102 9.10 2.53 0.00 0.48199103 -
2.38 3.04 -0.83 0.44199104 0.55 0.03 0.51
0.53199105 0.72 -0.61 0.39 0.47199106 -6.09 1.37
1.01 0.42199107 3.43 -1.75 -0.54 0.49199108 -1.35
0.27 -0.58 0.46199109 2.90 0.48 0.00 0.46199110
1.35 -0.14 -1.42 0.42199111 -5.10 0.86 -1.34
0.39199112 6.26 -1.95 -2.69 0.38199201 -2.21 3.61
3.00 0.34199202 -1.93 2.24 1.88 0.28199203 -5.48
0.75 2.45 0.34199204 -0.11 -1.76 2.59 0.32199205
4.13 0.24 0.68 0.28199206 -3.71 0.61 0.93
0.32199207 -0.64 -2.34 -1.37 0.31199208 2.52 -2.57
-1.65 0.26199209 -1.41 -0.09 -0.98 0.26199210 -3.08
-0.49 -0.36 0.23199211 1.78 -0.18 -1.62 0.23199212
0.73 1.41 0.78 0.28199301 0.30 1.64 3.06
0.23199302 1.92 -1.17 3.43 0.22199303 6.73 0.37
2.03 0.25199304 4.43 0.67 2.85 0.24199305 3.13
4.45 -1.46 0.22199306 -2.18 -0.93 0.40 0.25199307
2.30 -1.51 1.37 0.24199308 4.37 0.94 1.06
0.25199309 -2.01 1.87 0.32 0.26199310 1.11 -0.42 -
0.77 0.22199311 -6.29 1.56 -0.17 0.25199312 4.08
0.21 2.29 0.23199401 7.32 0.50 3.16 0.25199402 -
1.13 1.42 0.57 0.21199403 -3.70 0.79 1.74
0.27199404 2.35 -0.10 1.15 0.27199405 -0.21 -1.43
1.33 0.32199406 0.13 -0.63 1.28 0.31199407 1.08 -
0.39 0.62 0.28199408 2.09 0.05 -1.87 0.37199409 -
2.84 1.84 -0.32 0.37199410 2.10 -1.84 -0.14

0.38199411 -5.16 -0.35 -0.31 0.37199412 0.76 -0.06
-0.56 0.44199501 -2.35 0.20 0.29 0.42199502 0.59
0.38 0.34 0.40199503 4.25 -1.97 -1.33 0.46199504
2.66 -1.21 0.08 0.45199505 -0.14 -0.13 0.49
0.54199506 -0.07 2.04 -1.01 0.47199507 4.37 0.70 -
1.93 0.45199508 -1.82 2.16 -0.30 0.47199509 1.67 -
1.22 -1.29 0.43199510 -1.97 -1.59 -0.21 0.47199511
2.63 -1.40 -0.32 0.42199512 2.17 0.43 0.86
0.49199601 1.08 -0.07 0.66 0.43199602 0.61 1.28 -
0.52 0.39199603 1.20 0.40 -0.07 0.39199604 2.69
3.52 -1.21 0.46199605 0.10 2.24 -0.57 0.42199606 -
0.49 -2.53 1.44 0.40199607 -4.52 -2.02 3.00
0.45199608 0.94 1.29 -0.66 0.41199609 3.18 -2.60 -
0.92 0.44199610 -0.48 -0.70 2.09 0.42199611 4.44 -
3.38 1.74 0.41199612 -1.77 0.81 1.09 0.46199701
0.04 -0.12 0.15 0.45199702 0.31 -1.43 2.08
0.39199703 -2.78 -1.13 2.46 0.43199704 1.95 -4.40
-0.38 0.43199705 6.99 1.83 -1.68 0.49199706 4.02
-1.64 0.85 0.37199707 3.73 -4.52 -0.23 0.43199708
-5.61 5.36 0.52 0.41199709 4.98 -2.13 -0.45
0.44199710 -5.56 0.80 1.15 0.42199711 0.31 -5.76 -
0.59 0.39199712 0.28 -3.61 2.08 0.48199801 1.98 -
0.27 -1.13 0.43199802 6.51 0.09 0.57 0.39199803
3.78 -0.68 2.13 0.39199804 0.72 0.42 -0.18
0.43199805 -1.64 -0.95 1.79 0.40199806 1.22 -3.78
-1.70 0.41199807 -1.20 -3.33 -1.03 0.40199808 -14.03
-0.86 -0.34 0.43199809 1.24 -0.29 -3.08 0.46199810
8.14 -3.04 1.41 0.32199811 5.00 -0.49 -1.27
0.31199812 4.35 -1.53 -3.23 0.38199901 1.72 -0.11
-3.77 0.35199902 -3.28 -0.85 0.22 0.35199903 3.56
-0.86 0.17 0.43199904 4.29 2.51 3.65 0.37199905
-3.14 2.97 0.43 0.34199906 4.63 3.12 -1.65
0.40199907 -0.34 1.93 0.95 0.38199908 0.03 1.25 -
1.64 0.39199909 -0.61 2.16 -2.01 0.39199910 4.43 -
4.73 -3.97 0.39199911 3.62 2.19 -9.39 0.36199912
7.10 -1.05 -5.75 0.44200001 -5.41 5.59 -1.94

0.41200002 2.25 10.40 -9.54 0.43200003 4.76 -9.81
6.49 0.47200004 -5.76 -5.22 5.08 0.46200005 -3.24
-1.08 5.57 0.50200006 3.29 4.96 -1.42 0.40200007
-3.34 -2.30 5.65 0.48200008 4.12 0.17 -1.45
0.50200009 -5.25 -0.70 6.18 0.51200010 -3.50 -5.55
6.55 0.56200011 -7.41 -1.55 11.62 0.51200012 1.39
0.72 7.34 0.50200101 1.81 2.51 -3.64 0.54200102 -
8.81 2.44 11.65 0.38200103 -7.75 -0.88 7.06
0.42200104 7.67 -0.62 -3.26 0.39200105 -1.12 2.12
2.73 0.32200106 -2.77 1.65 3.51 0.28200107 -2.58 -
3.18 2.97 0.30200108 -4.45 2.20 3.92 0.31200109 -
9.98 -4.95 1.90 0.28200110 2.57 4.09 -5.12
0.22200111 5.53 -0.68 -1.80 0.17200112 0.64 0.25
1.32 0.15200201 -3.10 1.11 1.97 0.14200202 -0.73 -
0.22 3.36 0.13200203 4.65 1.39 0.56 0.13200204 -
2.48 3.78 5.42 0.15200205 0.33 0.15 3.25
0.14200206 -5.47 2.06 2.23 0.13200207 -8.71 -1.37
-0.01 0.15200208 0.22 -1.53 1.67 0.14200209 -10.39
2.85 0.94 0.14200210 5.98 -5.02 -3.58 0.14200211
5.14 -0.05 -0.54 0.12200212 -4.27 1.88 3.45
0.11200301 -2.70 1.87 0.81 0.10200302 -1.85 0.46
1.70 0.09200303 -0.35 0.45 -1.06 0.10200304 8.74 -
0.13 -0.71 0.10200305 6.55 3.14 0.61 0.09200306
2.03 1.97 0.79 0.10200307 2.20 2.21 1.51
0.07200308 2.71 2.73 1.31 0.07200309 1.34 2.80
0.02 0.08200310 5.87 0.81 2.49 0.07200311 1.66 -
0.13 0.25 0.07200312 5.62 -1.63 0.96 0.08200401
2.29 2.56 1.84 0.07200402 1.90 -0.01 0.67
0.06200403 -0.02 3.79 0.24 0.09200404 -2.33 -0.54
-1.86 0.08200405 0.65 -1.60 0.42 0.06200406 2.39
2.23 0.96 0.08200407 -3.81 -1.63 2.47 0.10200408
0.36 -0.71 1.26 0.11200409 2.12 1.27 0.52
0.11200410 2.58 0.47 0.18 0.11200411 5.36 2.10
1.30 0.15200412 3.80 0.00 0.55 0.16200501 -1.91
2.06 1.36 0.16200502 2.96 0.41 1.35 0.16200503 -
2.02 -0.48 1.52 0.21200504 -2.58 -0.94 -0.04

0.21200505 1.40 -0.88 -0.10 0.24200506 1.21 1.90
1.60 0.23200507 3.53 0.92 0.05 0.24200508 1.04
0.63 0.78 0.30200509 2.07 -0.31 0.99 0.29200510 -
2.67 -0.21 0.11 0.27200511 2.91 0.17 -0.60
0.31200512 2.59 2.29 -0.71 0.32200601 4.49 2.73
1.37 0.35200602 -0.44 -0.72 1.39 0.34200603 2.44
1.99 0.59 0.37200604 2.85 0.38 1.37 0.36200605 -
4.12 -2.32 1.15 0.43200606 -0.60 -1.62 0.00
0.40200607 -0.26 -2.96 2.40 0.40200608 2.23 0.22 -
0.78 0.42200609 0.61 -1.46 0.52 0.41200610 3.32
0.49 -0.34 0.41200611 2.30 0.36 0.43 0.42200612
1.84 -0.17 1.27 0.40200701 0.96 0.88 0.13
0.44200702 -0.54 1.48 0.75 0.38200703 1.75 0.19
0.43 0.43200704 3.73 -0.95 0.36 0.44200705 2.48 -
0.87 0.57 0.41200706 -0.82 0.99 0.15 0.40200707 -
2.38 0.25 -0.94 0.40200708 -1.15 -3.54 -0.34
0.42200709 4.40 -2.14 -1.49 0.32200710 3.18 0.85 -
2.63 0.32200711 -4.66 -3.49 -0.65 0.34200712 -1.59
-0.72 0.56 0.27200801 -7.80 -1.15 2.67 0.21200802
-0.07 2.17 -0.86 0.13200803 -1.24 -0.82 1.58
0.17200804 4.92 -2.78 -0.38 0.18200805 1.83 1.70 -
1.28 0.18200806 -8.08 1.29 -1.12 0.17200807 -2.76
-0.41 2.02 0.15200808 -2.08 -0.46 0.18 0.13200809
-12.24 -1.26 2.34 0.15200810 -19.54 -2.78 0.01
0.08200811 -6.56 -0.46 -1.69 0.03200812 4.42 2.22
0.49 0.00200901 -8.56 2.27 -4.60 0.00200902 -9.97
1.17 -4.19 0.01200903 7.28 -1.36 -0.04 0.02200904
11.45 1.68 2.68 0.01200905 9.93 1.64 -0.09
0.00200906 -0.27 2.78 -1.63 0.01200907 8.61 -1.39
4.00 0.01200908 3.98 0.87 4.79 0.01200909 4.43
1.68 0.39 0.01200910 -2.15 -0.39 -2.19 0.00200911
3.63 -2.43 -1.44 0.00200912 1.96 0.65 0.79
0.01201001 -3.73 2.64 -0.10 0.00201002 1.30 -0.02
0.14 0.00201003 6.27 -0.18 3.00 0.01201004 0.41
3.90 0.77 0.01201005 -9.53 0.07 -2.45 0.01201006 -
3.15 0.30 -2.76 0.01201007 8.21 -1.51 1.40

0.01201008 -3.91 -0.15 -1.99 0.01201009 9.85 1.59
-1.63 0.01201010 3.94 -0.04 -1.20 0.01201011 -2.17
2.10 -0.67 0.01201012 7.62 1.97 1.92 0.01201101
2.11 -1.59 2.72 0.01201102 3.48 0.19 0.46
0.01201103 -0.69 1.45 -1.66 0.01201104 4.46 -0.64
-1.83 0.00201105 -2.10 -0.52 -1.34 0.00201106 -1.52
-0.46 0.58 0.00201107 -1.70 1.18 -2.17 0.00201108
-7.51 -0.66 -1.78 0.01201109 -9.19 -1.34 0.86
0.00201110 10.02 -1.97 -1.92 0.00201111 -2.63 -1.12
-0.72 0.00201112 -0.45 -0.49 1.94 0.00201201 5.60
2.13 -1.09 0.00201202 4.93 -0.85 -0.21 0.00201203
1.23 -0.37 -0.03 0.00201204 -1.11 0.23 -1.75
0.00201205 -8.89 -0.54 0.18 0.01201206 4.85 -1.59
1.53 0.00201207 0.85 -1.64 -1.05 0.00201208 2.79 -
0.21 0.74 0.01201209 3.08 1.11 1.26 0.01201210 -
0.43 -0.70 2.18 0.01201211 1.32 -1.19 0.03
0.01201212 2.31 1.29 3.52 0.01201301 5.45 0.03
2.11 0.00201302 0.09 0.32 -0.72 0.00201303 2.28
0.69 -2.01 0.00201304 3.01 -1.32 1.05 0.00201305
0.55 -0.63 1.01 0.00201306 -2.51 0.44 -0.24
0.00201307 5.57 0.01 0.43 0.00201308 -1.82 1.29 -
0.69 0.00201309 5.50 2.04 -0.34 0.00201310 3.74 -
1.65 1.90 0.00201311 1.81 -0.21 -0.17 0.00201312
2.18 -0.22 -0.15 0.00201401 -3.32 2.72 -0.04
0.00201402 5.05 -0.71 0.03 0.00201403 0.15 -0.46
2.72 0.00201404 0.56 -2.65 1.07 0.00201405 1.75 -
1.12 -0.32 0.00201406 2.00 2.09 -0.11 0.00201407 -
2.05 -1.17 0.21 0.00201408 1.93 -0.47 -0.80
0.00201409 -3.09 -2.68 -0.86 0.00201410 0.34 -0.17
-3.04 0.00201411 1.65 -2.09 -2.14 0.00201412 -1.44
1.76 -0.12 0.00201501 -1.75 -0.03 -2.44 0.00201502
5.93 -0.17 -0.45 0.00201503 -1.18 1.40 -0.86
0.00201504 2.70 0.80 2.15 0.00201505 0.50 1.26 -
1.25 0.00201506 -2.10 2.09 -0.68 0.00201507 1.15 -
3.07 -3.21 0.00201508 -6.17 1.38 0.98 0.00201509 -
3.92 -0.26 -0.93 0.00201510 7.33 -2.32 0.27

0.00201511 -0.31 1.77 -1.92 0.00201512 -1.74 0.97
-1.68 0.01201601 -6.31 -2.10 0.79 0.01201602 -0.51
0.84 -0.17 0.02201603 6.91 1.29 0.56 0.02201604
1.90 0.99 2.99 0.01201605 0.45 0.00 -2.04
0.01201606 -1.67 -0.48 -0.72 0.02201607 4.49 1.34
0.30 0.02201608 0.30 0.34 2.23 0.02201609 0.89
2.25 -1.26 0.02201610 -1.88 -1.59 4.26 0.02201611
1.40 0.30 4.32 0.01201612 2.27 -0.45 2.74
0.03201701 2.71 0.33 -0.67 0.04201702 2.27 -0.64 -
1.77 0.04 Annual Factors: January-DecemberMkt-
RFSMBHMLRF1991 11.92 2.57 -5.84 5.601992 -9.70
1.51 6.21 3.511993 19.11 9.48 17.60 2.901994 2.30
-0.12 6.88 3.901995 12.97 -1.84 -4.87 5.601996
7.22 -2.19 7.09 5.211997 8.48 -17.52 6.30 5.261998
15.87 -16.55 -7.47 4.861999 24.64 11.16 -29.25
4.682000 -18.48 -4.60 37.06 5.892001 -19.72 4.28
20.66 3.832002 -18.87 5.22 16.40 1.652003 36.37
20.58 12.01 1.022004 16.17 9.02 10.17 1.202005
8.78 6.13 7.29 2.982006 16.02 -4.18 11.07
4.802007 5.27 -7.83 -3.45 4.662008 -42.00 -2.06
2.41 1.602009 31.62 10.07 -4.61 0.102010 13.96
12.51 -5.08 0.122011 -6.95 -5.53 -4.48 0.042012
16.88 -2.86 6.08 0.062013 28.65 1.02 2.60
0.022014 3.26 -5.11 -3.41 0.022015 -0.37 4.09 -
10.17 0.022016 7.93 2.72 15.24 0.20
F-F_Research_Data_Factors.CSVThis file was created by
CMPT_ME_BEME_RETS using the 201702 CRSP database.The
1-month TBill return is from Ibbotson and Associates Inc.Mkt-
RFSMBHMLRF192607 2.96 -2.30 -2.87 0.22192608
2.64 -1.40 4.19 0.25192609 0.36 -1.32 0.01
0.23192610 -3.24 0.04 0.51 0.32192611 2.53 -0.20 -
0.35 0.31192612 2.62 -0.04 -0.02 0.28192701 -0.06
-0.56 4.83 0.25192702 4.18 -0.10 3.17 0.26192703
0.13 -1.60 -2.67 0.30192704 0.46 0.43 0.60
0.25192705 5.44 1.41 4.93 0.30192706 -2.34 0.47 -

1.53 0.26192707 7.26 -3.23 -1.16 0.30192708 1.97 -
0.72 -3.69 0.28192709 4.76 -3.57 -0.71 0.21192710
-4.31 2.13 -4.33 0.25192711 6.58 2.76 -0.31
0.21192712 2.09 0.93 -1.06 0.22192801 -0.68 4.25 -
0.72 0.25192802 -1.70 -2.03 -0.69 0.33192803 8.81
-0.26 -1.20 0.29192804 4.23 3.82 3.67 0.22192805
1.52 2.98 -3.46 0.32192806 -4.85 -3.50 -0.06
0.31192807 0.62 -1.35 -0.47 0.32192808 6.68 -2.07
-2.11 0.32192809 2.88 2.18 0.76 0.27192810 1.33
2.27 -2.26 0.41192811 11.81 -1.81 2.80 0.38192812
0.36 -0.85 -0.60 0.06192901 4.66 -3.55 -1.21
0.34192902 -0.34 -0.39 1.68 0.36192903 -0.89 -4.78
1.56 0.34192904 1.43 -0.99 0.61 0.36192905 -6.39 -
5.46 -1.57 0.44192906 9.70 -2.17 -2.76 0.52192907
4.46 -3.87 2.67 0.33192908 8.18 -9.51 0.07
0.40192909 -5.47 1.17 -0.63 0.35192910 -20.12 -4.08
7.85 0.46192911 -12.74 -1.91 5.33 0.37192912 1.33
-4.20 -0.59 0.37193001 5.61 3.58 -1.01 0.14193002
2.50 0.12 0.39 0.30193003 7.10 3.44 0.15
0.35193004 -2.06 -0.17 -0.84 0.21193005 -1.66 -2.04
-0.63 0.26193006 -16.27 -3.22 2.00 0.27193007 4.12
-0.37 -1.56 0.20193008 0.30 -2.22 -0.78 0.09193009
-12.75 -2.22 -5.27 0.22193010 -8.78 -0.10 -1.35
0.09193011 -3.04 2.21 -3.53 0.13193012 -7.83 -4.68
-5.39 0.14193101 6.24 3.81 7.21 0.15193102 10.88
3.39 1.60 0.04193103 -6.43 3.07 -3.65 0.13193104 -
9.98 -4.61 -3.92 0.08193105 -13.24 5.16 -6.57
0.09193106 13.90 -5.38 11.30 0.08193107 -6.62 1.43
-2.10 0.06193108 0.41 -1.97 -1.49 0.03193109 -29.13
0.56 -6.75 0.03193110 8.04 -1.87 1.70 0.10193111 -
9.08 4.30 -5.05 0.17193112 -13.53 -0.56 -8.86
0.12193201 -1.58 3.94 9.04 0.23193202 5.46 -2.77 -
1.45 0.23193203 -11.21 2.27 -2.32 0.16193204 -17.96
1.44 1.42 0.11193205 -20.51 3.72 -3.28 0.06193206
-0.70 0.35 5.32 0.02193207 33.84 -4.44 35.46
0.03193208 37.06 14.29 33.03 0.03193209 -2.94 -2.43

-6.82 0.03193210 -13.17 -2.76 -10.04 0.02193211 -5.88
2.08 -13.28 0.02193212 4.40 -8.27 -8.16 0.01193301
1.25 0.63 6.14 0.01193302 -15.24 -2.75 -2.73 -
0.03193303 3.29 3.90 7.38 0.04193304 38.85 4.56
17.43 0.10193305 21.43 36.70 19.03 0.04193306 13.11
8.67 -1.88 0.02193307 -9.63 -1.01 3.27 0.02193308
12.05 -5.45 2.96 0.03193309 -10.65 -0.32 -11.77
0.02193310 -8.36 -0.08 -8.46 0.01193311 9.97 -6.48
2.33 0.02193312 1.83 0.66 -1.53 0.02193401 12.60
12.53 15.54 0.05193402 -2.50 5.19 2.12 0.02193403
0.09 2.51 -2.73 0.02193404 -1.79 2.80 -3.75
0.01193405 -7.25 -0.26 -5.91 0.01193406 2.64 -2.14
-2.92 0.01193407 -10.96 -6.94 -10.66 0.01193408 5.58
5.42 0.50 0.01193409 -0.23 -1.52 -1.24 0.01193410
-1.66 1.24 -5.11 0.01193411 8.33 6.49 -2.24
0.01193412 0.36 3.08 -3.17 0.01193501 -3.45 1.07 -
1.89 0.01193502 -1.94 0.42 -7.24 0.02193503 -3.68
-3.54 -5.06 0.01193504 9.06 -1.56 4.27 0.01193505
3.47 -3.28 2.52 0.01193506 5.93 -5.03 2.13
0.01193507 7.51 1.47 6.86 0.01193508 2.65 6.28
5.70 0.01193509 2.63 1.57 -4.05 0.01193510 7.03
2.65 -2.33 0.01193511 4.88 4.30 11.91 0.02193512
4.56 0.22 1.07 0.01193601 6.89 5.10 10.51
0.01193602 2.49 1.14 5.04 0.01193603 0.99 0.66 -
1.66 0.02193604 -8.14 -6.03 -2.08 0.02193605 5.19
0.81 2.63 0.02193606 2.40 -3.25 -1.20 0.03193607
6.67 1.14 2.56 0.01193608 0.99 0.72 3.99
0.02193609 0.98 3.07 0.88 0.01193610 7.12 -2.39
2.52 0.02193611 3.27 9.01 -0.92 0.01193612 0.21
3.61 3.96 0.00193701 3.35 4.31 2.61 0.01193702
1.09 1.23 5.05 0.02193703 -0.27 -1.78 6.39
0.01193704 -7.36 -3.77 -3.61 0.03193705 -0.83 -0.66
-3.49 0.06193706 -4.21 -3.65 -3.21 0.03193707 8.91
0.85 0.82 0.03193708 -4.86 0.42 -2.25 0.02193709 -
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0.56197809 -1.43 -0.41 1.87 0.62197810 -11.91 -9.90
1.36 0.68197811 2.71 3.01 -2.21 0.70197812 0.88
1.25 -2.19 0.78197901 4.23 3.68 2.24 0.77197902 -
3.56 0.45 1.18 0.73197903 5.68 3.19 -0.65
0.81197904 -0.06 2.16 1.07 0.80197905 -2.21 0.55
1.92 0.82197906 3.85 1.18 1.48 0.81197907 0.82
1.26 1.68 0.77197908 5.53 2.07 -1.49 0.77197909 -
0.82 -0.24 -0.89 0.83197910 -8.10 -3.32 -1.89
0.87197911 5.21 2.74 -3.27 0.99197912 1.79 4.19 -

2.03 0.95198001 5.51 1.65 1.85 0.80198002 -1.22 -
1.81 0.62 0.89198003 -12.90 -6.64 -1.06 1.21198004
3.97 0.96 1.05 1.26198005 5.26 2.13 0.44
0.81198006 3.06 1.67 -0.88 0.61198007 6.49 4.24 -
6.30 0.53198008 1.80 3.91 -2.64 0.64198009 2.19
0.88 -4.79 0.75198010 1.06 2.47 -2.73 0.95198011
9.59 -3.45 -8.34 0.96198012 -4.52 -0.27 2.68
1.31198101 -5.04 3.00 6.84 1.04198102 0.56 -0.30
0.96 1.07198103 3.56 3.58 0.67 1.21198104 -2.10
4.42 2.26 1.08198105 0.11 2.00 -0.42 1.15198106 -
2.36 -0.85 5.12 1.35198107 -1.54 -2.18 -0.63
1.24198108 -7.03 -1.95 4.83 1.28198109 -7.17 -2.66
5.18 1.24198110 4.92 2.14 -4.21 1.21198111 3.36 -
0.97 1.89 1.07198112 -3.65 1.18 0.75 0.87198201 -
3.24 -1.29 3.14 0.80198202 -5.86 0.48 6.07
0.92198203 -1.87 -0.20 3.78 0.98198204 3.27 1.51 -
2.81 1.13198205 -3.99 0.47 1.82 1.06198206 -3.09 -
0.40 1.51 0.96198207 -3.19 0.84 0.15 1.05198208
11.14 -4.11 1.16 0.76198209 1.29 2.88 0.34
0.51198210 11.30 2.36 -3.68 0.59198211 4.67 4.77
-1.96 0.63198212 0.55 -0.18 0.01 0.67198301 3.60
2.69 -0.86 0.69198302 2.59 3.23 0.67 0.62198303
2.82 1.78 2.07 0.63198304 6.67 0.54 0.60
0.71198305 0.52 6.15 -1.39 0.69198306 3.07 0.90 -
3.86 0.67198307 -4.07 1.47 5.58 0.74198308 -0.50 -
4.29 5.52 0.76198309 0.92 0.56 1.06 0.76198310 -
3.44 -3.60 5.02 0.76198311 2.16 2.03 -0.64
0.70198312 -1.78 -0.29 1.68 0.73198401 -1.92 -0.43
7.60 0.76198402 -4.82 -1.70 3.30 0.71198403 0.63
0.06 0.48 0.73198404 -0.52 -1.19 1.24 0.81198405 -
5.97 0.05 0.24 0.78198406 1.82 -0.31 -2.61
0.75198407 -2.74 -2.21 0.43 0.82198408 10.28 -0.25
-1.81 0.83198409 -0.80 0.22 5.28 0.86198410 -0.84
-1.21 0.49 1.00198411 -1.76 -0.61 4.05 0.73198412
1.84 -0.60 -0.16 0.64198501 7.99 3.27 -5.40
0.65198502 1.22 0.77 -0.14 0.58198503 -0.84 -1.14

4.05 0.62198504 -0.96 0.15 3.71 0.72198505 5.09 -
2.25 -0.85 0.66198506 1.27 0.56 0.55 0.55198507 -
0.74 2.85 -1.66 0.62198508 -1.02 -0.34 2.25
0.55198509 -4.54 -1.58 1.32 0.60198510 4.02 -1.57
0.78 0.65198511 6.48 0.22 -2.92 0.61198512 3.88 -
0.50 -1.58 0.65198601 0.65 1.22 0.56 0.56198602
7.13 -0.65 -0.93 0.53198603 4.88 -0.51 -0.47
0.60198604 -1.31 2.84 -2.91 0.52198605 4.62 -1.31
-0.11 0.49198606 1.03 -0.90 1.39 0.52198607 -6.45
-3.38 4.77 0.52198608 6.07 -4.18 3.51 0.46198609
-8.60 2.28 3.19 0.45198610 4.66 -2.49 -1.34
0.46198611 1.17 -1.92 -0.05 0.39198612 -3.27 0.08
0.33 0.49198701 12.47 -1.80 -3.17 0.42198702 4.39
3.49 -5.98 0.43198703 1.64 0.37 1.64 0.47198704 -
2.11 -1.70 -0.32 0.44198705 0.11 -0.52 0.12
0.38198706 3.94 -2.19 1.06 0.48198707 3.85 -0.63
0.71 0.46198708 3.52 -0.75 -0.93 0.47198709 -2.59
0.53 0.28 0.45198710 -23.24 -8.42 4.23 0.60198711
-7.77 2.76 3.08 0.35198712 6.81 0.13 -4.45
0.39198801 4.21 -0.70 5.17 0.29198802 4.75 3.35 -
1.65 0.46198803 -2.27 6.15 0.75 0.44198804 0.56
0.96 1.68 0.46198805 -0.29 -2.65 2.28 0.51198806
4.79 2.12 -1.11 0.49198807 -1.25 -0.21 2.27
0.51198808 -3.31 0.08 2.08 0.59198809 3.30 -1.26 -
0.69 0.62198810 1.15 -2.90 1.68 0.61198811 -2.29 -
1.73 1.27 0.57198812 1.49 1.94 -1.55 0.63198901
6.10 -2.13 0.53 0.55198902 -2.25 2.76 0.88
0.61198903 1.57 0.73 0.48 0.67198904 4.33 -0.59 -
1.47 0.67198905 3.35 -0.03 -0.83 0.79198906 -1.35
-1.01 2.16 0.71198907 7.20 -4.02 -2.83 0.70198908
1.44 0.50 0.73 0.74198909 -0.76 0.28 -1.33
0.65198910 -3.67 -3.30 -1.02 0.68198911 1.03 -1.24
-1.11 0.69198912 1.16 -2.41 0.30 0.61199001 -7.85
-1.28 0.86 0.57199002 1.11 1.03 0.61 0.57199003
1.83 1.52 -2.89 0.64199004 -3.36 -0.50 -2.55
0.69199005 8.42 -2.56 -3.73 0.68199006 -1.09 1.43

-1.95 0.63199007 -1.90 -3.20 -0.02 0.68199008 -10.15
-3.58 1.63 0.66199009 -6.12 -3.67 0.74 0.60199010
-1.92 -5.53 0.29 0.68199011 6.35 0.32 -3.11
0.57199012 2.46 0.81 -1.56 0.60199101 4.69 3.80 -
1.84 0.52199102 7.19 3.94 -0.54 0.48199103 2.65
3.90 -1.24 0.44199104 -0.28 0.51 1.40 0.53199105
3.64 -0.34 -0.56 0.47199106 -4.94 0.07 1.21
0.42199107 4.24 -0.95 -1.27 0.49199108 2.32 1.59 -
0.79 0.46199109 -1.59 1.63 -0.98 0.46199110 1.29
0.90 -0.44 0.42199111 -4.19 -0.47 -1.91 0.39199112
10.83 -2.24 -4.04 0.38199201 -0.59 8.45 4.50
0.34199202 1.09 0.88 6.36 0.28199203 -2.65 -1.03
3.66 0.34199204 1.08 -6.12 4.28 0.32199205 0.30
0.40 1.27 0.28199206 -2.34 -3.09 3.41 0.32199207
3.77 -0.44 -0.53 0.31199208 -2.38 -0.11 -1.04
0.26199209 1.19 0.56 -0.21 0.26199210 1.02 2.04 -
2.10 0.23199211 4.13 3.69 -1.48 0.23199212 1.53
1.65 2.51 0.28199301 0.93 2.05 5.89 0.23199302
0.13 -3.44 6.42 0.22199303 2.30 0.24 1.24
0.25199304 -3.05 -0.70 2.61 0.24199305 2.88 1.96 -
3.41 0.22199306 0.31 -0.30 2.61 0.25199307 -0.34
0.93 3.25 0.24199308 3.72 0.32 -0.45 0.25199309 -
0.12 3.12 -0.44 0.26199310 1.41 1.45 -1.55
0.22199311 -1.89 -1.43 -0.27 0.25199312 1.65 1.22
0.57 0.23199401 2.87 0.13 2.08 0.25199402 -2.56
2.73 -1.44 0.21199403 -4.78 -0.97 1.32 0.27199404
0.68 -0.92 1.68 0.27199405 0.58 -2.02 0.19
0.31199406 -3.03 -0.47 1.68 0.31199407 2.82 -1.72
0.60 0.28199408 4.01 1.33 -2.82 0.37199409 -2.31
2.82 -1.91 0.37199410 1.34 -2.36 -1.74 0.38199411
-4.04 0.27 -0.95 0.37199412 0.86 0.03 0.53
0.44199501 1.80 -2.65 0.81 0.42199502 3.63 -0.69
1.04 0.40199503 2.18 -0.70 -1.06 0.46199504 2.11 -
0.63 2.25 0.44199505 2.90 -2.20 1.68 0.54199506
2.72 2.93 -2.27 0.47199507 3.72 2.09 -1.69
0.45199508 0.55 1.60 2.72 0.47199509 3.35 -2.11 -

0.76 0.43199510 -1.52 -3.74 -0.75 0.47199511 3.96
-1.17 0.95 0.42199512 1.03 0.57 0.86 0.49199601
2.26 -2.61 0.32 0.43199602 1.33 1.87 -1.44
0.39199603 0.73 1.30 0.99 0.39199604 2.06 4.92 -
3.90 0.46199605 2.36 3.04 -1.21 0.42199606 -1.14 -
3.58 1.55 0.40199607 -5.97 -3.84 4.42 0.45199608
2.76 2.29 -0.43 0.41199609 5.02 -0.87 -3.13
0.44199610 0.86 -4.47 5.10 0.42199611 6.25 -3.91
1.21 0.41199612 -1.70 3.21 0.86 0.46199701 4.99 -
1.84 -1.65 0.45199702 -0.49 -2.90 5.18 0.39199703
-5.03 -0.38 3.78 0.43199704 4.04 -5.64 -0.07
0.43199705 6.74 4.92 -3.91 0.49199706 4.10 1.35
1.21 0.37199707 7.33 -2.79 0.85 0.43199708 -4.15
7.29 1.37 0.41199709 5.35 2.61 0.01 0.44199710 -
3.80 -0.66 1.94 0.42199711 2.98 -4.96 0.77
0.39199712 1.32 -2.32 3.45 0.48199801 0.15 -1.16 -
1.43 0.43199802 7.03 0.01 -0.15 0.39199803 4.76 -
0.93 1.03 0.39199804 0.73 0.22 0.78 0.43199805 -
3.07 -3.75 4.15 0.40199806 3.18 -3.14 -2.34
0.41199807 -2.46 -5.13 -0.98 0.40199808 -16.08 -5.30
3.39 0.43199809 6.15 -0.14 -3.26 0.46199810 7.13 -
3.30 -2.20 0.32199811 6.10 1.06 -3.13 0.31199812
6.16 -0.34 -4.45 0.38199901 3.50 0.37 -4.03
0.35199902 -4.08 -5.64 1.37 0.35199903 3.45 -3.93
-2.65 0.43199904 4.33 3.96 2.54 0.37199905 -2.46
3.46 2.33 0.34199906 4.77 3.04 -3.58 0.40199907 -
3.47 2.66 -0.80 0.38199908 -1.38 -1.35 -1.27
0.39199909 -2.81 3.33 -3.37 0.39199910 6.13 -6.87
-2.97 0.39199911 3.37 7.40 -6.51 0.36199912 7.72
7.15 -8.69 0.44200001 -4.74 5.01 -0.45 0.41200002
2.45 22.08 -10.49 0.43200003 5.20 -17.17 7.86
0.47200004 -6.40 -7.77 8.57 0.46200005 -4.42 -4.94
2.39 0.50200006 4.64 13.95 -10.03 0.40200007 -2.51
-2.78 8.15 0.48200008 7.03 -1.11 -0.69 0.50200009
-5.45 -1.40 6.23 0.51200010 -2.76 -3.77 5.55
0.56200011 -10.72 -2.77 11.29 0.51200012 1.19 0.96

7.30 0.50200101 3.13 6.56 -4.88 0.54200102 -10.05
-0.72 12.91 0.38200103 -7.26 0.39 6.49 0.42200104
7.94 0.50 -4.69 0.39200105 0.72 2.60 3.13
0.32200106 -1.94 6.03 -1.09 0.28200107 -2.13 -4.35
5.61 0.30200108 -6.46 2.50 2.56 0.31200109 -9.25 -
6.11 1.56 0.28200110 2.46 7.56 -8.02 0.22200111
7.54 -0.40 2.00 0.17200112 1.61 4.56 1.08
0.15200201 -1.44 1.19 3.35 0.14200202 -2.29 -1.14
2.51 0.13200203 4.24 4.26 1.11 0.13200204 -5.20
5.94 3.92 0.15200205 -1.38 -3.22 1.70 0.14200206 -
7.21 4.26 0.12 0.13200207 -8.18 -5.37 -3.52
0.15200208 0.50 -2.43 2.53 0.14200209 -10.35 2.55
1.26 0.14200210 7.84 -2.86 -5.40 0.14200211 5.96
2.95 -0.95 0.12200212 -5.76 0.00 2.21 0.11200301 -
2.57 1.44 -0.83 0.10200302 -1.88 -0.35 -1.47
0.09200303 1.09 1.00 -1.93 0.10200304 8.22 0.61
1.11 0.10200305 6.05 4.84 -0.10 0.09200306 1.42
1.60 0.57 0.10200307 2.35 5.34 -1.02 0.07200308
2.34 2.65 2.10 0.07200309 -1.24 0.81 0.01
0.08200310 6.08 2.81 1.93 0.07200311 1.35 2.16
1.96 0.07200312 4.29 -3.05 2.35 0.08200401 2.15
2.74 1.96 0.07200402 1.40 -1.43 0.48 0.06200403 -
1.32 1.77 0.25 0.09200404 -1.83 -2.12 -2.62
0.08200405 1.17 -0.19 -0.35 0.06200406 1.86 2.23
1.35 0.08200407 -4.06 -3.80 4.09 0.10200408 0.08 -
1.59 0.96 0.11200409 1.60 3.05 -0.24 0.11200410
1.43 0.33 -0.56 0.11200411 4.54 3.90 1.81
0.15200412 3.43 0.16 -0.04 0.16200501 -2.76 -1.53
1.95 0.16200502 1.89 -0.49 1.65 0.16200503 -1.97 -
1.42 1.54 0.21200504 -2.61 -4.00 -0.35 0.21200505
3.65 2.87 -0.81 0.24200506 0.57 2.59 2.69
0.23200507 3.92 2.89 -0.54 0.24200508 -1.22 -0.93
1.27 0.30200509 0.49 -0.58 0.76 0.29200510 -2.02 -
1.21 0.25 0.27200511 3.61 0.89 -1.19 0.31200512 -
0.25 -0.49 0.40 0.32200601 3.04 5.43 1.12
0.35200602 -0.30 -0.38 -0.25 0.34200603 1.46 3.51

0.51 0.37200604 0.73 -1.34 2.61 0.36200605 -3.57 -
3.03 2.57 0.43200606 -0.35 -0.38 0.86 0.40200607 -
0.78 -4.07 2.92 0.40200608 2.03 0.92 -1.72
0.42200609 1.84 -1.36 0.03 0.41200610 3.23 1.75 -
0.05 0.41200611 1.71 0.86 0.04 0.42200612 0.87 -
1.10 3.16 0.40200701 1.40 0.10 -0.13 0.44200702 -
1.96 1.32 -0.10 0.38200703 0.68 -0.06 -0.23
0.43200704 3.49 -2.07 -1.15 0.44200705 3.24 -0.01
-0.07 0.41200706 -1.96 0.79 -1.11 0.40200707 -3.73
-2.50 -3.34 0.40200708 0.92 -0.10 -2.25 0.42200709
3.22 -2.28 -1.91 0.32200710 1.80 0.22 -2.62
0.32200711 -4.83 -2.61 -1.18 0.34200712 -0.87 0.19
-0.44 0.27200801 -6.36 -0.87 3.69 0.21200802 -3.09
-0.21 -0.88 0.13200803 -0.93 0.91 -0.18 0.17200804
4.60 -1.65 -0.99 0.18200805 1.86 3.15 -1.49
0.18200806 -8.44 1.32 -2.47 0.17200807 -0.77 2.44
5.89 0.15200808 1.53 3.61 1.57 0.13200809 -9.24 -
1.11 6.26 0.15200810 -17.23 -2.25 -2.75 0.08200811
-7.86 -3.01 -5.85 0.03200812 1.74 3.62 -0.21
0.00200901 -8.12 0.10 -11.25 0.00200902 -10.10 0.15
-7.27 0.01200903 8.95 -0.10 3.62 0.02200904 10.19
4.74 5.44 0.01200905 5.21 -2.35 -0.14 0.00200906
0.43 2.60 -2.66 0.01200907 7.72 2.05 5.22
0.01200908 3.33 -0.81 7.85 0.01200909 4.08 2.49
0.97 0.01200910 -2.59 -4.29 -4.26 0.00200911 5.56
-2.48 -0.12 0.00200912 2.75 6.11 0.00 0.01201001
-3.36 0.37 0.30 0.00201002 3.40 1.19 3.18
0.00201003 6.31 1.49 2.15 0.01201004 2.00 4.99
2.83 0.01201005 -7.89 0.00 -2.41 0.01201006 -5.56
-2.01 -4.52 0.01201007 6.93 0.21 -0.21 0.01201008
-4.77 -2.99 -1.96 0.01201009 9.54 3.92 -3.12
0.01201010 3.88 1.14 -2.52 0.01201011 0.60 3.68 -
0.91 0.01201012 6.82 0.68 3.78 0.01201101 1.99 -
2.48 0.82 0.01201102 3.49 1.53 1.10 0.01201103
0.45 2.58 -1.57 0.01201104 2.90 -0.31 -2.53
0.00201105 -1.27 -0.72 -2.09 0.00201106 -1.75 -0.20

-0.33 0.00201107 -2.36 -1.34 -1.16 0.00201108 -5.99
-3.03 -2.40 0.01201109 -7.59 -3.54 -1.37 0.00201110
11.35 3.44 -0.22 0.00201111 -0.28 -0.18 -0.42
0.00201112 0.74 -0.67 1.71 0.00201201 5.05 2.15 -
1.11 0.00201202 4.42 -1.72 0.11 0.00201203 3.11 -
0.63 0.89 0.00201204 -0.85 -0.54 -0.46 0.00201205
-6.19 0.00 -0.52 0.01201206 3.89 0.79 0.41
0.00201207 0.79 -2.60 -0.25 0.00201208 2.55 0.39
1.34 0.01201209 2.73 0.48 1.57 0.01201210 -1.76 -
1.09 3.64 0.01201211 0.78 0.54 -0.81 0.01201212
1.18 1.49 3.52 0.01201301 5.57 0.44 0.95
0.00201302 1.29 -0.43 0.11 0.00201303 4.03 0.84 -
0.26 0.00201304 1.55 -2.43 0.57 0.00201305 2.80
1.69 2.49 0.00201306 -1.20 1.17 -0.13 0.00201307
5.65 1.88 0.61 0.00201308 -2.71 0.25 -2.77
0.00201309 3.77 2.94 -1.20 0.00201310 4.18 -1.52
1.10 0.00201311 3.12 1.25 0.26 0.00201312 2.81 -
0.48 -0.31 0.00201401 -3.32 0.87 -2.13 0.00201402
4.65 0.34 -0.37 0.00201403 0.43 -1.85 5.03
0.00201404 -0.19 -4.19 1.10 0.00201405 2.06 -1.85
-0.36 0.00201406 2.61 3.01 -0.66 0.00201407 -2.04
-4.22 -0.02 0.00201408 4.24 0.40 -0.55 0.00201409
-1.97 -3.80 -1.19 0.00201410 2.52 4.28 -1.68
0.00201411 2.55 -2.05 -2.98 0.00201412 -0.06 2.59
2.12 0.00201501 -3.11 -0.51 -3.47 0.00201502 6.13
0.51 -1.73 0.00201503 -1.12 3.07 -0.45 0.00201504
0.59 -3.01 1.84 0.00201505 1.36 0.90 -1.32
0.00201506 -1.53 2.85 -0.80 0.00201507 1.54 -4.07
-4.21 0.00201508 -6.04 0.52 2.71 0.00201509 -3.08
-2.61 0.58 0.00201510 7.75 -1.93 -0.11 0.00201511
0.56 3.62 -0.57 0.00201512 -2.17 -2.81 -2.46
0.01201601 -5.77 -3.36 2.26 0.01201602 -0.07 0.83
-0.48 0.02201603 6.96 0.86 1.11 0.02201604 0.92
0.68 3.25 0.01201605 1.78 -0.27 -1.79 0.01201606 -
0.05 0.61 -1.49 0.02201607 3.95 2.90 -0.98
0.02201608 0.50 0.94 3.18 0.02201609 0.25 2.00 -

1.34 0.02201610 -2.02 -4.41 4.15 0.02201611 4.86
5.68 8.44 0.01201612 1.81 -0.04 3.52 0.03201701
1.94 -1.00 -2.69 0.04201702 3.57 -1.79 -1.80 0.04
Annual Factors: January-December Mkt-RFSMBHMLRF 1927
29.47 -2.46 -3.75 3.12 1928 35.39 4.20 -6.15 3.56
1929 -19.54 -30.78 11.83 4.75 1930 -31.23 -5.13 -12.28
2.41 1931 -45.11 3.53 -14.29 1.07 1932 -9.39 4.68
10.16 0.96 1933 57.05 48.94 28.27 0.30 1934 3.02
25.44 -27.37 0.16 1935 44.96 6.77 14.73 0.17 1936
32.07 17.87 35.86 0.18 1937 -34.96 -14.00 -3.97 0.31
1938 28.48 9.35 -12.18 -0.02 1939 2.70 5.85 -19.17
0.02 1940 -7.14 0.79 -0.82 0.00 1941 -10.53 -4.04
11.13 0.06 1942 16.20 5.05 19.87 0.27 1943 27.96
33.35 38.97 0.35 1944 20.97 17.98 15.61 0.33 1945
38.38 25.56 11.40 0.33 1946 -6.73 -3.79 2.98 0.35
1947 2.95 -7.08 9.76 0.50 1948 1.07 -9.14 3.52
0.81 1949 19.12 3.93 -4.55 1.10 1950 28.82 0.93
27.01 1.20 1951 19.22 -5.10 -5.62 1.49 1952 11.80
-7.02 4.05 1.66 1953 -1.05 -0.80 -8.70 1.82 1954
49.35 -2.46 25.74 0.86 1955 23.75 -6.76 5.71 1.57
1956 5.90 -1.38 -1.07 2.46 1957 -13.16 -2.76 -6.42
3.14 1958 43.45 14.78 13.14 1.54 1959 9.76 5.59
1.51 2.95 1960 -1.46 -2.70 -4.67 2.66 1961 24.81
0.06 7.11 2.13 1962 -12.90 -8.62 9.29 2.73 1963
17.84 -5.76 15.48 3.12 1964 12.54 -1.10 10.09 3.54
1965 10.52 21.68 7.53 3.93 1966 -13.51 2.68 -0.86
4.76 1967 24.49 51.07 -8.94 4.21 1968 8.79 24.47
18.55 5.21 1969 -17.54 -13.95 -9.83 6.58 1970 -6.49 -
11.68 22.45 6.52 1971 11.78 5.73 -11.20 4.39 1972
13.05 -11.97 2.05 3.84 1973 -26.24 -23.50 18.23 6.93
1974 -35.74 -0.60 10.04 8.00 1975 32.44 15.37 9.00
5.80 1976 21.90 14.74 24.47 5.08 1977 -8.27 22.97
7.50 5.12 1978 1.03 14.34 0.50 7.18 1979 13.08
21.75 -1.39 10.38 1980 22.12 5.53 -24.95 11.24 1981
-18.13 7.23 25.03 14.71 1982 10.66 8.89 13.44
10.54 1983 13.75 13.68 20.67 8.80 1984 -6.06 -8.25

19.32 9.85 1985 24.91 0.26 1.31 7.72 1986 10.12 -
9.62 9.47 6.16 1987 -3.87 -10.99 -1.63 5.47 1988
11.55 5.92 14.88 6.35 1989 20.49 -12.71 -4.25 8.37
1990 -13.95 -14.20 -9.60 7.81 1991 29.17 16.14 -14.47
5.60 1992 6.23 7.55 24.22 3.51 1993 8.21 5.83
18.95 2.90 1994 -4.11 -1.12 -0.72 3.90 1995 31.23 -
9.14 5.17 5.60 1996 15.97 -3.76 6.11 5.21 1997
25.97 -6.69 17.31 5.26 1998 19.46 -25.99 -8.82 4.86
1999 20.57 15.05 -31.97 4.68 2000 -17.59 -1.46 39.41
5.89 2001 -15.20 18.04 19.58 3.83 2002 -22.76 4.73
7.54 1.65 2003 30.75 27.18 6.66 1.02 2004 10.72
4.89 8.15 1.20 2005 3.09 -2.15 8.28 2.98 2006
10.60 0.21 13.96 4.80 2007 1.04 -7.14 -14.73 4.66
2008 -38.34 3.26 0.97 1.60 2009 28.26 9.28 -9.14
0.10 2010 17.37 13.77 -5.17 0.12 2011 0.44 -6.04 -
8.41 0.04 2012 16.28 -1.22 9.89 0.06 2013 35.20
7.35 1.54 0.02 2014 11.70 -7.75 -1.65 0.02 2015
0.07 -3.74 -9.48 0.02 2016 13.30 6.66 23.33
0.20Copyright 2017 Kenneth R. French
1. Download 10-years of monthly price history for a US mutual
fund from Yahoo Finance (for example any Vanguard or
Fidelity mutual fund would be fine but you can choose another
US mutual fund if you would prefer). From Kenneth French's
data library
(http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_li
brary.html
) download the corresponding ten years of data on the Fama-
French three factors plus the risk-free rate.
2. Using LINEST in Excel run a CAPM regression to determine
the alpha and the appraisal ratio of the mutual fund.
3. Using LINEST in Excel run a Fama-Fama type regression to
determine the alpha and the appraisal ratio of the mutual fund
when the additional two factors of Small Minus Big and High
Minus Low are taken into account.
4. Calculate other performance measures for the mutual fund

such as the Sharpe ratio.
5. Write a 1000 word report on section B of the assignment.
Include in your report an introduction, a method section, a
results section and conclusions.

Global_3_Factors.csvThis file was created using the 201702 Blo.docx

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Global_3_Factors.csvThis file was created using the 201702 Blo.docx