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Fama-French Portfolios and Factors

Overview

The Fama-French dataset on WRDS provides factor returns, research portfolios, and liquidity factors sourced from Kenneth French's website and other academic sources. This is the standard dataset for asset pricing research using the Fama-French three-factor and five-factor models.

What you can find here:

  • Factor returns: market, size (SMB), value (HML), profitability (RMW), investment (CMA), and momentum (Mom) — daily and monthly
  • Research portfolios: 6 portfolios (2×3) and 25 portfolios (5×5) sorted on size and book-to-market
  • Industry portfolios: 12-industry and 48-industry classifications
  • Liquidity factors: Pastor-Stambaugh and Sadka liquidity factors
  • China factors: Fama-French factors for China
  • Date range: 1926–present (updated daily)

WRDS Access

Key Tables

Table Description Frequency
factors_daily Market, SMB, HML, Mom Daily
factors_monthly Market, SMB, HML, Mom Monthly
fivefactors_daily Market, SMB, HML, RMW, CMA, Mom Daily
fivefactors_monthly Market, SMB, HML, RMW, CMA, Mom Monthly
portfolios 6 portfolios (2×3) on size and book-to-market Monthly
portfolios_d 6 portfolios (2×3) on size and book-to-market Daily
portfolios25 25 portfolios (5×5) on size and book-to-market Monthly
industry12 12-industry classification —
industry48 48-industry classification —
liq_ps Pastor-Stambaugh liquidity factors Monthly
liq_sadka Sadka liquidity factors Monthly
factors_china Fama-French factors for China —

Example

import wrds
conn = wrds.Connection()

# List available tables
conn.list_tables(library='ff')

# Get monthly Fama-French 5 factors + momentum
factors = conn.raw_sql("""
    SELECT date, mktrf, smb, hml, rmw, cma, mom, rf
    FROM ff_all.fivefactors_monthly
    WHERE date >= '2020-01-01'
""", date_cols=['date'])

# Get daily 3 factors + momentum
factors_daily = conn.raw_sql("""
    SELECT date, mktrf, smb, hml, mom, rf
    FROM ff_all.factors_daily
    WHERE date >= '2024-01-01'
""", date_cols=['date'])

# Get Pastor-Stambaugh liquidity factors
liquidity = conn.raw_sql("""
    SELECT *
    FROM ff_all.liq_ps
    WHERE date >= '2020-01-01'
""", date_cols=['date'])

For more examples, see the Python API notebook.