In 2013, the Nobel Prize in economics was shared by Eugene Fama, Lars Peter Hansen, and Robert Shiller "for their empirical analysis of asset prices". The work of Fama and co-author, Ken French has changed the way people think about passive investing and, consequently, interpreting the performance of active investors. I wanted to dig into the data Fama's work is based on, and see what (if any) conclusions I could draw from it.
Ken French graciously posts much of the data the Fama-French (hereafter FF) model was based on to his website. I used the monthly, value-weighted data in the "6 Portfolios Formed on Size and Book-to-Market" file, along with the market and risk-free returns in the monthly "Fama/French Factors" file. The 6 portfolios that are typically used to construct the FF factors are created by annually dividing stocks into two groups based on size and into three