Fama/French Market Returns

The market return used to measure Rm-Rf in the US. It is now the value-weight return of all CRSP firms incorporated in the US and listed on the NYSE, AMEX, or NASDAQ that have (i) a CRSP share code of 10 or 11 at the beginning of month t, (ii) good shares and price data at the beginning of t, and (iii) good return data for t. The set of firms in the new series is more consistent with the universe used to compute the other US returns.

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Fama-French Monthly Market Benchmark Return

Current (Sep 2021) Previous (Aug 2021) % Chg Prev % Chg 1Y
-4.37 2.90 N/A N/A

Major Fama/French Market Returns Indicators

Indicator Period Value % Chg Prev
Fama-French Monthly HML Benchmark Return Sep 2021 5.09
Fama-French Monthly Market Benchmark Return Sep 2021 -4.37
Fama-French Monthly SMB Benchmark Return Sep 2021 0.80
View and sort all 8 Fama/French Market Returns Indicators

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