Kenneth R. French Data Library
The original free source for Fama-French factor returns and portfolios sorted on size, value, profitability, investment and momentum, for the US and international markets. Every factor study starts here.
Free to read
Ken French posts the returns behind the factor models he built with Eugene Fama: the three-factor and five-factor series, momentum, and hundreds of portfolios sorted by size, book-to-market, operating profitability, investment, past returns and industry. US data goes back to the 1920s for many series, and parallel sets cover developed, ex-US, European, Asia-Pacific and emerging markets. Files download as plain text or CSV, and every series has a details page that defines exactly how it was built.
This is the shared benchmark for anyone testing whether a strategy earns more than its factor exposures. Quant shops, academics and allocators all regress returns on these series, so knowing how they are constructed (breakpoints, rebalancing dates, the risk-free rate used) matters as much as the numbers.
Read the construction notes before you use a file. The library also logs changes to the underlying CRSP data, which can shift historical values between vintages.
Start with
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1
Description of Fama/French Factors
Defines the market, size and value factors that most factor work builds on.
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2
Fama/French 5 Factors (2x3)
Adds profitability and investment, the current standard model.
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3
Momentum Factor (Mom)
The momentum series most papers add on top of the Fama-French factors.