In 1992-1993, Eugene Fama and Kenneth French published several academic papers that provided investing ideas expanding on the classic Capital Asset Pricing Model (CAPM). They showed that over long periods of time, 90% of returns from diversified portfolios can be explained by 1) beta (the essential CAPM factor explaining excess portfolio returns over market returns), 2) valuation and 3) size. Since then they have expanded their research to include many other variables such as momentum, short/long term reversal, and value. At Atlas Capital Advisors we believe the Fama-French findings are extremely useful variables to use for screening potential investment candidates to include in a diversified portfolio.
Data from several of the potential factors including as momentum, short/long term reversal, value, size, and dividend yield are pasted into the RAWDATA tab of the file. This data contains monthly returns of the ten groups of stocks, or deciles, sorted based on the factor being analyzed. The portfolios constructed each month include NYSE, AMEX, and NASDAQ stocks with prior return data. The monthly and annual returns are then compared to each other, the top and bottom quintiles, and market return created by averaging the ten deciles (CALCS tab). The resulting charts in the spreadsheet show comparisons of the selected factor. Our Atlas Capital team has aggregated relevant factors into a simple to use spreadsheet that allows users to select from eight factors of interest or use a weighted average of the eight factors.
Source of data: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html#HistBenchmarks
Link to excel file: FF_data_Public