For Fama-French model we need SMB (small[market cap] minus big) and HML (high[book-to-market-ratio] minis low). I want to calculate daily alpha in real time, but the problem is how to get these values.
Is there any benchmark for this values or I have to know entire market and calculate these values manually?
Does Bloomberg or some other service provide this kind of data?
No comments:
Post a Comment