In the Fama/French data library the monthly research factors for the Fama-French-3-Factor-Model and the Fama-French-5-Factor-Model are presented.
I don't see how they are calculating the factor returns in the "Last 3 Months" and "Last 12 Months" columns.
Date Mkt.RF SMB HML RMW CMA RF
Sep 2016 0.25 1.75 -1.49 -1.92 -0.04 0.02
Oct 2016 -2.02 -3.97 4.16 1.24 0.20 0.02
Nov 2016 4.86 6.81 8.27 -0.50 3.67 0.01
Dec 2016 1.82 0.39 3.61 0.98 -0.25 0.03
Jan 2017 1.94 -1.28 -2.68 0.13 -0.94 0.04
Feb 2017 3.57 -2.14 -1.79 0.62 -1.74 0.04
Mar 2017 0.17 0.81 -3.17 0.83 -1.00 0.03
Apr 2017 1.09 0.51 -1.91 2.13 -1.55 0.05
May 2017 1.06 -3.07 -3.75 1.32 -1.84 0.06
Jun 2017 0.78 2.46 1.32 -2.13 -0.06 0.06
Jul 2017 1.87 -1.59 -0.28 -0.58 -0.14 0.07
Aug 2017 0.17 -1.87 -2.26 0.44 -2.44 0.07
Sep 2017 2.51 4.81 3.04 -1.51 1.62 0.09
The table above shows the most recent data from their website. I tried to calculate the arithmetic mean return over the last 3 months and also the geometric mean return but the numbers don't match up. These are the numbers I fail to come up with:
Fama/French 5 Research Factors (2x3)
Sep 2017 Last 3 Months Last 12 Months
Rm-Rf 2.51 4.61 19.24
SMB 4.81 1.20 1.11
HML 3.04 0.38 4.86
RMW -1.51 -1.69 3.59
CMA 1.62 -1.08 -5.58
It is clear that the first column consists of the last row data from the above dataset. But how to calculate the second and third column values?
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