Anyone have experience with Kenneth French data?
Posted: 11 March 2015 01:55 AM   [ Ignore ]
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I calculated daily size & bm adjusted returns as well as industry adjusted returns using industry returns (12 types of idustryies) and size & bm (2*3) returns from Kenneth French’ website. I found something probably wrong with the data when I was checking the compounded excess returns. I found that the compounded returns are extremely big. So I traced back to the data from Kenneth, the portfolio returns are really inconceivable. Please see below:


For instance,                       
              (Entire Market )  Consumer NonDur   Consu Durab     Manuf     Energy   Chems   Equipment     Telcm
  04/01/2000     -0.0397           -1.820           -2.630         -2.930   -1.970   -1.923     -5.33         -4.280
  05/01/2000     -0.0009           -0.130           -0.070           0.330     2.210     0.890     -1.07         0.260
  06/01/2000     -0.0073           0.680             0.620         1.470     4.010     3.850     -4.90         -1.980

The market returns are from CRPS, the industry returns are from Kenneth. They are all value weighted returns. I just curious why the returns could be such big? 400-500 percent?

I did another check on “Energy Select Sector SPDR ETF (XLE)” prices in Yahoo database. If I understand right, this should be sort of represent the industry price?

The adj close price for “Energy Select Sector SPDR ETF (XLE)”:

03/01/2000   20.72
04/01/2000   20.33
05/01/2000   20.87
06/01/2000   21.67
It is easy to tell that the “Energy Select Sector SPDR ETF (XLE)” returns are way smaller than the returns for the Energy indu in Kenneth .


Can any one tell me what happened?

Many thanks,
L

 

 

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Posted: 11 March 2015 06:38 AM   [ Ignore ]   [ # 1 ]
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hi L,

This is curious indeed. I have posted your question on the Google group. I will post any replies here.

Best regards,

Joost

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Posted: 28 April 2015 07:37 AM   [ Ignore ]   [ # 2 ]
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Xin Fang replied: It seems like data with percent unit,  you need to divide 100 to make it reasonable.

Hope this helps,

Joost

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