The data below was obtained from Professor Kenneth French’s data library website:
http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
The table below contains monthly returns of the “Fama/French 5 Factors†and the monthly returns of the “Momentum factor†for the period from July 1963-December 2017 (654 months)
(Double click on the window to access the data on the excel spreadsheet)
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