Eugene F. Fama and Kenneth R. French introduced their three-factor model augmenting the capital asset pricing model (CAPM) nearly three decades ago.They proposed two factors in addition to CAPM to ...

Figure 1 illustrates the concept behind the Fama-French model. Figure 1: Size and Style Dimensions of Portfolio Risk In Part 2 of this blog, we will explore how the Fama-French Three-Factor Model ...

The Fama-French Three Factor model is a formula for calculating the rate of return on a given asset. Like many (if not most) such models, it offers an estimated value based on market factors at large.

Small Minus Big (SMB) is one of three factors in the Fama/French stock pricing model, used to explain how small companies can outperform larger ones over time.

Is the value factor dying? Even the finance legends who helped give birth to the quant strategy can’t tell for sure. In their latest study, Eugene Fama and Ken French calculate that the ...

How well has Fama and French’s five-factor model explained returns over the decades? According to our analysis, only one factor has truly held up over all time periods.