Fama-French three-factor model: Size and value factors (Excel)

[@NEDLeducation]

You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7
Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation

[@Angel-ep5oe]

This is amazing! I would love to see a video on the 4 or 5 factor model

[@AS-hs4xk]

Thanks for the video
I was researching this model for quite some time
This video was helpful

[@alem_mood]

Great video, what about a video on 6 (or 4) Factor Model?
Fama-French 5 Factor (or 3) + Momentum (excluded by Fama & French due to difficulties in explainability but evaluated by Carhart in the 4 Factor Model)?

[@mohammedmagdy9835]

Wonderful content. Keep moving forward

[@crentistDaDentist]

Genius knowledge, genius excel skills

[@ferencfuleki9984]

Excellent video! Go on with the Carhart 4 Factor and the 5 Factor modell too. Also with how to build our own Factor models.

[@tshegophale2622]

This is excellent work, thanks again. I think we can rather skip the 4&5 factors models and rather go deeper into factor construction?

[@tanyongsheng4561]

Hi NEDL, thanks for this video. Just wanna ask few questions.
1. What is the main objective to use this model? It's mainly to compare the performance of a portfolio (e.g. Vanguard or my own portfolio) towards another one (e.g. SPY), based on the value of alpha we get?
2. How to adapt this model to emerging market like Asia market or Bursa Malaysia? As I found the data for size and value premium are mainly only for US market.
Hope for your reply. Thanks.

[@NEDLeducation]

Hi Tan, and thanks for the great question! Perhaps the reason for such popularity of Fama-French multi-factor models is that they are very flexible and can be used in many applications. The most straightforward application, however, is the one you mentioned - to measure the risk-adjusted performance and risk exposures of a portfolio. For emerging markets, Fama and French do provide factor data starting from 1990, however it includes all emerging markets (and is not Malaysia-specific). They have got Asia-Pacific factors however which can be used to assess performance of portfolios on Asian markets. mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

[@Yomama4536]

Are the factors specific to those ETFs or does the three factor model use general data of the market? Thanks! :)

[@kenwu7406]

Thanks for making such great video. A quick question: given that the return is not normally distributed, does the regression still work? Just curious how this apply to the real world case. Much appreciated.

[@floxy4491]

Hey thanks for the video. Just wanna ask a question.
1) Don't you have to calculate the market, size and value first (J-L) ? If I analyse an individual share, the Fama Fench page cannot know the market, size and value in relation to this share, can it?

[@NEDLeducation]

Hi, and thanks for the great question! The only way to know size and value exposures of an individual stock is to regress its returns on factors and interpret size and value betas. Of course, then these can be related to the market cap and P/B ratio of the stock and whether it is consistent.

[@GeanChu]

This is great content. Have you ever tryed using it with crypto? How to calculate the factors for crypto?

[@akshaydamani]

Dear Sir, Thank you for the video. I did try the same with the data you provided, however there is a difference I am getting. As per the Video excess returns are say, E3/E2*100-100-Rf, however, I did not get the same in the Spreadsheet (E3/E2*100-100) provided. Can you please guide in regards to the difference between the video working. Should be deduct the Risk free or not. Should we work on excess returns or normal returns.

[@lindsayr04]

Do you help with class projects?

[@ibt987]

Can u provide us with the code to appilicate fama and french model in stata !

[@celialopezpenabad2437]

Could you provide me with the excel file so I can try to replicate it? Thank you very much

[@celialopezpenabad2437]

I need this one: Fama-French three-factor model: Size and value factors (Excel)