In this video post, I walk through a basic demo showing how to run the Fama-French regression using R.
This is my first attempt at doing a screencast, so please let me know if you have any comments or suggestions.
The demo is easiest to follow when viewed in full screen HD. In lower resolutions, the on-screen commands may be difficult to read.
Additional Info:
The slides used in this screencast can be accessed here, and the CSV data file is available here.
The R code used in the demo is shown below:
# Fama-French Regression example in R # Load CSV file into R ff_data <- read.table("ffdata.csv",header=TRUE,sep=",") # Extract Fama-French Factors and Fund Returns rmrf <- ff_data[,2]/100 smb <- ff_data[,3]/100 hml <- ff_data[,4]/100 rf <- ff_data[,5]/100 fund <- ff_data[,6]/100 # Calculate Excess Returns for Target fund fund.xcess <- fund - rf # Run Fama-French Regression ffregression <- lm(fund.xcess ~ rmrf + smb + hml) # Print summary of regression results print(summary(ffregression))