Fama-French 25 Portfolio Return Averages

Note:  This page contains links to the data sources and the Octave source code which I used to generate the plots in my Visualizing the Small Cap and Value Effects post.

Data:

The data used to generate the plots comes from Kenneth French’s website

The data was copied from the file named: “25 Portfolios Formed on Size and Book-to-Market”   Copy all rows of the value weighted return data (the first data set in the file, do not include the column headers) into a text file and save as “25_Portfolios_5x5_monthly.txt”.  This file should be stored in the same directory from which you plan to run the Octave script.

Code:

The Octave Code is shown here. 

The code will prompt you for the date range to plot.  The data starts in 1926, but there is some missing data prior to 1932 so January 1932 is the earliest date that should be used in the plotting.

There is some commented out code in the file that can be modified if you wish to plot arithmetic averages rather than geometric averages.

clear all; % clear data from Octave
close all; % close all open plot windows

% Load Fama-French Data
ff_data = load('25_Portfolios_5x5_monthly.txt');

% Starting point changed to January 1932 to avoid missing data
ff_data = ff_data(67:end,:); % start after NAs end

% Remove date column
r = ff_data(:,2:end);

% Prompt for User Input to get plotting range
startyear = input('Enter Starting Year between 1932 and 2010: ')
startmonth = input('Enter Starting Month 1-12: ')
endyear = input('Enter Ending Year between 1932 and 2009: ')
endmonth = input('Enter Ending Month 1-12: ')
plottitle = input('Enter Title for Plot: ','s')

% Calculate starting and ending row
start = 12*(startyear - 1932) + startmonth;
endpoint = 12*(endyear-1932) + endmonth;

% Extract Desired Data
r = r(start:endpoint,:);

% Calculate Arithmetic Mean for each of 25 portfolios over range
arithmeans = mean(r);

% Calculate Geometric Mean for each of 25 portfolios over selected range
georeturns = r./100 + 1;
geomeans = 100*(exp(mean(log(georeturns)))-1);

% Select if Geometric or Arithmetic mean is used by adjusting comments
%meanreturns = arithmeans; % uncomment to use arithmetic means
meanreturns = geomeans; % uncomment to use geometric means

% Expand 5x5 data to 10x10 for use in surface plot function
returns = [meanreturns ; meanreturns];
returns = reshape(returns,10,5);
returns = [returns;returns]
returns = reshape(returns,10,10);

% Define x and y values
x = [0 0.999 1 1.999 2 2.999 3 3.999 4 5];
y = [0 0.999 1 1.999 2 2.999 3 3.999 4 5];

% Create x-y mesh for surface plot
[xx,yy] = meshgrid(x,y);

% Generate Plot
surf(xx,yy,returns)
xlabel('Size','fontsize',20)
ylabel('Value','fontsize',20)
%zlabel('Arithmetic Average Monthly Return (%)','rotation',90,'fontsize',20)
zlabel('Geometric Average Monthly Return (%)','rotation',90,'fontsize',20)
title(plottitle,'fontsize',36)
axis([0 5 0 5 min(0,min(meanreturns)-.1) max(2,max(meanreturns)+0.01)])
text(4.5,0.5,meanreturns(21),'LG','horizontalalignment','center','fontsize',18)
text(4.5,4.5,meanreturns(25),'LV','horizontalalignment','center','fontsize',18)
text(0.5,4.5,meanreturns(5),'SV','horizontalalignment','center','fontsize',18)
text(0.5,0.5,meanreturns(1),'SG','horizontalalignment','center','fontsize',18)

% Color range set from 0 to 1.6 rather than allowing autoscale.
% This is done for easier comparison between plots, but colors will
% max out for values above 1.6 or below 0.
% For arithmetic averages, I think a range of 0 to 2 works better
caxis([0 1.6]);
view(50, 25);
replot

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