% Factor data for use with hedge fund problem set. Created by ps8\hedge_index.m % Fama French factors from French website. Term is CRSP 30 year govt bond return - 1 month rate. % Def is the change in yield on Fed BAA- AAA % rf is the one month bill rate. All other factors are net of rf, zero cost portfolios. % All returns are monthly percent returns. % date rf rmrf hml smb umd term def 199401 0.250000 2.870000 2.100000 0.140000 0.010000 2.279800 0.270833 199402 0.210000 -2.560000 -1.410000 2.720000 -0.260000 -4.200200 0.406667 199403 0.270000 -4.780000 1.340000 -0.960000 -1.320000 -4.343600 0.264167 199404 0.270000 0.680000 1.690000 -0.910000 0.410000 -1.639500 0.123333 199405 0.310000 0.580000 0.180000 -2.010000 -2.190000 -1.021800 0.122500 199406 0.310000 -3.030000 1.680000 -0.480000 -0.830000 -1.244600 -0.293333 199407 0.280000 2.820000 0.980000 -1.780000 0.190000 3.115500 -0.012500 199408 0.370000 4.010000 -3.470000 1.450000 1.540000 -1.004600 0.195833 199409 0.370000 -2.310000 -1.810000 2.680000 1.310000 -3.344000 0.263333 199410 0.380000 1.340000 -2.360000 -2.200000 1.470000 -0.702800 0.122500 199411 0.370000 -4.040000 -0.050000 -0.170000 -0.190000 0.247200 -0.016667 199412 0.440000 0.860000 0.260000 0.050000 3.500000 0.913400 0.053333 199501 0.420000 1.800000 1.640000 -2.960000 -1.830000 2.183100 0.191667 199502 0.400000 3.630000 0.380000 -0.330000 -0.340000 2.297700 0.259167 199503 0.460000 2.180000 -2.060000 -0.370000 0.360000 0.534300 0.118333 199504 0.440000 2.110000 1.700000 -0.410000 1.820000 1.324500 0.117500 199505 0.540000 2.900000 1.910000 -2.230000 -0.440000 7.136000 0.185833 199506 0.470000 2.720000 -2.980000 3.060000 2.900000 0.755700 -0.300000 199507 0.450000 3.720000 -2.210000 2.210000 2.550000 -1.891400 -0.157500 199508 0.470000 0.550000 1.920000 1.840000 0.080000 1.706100 0.121667 199509 0.430000 3.350000 -0.940000 -2.070000 2.730000 1.267700 0.120833 199510 0.470000 -1.520000 -0.110000 -3.940000 4.140000 2.245800 -0.087500 199511 0.420000 3.950000 0.330000 -0.820000 -0.610000 2.069600 -0.155000 199512 0.490000 1.030000 1.410000 0.370000 2.560000 2.022300 -0.014167 199601 0.430000 2.260000 0.400000 -2.480000 0.560000 -0.349200 0.125000 199602 0.390000 1.330000 -2.330000 2.050000 0.580000 -4.927400 0.193333 199603 0.390000 0.730000 1.280000 1.300000 -1.890000 -2.449400 -0.223333 199604 0.460000 2.060000 -4.050000 4.890000 -0.920000 -2.109100 -0.012500 199605 0.420000 2.360000 -1.400000 3.160000 1.600000 -0.942600 0.126667 199606 0.400000 -1.140000 1.920000 -3.640000 0.960000 1.628100 -0.012500 199607 0.450000 -5.970000 4.380000 -3.590000 -0.140000 -0.274000 -0.011667 199608 0.410000 2.760000 -0.570000 2.300000 -0.120000 -1.781100 -0.080000 199609 0.440000 5.010000 -3.760000 -0.820000 2.690000 2.468200 0.267500 199610 0.420000 0.860000 4.820000 -4.110000 3.900000 3.604400 0.126667 199611 0.410000 6.250000 0.160000 -3.600000 -2.230000 3.076700 -0.012500 199612 0.460000 -1.700000 0.990000 3.080000 0.590000 -2.937200 0.057500 199701 0.450000 4.990000 -2.330000 -1.520000 1.940000 -1.039800 0.195833 199702 0.390000 -0.490000 4.690000 -2.610000 -2.040000 -0.464100 0.332500 199703 0.430000 -5.030000 3.860000 -0.320000 0.980000 -2.803600 0.052500 199704 0.430000 4.040000 -1.020000 -5.190000 4.890000 1.807600 0.190833 199705 0.490000 6.740000 -4.380000 4.830000 -5.190000 0.751200 -0.018333 199706 0.370000 4.100000 0.720000 1.500000 2.590000 1.620500 0.120833 199707 0.430000 7.330000 -0.130000 -2.520000 3.840000 5.261300 0.050833 199708 0.410000 -4.150000 1.370000 7.340000 -2.520000 -3.086500 0.120000 199709 0.440000 5.350000 -0.250000 2.680000 1.450000 2.411400 0.395833 199710 0.420000 -3.800000 2.210000 -0.790000 -0.430000 2.803400 -0.092500 199711 0.390000 2.980000 1.010000 -5.070000 0.280000 0.929900 0.185833 199712 0.480000 1.320000 3.840000 -2.400000 3.850000 1.613600 -0.023333 199801 0.430000 0.150000 -2.070000 -0.940000 0.100000 1.479300 -0.091667 199802 0.390000 7.030000 -0.860000 0.320000 -1.100000 -1.163600 0.048333 199803 0.390000 4.760000 1.230000 -0.990000 2.140000 -0.034000 -0.090000 199804 0.430000 0.730000 0.270000 0.480000 0.780000 -0.255600 -0.226667 199805 0.400000 -3.070000 4.120000 -3.540000 1.890000 1.532300 0.260833 199806 0.410000 3.180000 -2.220000 -3.150000 7.260000 1.971500 0.120000 199807 0.400000 -2.460000 -1.150000 -4.920000 3.710000 -0.725400 0.050000 199808 0.430000 -16.080000 5.240000 -5.750000 1.880000 4.624900 -0.088333 199809 0.460000 6.150000 -3.880000 -0.150000 -0.580000 2.687800 -0.432500 199810 0.320000 7.130000 -2.770000 -3.200000 -5.350000 -2.464600 -0.772500 199811 0.310000 6.100000 -3.430000 1.140000 1.180000 0.998300 -0.762500 199812 0.380000 6.160000 -4.700000 -0.300000 9.040000 -0.793400 -0.475833 199901 0.350000 3.500000 -5.560000 0.860000 3.050000 0.639600 -0.192500 199902 0.350000 -4.080000 1.560000 -5.550000 -0.130000 -5.326100 0.502500 199903 0.430000 3.450000 -2.930000 -3.840000 -1.350000 -0.476500 0.635833 199904 0.370000 4.330000 2.450000 3.180000 -9.130000 -0.062900 0.560000 199905 0.340000 -2.460000 2.690000 3.640000 -5.250000 -1.844900 0.415833 199906 0.400000 4.770000 -4.190000 3.450000 4.940000 -1.723700 0.065833 199907 0.380000 -3.470000 0.510000 2.250000 1.590000 -1.020200 0.273333 199908 0.390000 -1.380000 -0.950000 -1.320000 3.010000 -0.748100 0.132500 199909 0.390000 -2.810000 -2.980000 3.160000 6.490000 0.378900 -0.352500 199910 0.390000 6.130000 -3.240000 -6.780000 5.470000 -0.502200 -0.070833 199911 0.360000 3.370000 -8.020000 7.780000 5.660000 -0.765600 0.345833 199912 0.440000 7.720000 -9.200000 7.010000 13.200000 -1.903100 1.103333 200001 0.410000 -4.740000 0.240000 4.370000 1.900000 1.269300 0.675833 200002 0.430000 2.450000 -12.680000 22.020000 18.390000 2.638300 -0.369167 200003 0.470000 5.210000 7.670000 -16.390000 -6.850000 3.060700 -0.502500 200004 0.460000 -6.400000 9.130000 -7.730000 -8.460000 -1.242300 -0.426667 200005 0.500000 -4.430000 3.720000 -4.850000 -9.090000 -0.902800 -0.974167 200006 0.400000 4.640000 -10.050000 13.700000 16.530000 1.725500 0.767500 200007 0.480000 -2.450000 8.510000 -2.810000 -0.070000 1.373600 0.828333 200008 0.500000 7.130000 -1.280000 -0.890000 5.770000 1.742100 -0.010833 200009 0.510000 -5.440000 6.850000 -1.870000 2.220000 -1.858700 -0.079167 200010 0.560000 -2.770000 4.790000 -3.660000 -4.680000 1.220100 -0.354167 200011 0.510000 -10.730000 12.420000 -3.100000 -2.500000 2.552800 -0.210833 200012 0.500000 1.190000 6.130000 1.550000 6.810000 2.122400 0.207500 200101 0.540000 3.120000 -5.700000 7.030000 -24.970000 -0.273200 0.275000 200102 0.380000 -10.070000 13.870000 -1.150000 12.590000 1.498600 0.134167 200103 0.420000 -7.250000 6.360000 0.550000 8.380000 -1.163600 -0.558333 200104 0.390000 7.950000 -4.360000 0.270000 -8.150000 -3.498700 0.002500 200105 0.320000 0.730000 2.770000 2.990000 2.130000 0.052000 0.695000 200106 0.280000 -1.930000 -2.140000 6.380000 0.280000 0.256100 -0.004167 200107 0.300000 -2.130000 5.620000 -4.220000 5.550000 3.593600 -0.280000 200108 0.310000 -6.460000 3.370000 2.130000 5.570000 2.060400 0.139167 200109 0.280000 -9.250000 1.800000 -6.610000 11.550000 0.216800 -0.138333 200110 0.220000 2.460000 -7.030000 6.880000 -8.430000 4.982600 -0.066667 200111 0.170000 7.540000 0.690000 0.380000 -8.570000 -5.340700 0.350000 200112 0.150000 1.610000 0.430000 5.140000 -0.030000 -1.639500 -2.973333 200201 0.140000 -1.440000 3.450000 1.120000 3.690000 1.009800 -0.170000 200202 0.130000 -2.290000 3.910000 -1.610000 6.800000 1.125300 -0.305000 200203 0.130000 4.240000 1.170000 4.300000 -1.720000 -4.178800 0.668333 200204 0.150000 -5.210000 4.210000 5.860000 7.920000 3.858900 0.315833 200205 0.140000 -1.380000 2.540000 -3.720000 3.160000 0.009100 -0.378333 200206 0.130000 -7.210000 1.560000 3.490000 6.170000 1.693900 0.250000 200207 0.150000 -8.180000 -3.630000 -5.140000 3.410000 2.851400 -0.235833 200208 0.140000 0.500000 2.240000 -2.260000 1.730000 4.414500 1.220833 200209 0.140000 -10.350000 1.230000 2.700000 9.110000 4.007500 -0.175833 200210 0.140000 7.840000 -6.490000 -2.980000 -5.470000 -2.943700 -1.002500 200211 0.120000 5.960000 -1.570000 3.170000 -16.290000 -1.313200 0.809167 200212 0.110000 -5.760000 3.900000 -0.450000 9.650000 4.294200 0.593333 200301 0.100000 -2.570000 -0.880000 1.400000 1.550000 -0.527700 0.518333 200302 0.090000 -1.880000 -1.460000 -0.260000 1.220000 3.000000 0.582500 200303 0.100000 1.090000 -1.670000 0.770000 1.550000 -1.229800 0.438333 200304 0.100000 8.220000 -0.060000 1.150000 -9.450000 0.864600 -0.257500 200305 0.090000 6.050000 0.150000 4.780000 -10.730000 5.673800 -0.253333 200306 0.100000 1.420000 0.680000 1.510000 -1.000000 -1.500400 -0.318333 200307 0.070000 2.340000 -2.110000 5.570000 -0.330000 -9.427700 0.724167 200308 0.070000 2.340000 1.710000 2.670000 -0.510000 0.921300 0.094167 200309 0.080000 -1.240000 1.000000 0.550000 -0.060000 5.723200 0.509167 200310 0.070000 6.080000 1.800000 2.890000 3.670000 -3.006600 0.365833 200311 0.070000 1.350000 1.460000 2.210000 1.600000 0.316200 0.224167 200312 0.080000 4.290000 2.680000 -2.780000 -5.700000 1.522100 0.291667 200401 0.070000 2.150000 1.640000 2.630000 2.590000 1.506700 0.635000 200402 0.060000 1.400000 0.420000 -1.150000 -1.120000 2.294000 0.974167 200403 0.090000 -1.320000 0.040000 1.850000 0.190000 1.308500 -0.005000 200404 0.080000 -1.830000 -1.690000 -2.540000 -5.370000 -6.037900 0.410833 200405 0.060000 1.180000 -0.290000 -0.160000 1.650000 -0.470300 0.199167 200406 0.080000 1.860000 1.660000 2.320000 2.080000 1.279900 -0.355833 200407 0.100000 -4.070000 4.480000 -3.820000 -2.370000 1.374500 -0.143333 200408 0.110000 0.080000 1.130000 -1.590000 -1.540000 3.843300 -0.002500 200409 0.110000 1.600000 0.360000 2.890000 5.260000 0.751000 0.067500 200410 0.110000 1.430000 -0.840000 0.430000 -1.520000 1.468400 0.551667 200411 0.150000 4.540000 1.930000 4.170000 3.230000 -2.401000 0.476667 200412 0.160000 3.430000 -0.350000 0.190000 -2.850000 2.246400 0.056667 200501 0.160000 -2.760000 2.660000 -1.650000 3.120000 2.681000 0.195000 200502 0.160000 1.880000 2.830000 -0.720000 3.180000 -1.630900 0.331667 200503 0.210000 -1.960000 1.750000 -1.380000 0.940000 -0.650000 -0.225000 200504 0.210000 -2.610000 -0.460000 -4.000000 -0.830000 3.326100 -0.360000 200505 0.240000 3.650000 -1.230000 2.990000 0.410000 2.977500 -0.908333 200506 0.230000 0.570000 2.780000 2.560000 2.080000 1.534300 -0.205000 200507 0.240000 3.920000 -0.450000 2.770000 0.040000 -3.401600 0.144167 200508 0.300000 -1.220000 1.410000 -0.880000 2.210000 2.986800 0.212500 200509 0.290000 0.480000 1.160000 -0.680000 3.480000 -3.614600 -0.135000 200510 0.270000 -2.010000 -0.700000 -1.030000 -1.320000 -2.270300 -0.270833 200511 0.310000 3.620000 -1.850000 1.000000 0.370000 0.492700 -0.059167 200512 0.320000 -0.250000 0.480000 -0.510000 0.760000 2.421900 0.219167 200601 0.350000 3.040000 1.170000 5.330000 2.800000 -1.460000 0.079167 200602 0.340000 -0.300000 -0.850000 -0.310000 -1.770000 0.539900 0.286667 200603 0.370000 1.460000 -0.110000 3.560000 1.210000 -4.382900 0.353333 200604 0.360000 0.730000 3.080000 -1.240000 0.650000 -2.807300 0.350000 200605 0.430000 -3.570000 2.770000 -3.040000 -3.730000 -0.572000 0.346667 200606 0.400000 -0.350000 1.510000 -0.530000 1.470000 0.665000 -0.555833 200607 0.400000 -0.780000 3.270000 -3.990000 -2.200000 1.722200 -0.064167 200608 0.420000 2.030000 -1.750000 0.830000 -3.470000 2.470700 0.075833 200609 0.410000 1.840000 -0.420000 -1.240000 -0.940000 1.350700 0.006667 200610 0.410000 3.230000 0.480000 1.640000 -0.260000 0.403400 0.145833 200611 0.420000 1.710000 0.480000 0.770000 -1.030000 1.596400 0.352500 200612 0.400000 0.860000 2.510000 -0.890000 0.820000 -2.820600 -0.135000 200701 0.440000 1.410000 -0.020000 0.090000 0.260000 -1.186200 -0.201667 200702 0.380000 -1.960000 0.240000 1.380000 -1.330000 2.495900 0.424167 200703 0.430000 0.680000 0.390000 -0.260000 2.520000 -1.636700 -0.479167 200704 0.440000 3.490000 -0.960000 -2.090000 -0.150000 0.374700 0.426667 200705 0.410000 3.240000 -0.130000 -0.040000 -0.300000 -2.457500 0.076667 200706 0.400000 -1.960000 -1.060000 0.760000 0.240000 -1.284400 0.145833 200707 0.400000 -3.730000 -2.990000 -2.670000 2.780000 2.641900 0.006667 200708 0.420000 0.920000 -2.360000 -0.140000 0.100000 1.327900 0.491667 200709 0.320000 3.220000 -2.130000 -2.460000 4.610000 -0.190000 0.140833 200710 0.320000 1.800000 -1.970000 0.210000 4.890000 1.256800 0.278333 200711 0.340000 -4.830000 -1.090000 -2.770000 0.880000 4.538300 -0.900000 200712 0.270000 -0.870000 -0.030000 0.050000 6.550000 -0.898800 -1.303333 200801 0.210000 -6.350000 3.050000 -0.770000 -7.830000 2.325900 -0.249167 200802 0.130000 -3.090000 -0.030000 -0.550000 6.110000 -0.092100 -0.452500 200803 0.170000 -0.940000 0.280000 0.830000 4.120000 1.017300 -0.515000 200804 0.180000 4.600000 -0.030000 -1.490000 -0.220000 -1.989800 -0.161667 200805 0.180000 1.860000 -0.340000 2.980000 3.200000 -3.055100 0.533333 200806 0.170000 -8.440000 -1.020000 1.070000 12.530000 2.200800 -0.094167 200807 0.150000 -0.770000 3.690000 3.580000 -5.320000 -0.226700 -0.575833 200808 0.130000 1.530000 1.480000 3.750000 -3.800000 2.248200 -0.014167 200809 0.150000 -9.240000 4.400000 -0.340000 0.340000 0.625400 -0.911667 200810 0.080000 -17.230000 -2.990000 -2.280000 7.830000 -3.708800 -6.363333 200811 0.030000 -7.860000 -4.940000 -3.630000 7.130000 14.423300 -3.172500 200812 0.000000 1.750000 -1.200000 3.970000 -5.030000 9.139200 -1.748333 200901 0.000000 -8.120000 -9.860000 -0.980000 -1.880000 -10.595400 2.287500 200902 0.010000 -10.100000 -6.900000 -0.350000 4.230000 -0.432500 2.194167 200903 0.020000 8.950000 2.600000 0.730000 -11.350000 5.718800 -0.526667 200904 0.010000 10.190000 5.420000 5.400000 -34.720000 -6.146300 -0.310000 200905 0.000000 5.210000 0.560000 -2.660000 -12.470000 -2.582600 3.570000 200906 0.010000 0.430000 -2.440000 2.670000 5.310000 0.672000 4.567500 200907 0.010000 7.720000 4.730000 2.500000 -5.470000 0.711300 1.610000 200908 0.010000 3.320000 7.590000 -0.510000 -8.870000 2.082200 2.630000 200909 0.010000 4.080000 1.400000 2.470000 -5.020000 1.645600 1.078333 200910 0.000000 -2.590000 -4.370000 -4.220000 2.670000 -1.420000 0.375000 200911 0.000000 5.560000 0.170000 -2.650000 0.370000 1.840600 0.164167 200912 0.010000 2.750000 0.730000 5.790000 2.890000 -5.448100 0.232500 201001 0.000000 -3.360000 0.610000 0.190000 -5.340000 2.940300 0.922500 201002 0.000000 3.400000 2.740000 1.440000 3.620000 -0.297400 0.082500 201003 0.010000 6.320000 2.030000 1.580000 3.700000 -1.317100 0.013333 201004 0.010000 2.000000 3.150000 4.940000 3.140000 2.895800 0.360000 201005 0.010000 -7.890000 -2.330000 -0.080000 -0.220000 4.073600 -0.819167 201006 0.010000 -5.560000 -4.260000 -2.130000 -2.900000 4.468600 -1.707500 201007 0.010000 6.920000 0.220000 0.170000 1.920000 -0.030100 0.527500 201008 0.010000 -4.770000 -1.640000 -2.940000 -0.130000 7.295500 0.937500 201009 0.010000 9.540000 -3.020000 3.840000 1.350000 -1.719800 0.374167 201010 0.010000 3.880000 -2.300000 1.040000 1.580000 -2.926600 0.716667 201011 0.010000 0.600000 -0.540000 3.660000 2.510000 -1.648300 0.017500 201012 0.010000 6.820000 3.580000 0.780000 -3.210000 -3.859000 -0.120000 201101 0.010000 2.010000 0.860000 -2.460000 -0.300000 -1.900900 0.297500 201102 0.010000 3.490000 1.670000 1.630000 2.050000 0.917900 0.917500 201103 0.010000 0.470000 -1.220000 2.620000 3.590000 0.053900 0.285000 201104 0.000000 2.900000 -2.250000 -0.320000 0.080000 2.046900 0.351667 201105 0.000000 -1.270000 -2.210000 -0.650000 -0.580000 3.305600 0.348333 201106 0.000000 -1.750000 -0.420000 -0.080000 1.760000 -1.594800 0.483333 201107 0.000000 -2.340000 -1.200000 -1.400000 0.140000 4.324700 -0.420833 201108 0.010000 -6.000000 -1.560000 -3.300000 -0.350000 8.252300 -1.037500 201109 0.000000 -7.600000 -1.060000 -3.680000 -2.520000 7.228900 -1.231667 201110 0.000000 11.340000 -0.900000 3.580000 -1.450000 -2.290900 -1.354167 201111 0.000000 -0.260000 -0.170000 -0.260000 4.000000 1.603400 0.945833 201112 0.000000 0.740000 1.530000 -0.570000 1.890000 2.756500 -0.240000 201201 0.000000 5.060000 -2.130000 2.520000 -7.950000 0.012500 -0.305000 201202 0.000000 4.430000 0.040000 -1.650000 -0.270000 -2.082000 0.737500 201203 0.000000 3.110000 -0.070000 -0.230000 1.460000 -3.597800 0.453333 201204 0.000000 -0.840000 -0.200000 -0.610000 3.840000 4.160100 0.172500 201205 0.010000 -6.200000 0.100000 -0.100000 6.610000 8.285600 -0.174167 201206 0.000000 3.880000 0.460000 0.820000 -1.140000 -1.688700 -0.655000 201207 0.000000 0.790000 0.020000 -2.590000 3.060000 3.521800 -0.507500 201208 0.010000 2.560000 0.590000 0.720000 -2.510000 -1.263700 0.399167 201209 0.010000 2.740000 1.570000 0.490000 -1.020000 -2.043500 0.672500 201210 0.010000 -1.750000 4.170000 -1.070000 0.120000 -0.264800 1.772500 201211 0.010000 0.770000 -1.100000 0.670000 0.370000 1.114700 0.784167 201212 0.010000 1.180000 3.280000 1.660000 -2.920000 -1.779100 0.291667 201301 0.000000 5.580000 1.350000 0.490000 -1.870000 -3.277600 0.427500 201302 0.000000 1.280000 0.310000 -0.380000 1.470000 1.240800 -0.060833 201303 0.000000 4.030000 -0.060000 0.840000 2.080000 -0.171700 0.286667 201304 0.000000 1.560000 0.360000 -2.430000 0.340000 3.882700 0.491667 201305 0.000000 2.810000 1.310000 1.930000 -1.890000 -5.779900 0.210000 201306 0.000000 -1.210000 -0.450000 1.230000 0.650000 -3.446500 -0.483333 201307 0.000000 5.650000 0.790000 1.850000 1.690000 -1.621700 -0.338333 201308 0.000000 -2.690000 -2.460000 0.280000 0.050000 -1.110200 0.773333 201309 0.000000 3.760000 -1.520000 2.850000 3.020000 0.850300 0.419167 201310 0.000000 4.170000 1.390000 -1.530000 0.160000 1.117900 0.415000 201311 0.000000 3.120000 -0.380000 1.310000 0.370000 -2.254700 0.272500 201312 0.000000 2.810000 -0.170000 -0.440000 0.040000 -2.056000 -0.006667