Fama-French factors

A family of asset pricing models that explain returns using market, size, value, profitability, and investment factors.

FF3 uses market, SMB (size), and HML (value). FF5 adds profitability and investment.

• Factor Regression
• Match Factor Exposure

• SMB (small minus big)
• HML (high minus low)
• Marginal vs effective tax rate
• MAGI (modified adjusted gross income)
• AMT (alternative minimum tax)