Link of the Month: Ken French’s Database

When I first got into the portfolio theory business in the early 1990s, the barriers to entry for the small investor were almost insurmountable: there were no guidelines to practical allocation and, worse, no software. But by far the biggest problem was the dearth of useful returns data. One high-end analyst shook his head and admitted to me, "Even I have problems getting this stuff."

No more. Now, all manner of domestic data is available online from Barra, Wilshire, and even MSCI. And it keeps getting better. Professor Ken French of MIT has recently posted an extensive dataset of returns of U.S. stocks sorted by size, price/book, price/earnings, price/cash flow, dividend yield, and industry.

Below is a simple example of what you can do with his files: a plot of the growth of $1 invested in each of his six style categories (small value, blend, and growth, and large value, blend, and growth).

The files are not small; he had to limit the series to text files to conserve size. You’ll have to be proficient at spreadsheet importation. (I recommend using space-delimited importation. Column-registration errors will occur, so you’ll need to make sure that the columns stack up properly.)

This is a real treasure trove. Explore and enjoy.

Finally, an amusing tidbit from Larry Swedroe: the Internet Wasteland page from the VTO Report. Not for those with weak stomachs.

Copyright © 2001, William J. Bernstein