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fin.Fama-French-3-factor Calculator
Calculates expected return using the Fama-French three-factor model (market, size, and value factors) from factor loadings and premiums. The three-factor model explains 90%+ of equity returns vs. 70% for CAPM — size (SMB) and value (HML) premiums are the added factors.
Inputs
Rf Pct
Return on a theoretically safe investment like a government T-bill. The baseline return everything else is compared against. Enter as a decimal (e.g. 0.05 for 5%).
Rm Rf Pct
Reference formula or conversion factor shown for context.
Smb Pct
Reference formula or conversion factor shown for context.
Hml Pct
Reference formula or conversion factor shown for context.
Beta Mkt
Reference formula or conversion factor shown for context.
Beta Smb
Reference formula or conversion factor shown for context.
Beta Hml
Reference formula or conversion factor shown for context.
Results
expected return E(r)
Sample size or count used in the calculation.
market factor contribution
A dimensionless multiplier applied in the calculation.
size (SMB) contribution
Sample size or count used in the calculation.
value (HML) contribution
The computed numeric or monetary value.
E(r) = Rf + βm·MKT + βs·SMB + βv·HML
Reference formula or conversion factor shown for context.