Return and level (risk free rate) time series for the Fama/French asset pricing factors.
factors
A data.table with variables:
region: geographical market considered for factor construction.
frequency: factor return frequency (day, month, year).
period: period over which factor returns are calculated or risk free rate level is observed.
factor: Fama/French factor
value: corresponding return (factors) or level (risk free rate) observation.
http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html.