Return time series for Fama/French portfolios formed on sorting on three variables.
portfolios_trivariate
A data.table with variables:
region: geographical market considered for factor construction.
frequency: field observation frequency.
sort variable 1: first sort variable used for portfolio construction.
sort variable 2: second sort variable used for portfolio construction.
sort variable 3: third sort variable used for portfolio construction.
diviend: Y (included) or N (excluded).
weights: portoflio weighting method.
portfolio: corresponding portoflio.
field: variable observed for given portfolio.
period: observation period.
value: corresponding field value.
http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html.