{
  "source_url": "https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/F-F_Research_Data_Factors_daily_CSV.zip",
  "source_description": "Kenneth R. French Data Library, daily Fama/French 3 factors; daily Mkt-RF and RF, downloaded at run time.",
  "return_units_in_csv": "decimal monthly excess return (0.01 = 1%)",
  "risk_proxy_units_in_csv": "squared decimal daily-return units, summed over each month",
  "data_start_month": "1926-07",
  "initial_estimation_months": 882,
  "subperiod_sensitivity": [
    {
      "period": "2000-2004",
      "n_months": 60,
      "return_oos_r2": -0.03633944611339901,
      "variance_qlike_improvement_percent": 39.98260770795656
    },
    {
      "period": "2005-2009",
      "n_months": 60,
      "return_oos_r2": -0.04971616433865189,
      "variance_qlike_improvement_percent": 76.59084348668658
    },
    {
      "period": "2010-2014",
      "n_months": 60,
      "return_oos_r2": -0.08519185314534461,
      "variance_qlike_improvement_percent": -32.595817374206185
    },
    {
      "period": "2015-2019",
      "n_months": 60,
      "return_oos_r2": -0.07877971783395887,
      "variance_qlike_improvement_percent": -46.3546840062152
    },
    {
      "period": "2020-2025",
      "n_months": 72,
      "return_oos_r2": -0.07457936816072452,
      "variance_qlike_improvement_percent": 26.151673442337852
    }
  ],
  "sample_start": "2000-01",
  "sample_end": "2025-12",
  "n_months": 312,
  "training_window_months_minimum": 60,
  "return_benchmark": "Expanding historical mean of monthly market excess returns",
  "return_alternative": "Mean of the preceding 12 monthly market excess returns",
  "risk_proxy": "Within-month sum of squared daily market excess returns",
  "risk_benchmark": "Expanding historical mean of monthly realised-variance proxies",
  "risk_alternative": "Previous month's realised-variance proxy (persistence)",
  "return_loss": "Monthly squared forecast error",
  "return_oos_r2": -0.06261731891074507,
  "return_rmse_benchmark_percentage_points": 4.548716412637279,
  "return_rmse_alternative_percentage_points": 4.688968408919005,
  "return_loss_comparison": {
    "mean_loss_difference_alt_minus_benchmark": 0.00012956037372446817,
    "newey_west_lags_months": 12,
    "newey_west_t_statistic": 1.6191772491889607,
    "two_sided_normal_approx_p_value": 0.1054091315941387
  },
  "variance_loss": "Normalised QLIKE: y/f - log(y/f) - 1, equivalent for rankings to Patton's QLIKE up to an outcome-only term",
  "variance_mean_qlike_benchmark": 0.6402312727928118,
  "variance_mean_qlike_alternative": 0.4734791877591168,
  "variance_qlike_improvement_percent": 26.045601350632307,
  "variance_loss_comparison": {
    "mean_loss_difference_alt_minus_benchmark": -0.16675208503369499,
    "newey_west_lags_months": 12,
    "newey_west_t_statistic": -1.1187481523320477,
    "two_sided_normal_approx_p_value": 0.26324759632395844
  },
  "caveat": "Descriptive single-market comparison; relative skill is not a commensurable measure of economic value. HAC tests are approximate; the daily squared-return proxy is noisy and is not the latent variance itself."
}