Market return.
Calendar effects · U.S. equities
Monthly seasonality
How the broad U.S. market and four classic equity factors have historically behaved in each calendar month.
Descriptive history, not a forecast or investment advice. Averages can be dominated by extreme observations.
- Sample
- Jan 2000 – May 2026
- Aligned months
- 317
- Dataset
- Kenneth French
- Mode
- Research only
Monthly mosaic
Average return and hit rate
Large figures are mean or median monthly returns. Small figures show the share of observations above zero. Select a cell for its range and sample size.
JanFebMarAprMayJunJulAugSepOctNovDec
U.S. marketMkt-RF + RF
MomentumMom
ValueHML
SizeSMB
QualityRMW
Select a cell for its full distribution summary.
Definitions
What the rows measure
Winners minus losers.
High minus low book-to-market.
Small minus big.
Robust minus weak profitability.
Source
Kenneth R. French Data Library. The files are publicly accessible at no charge.
Series
Fama/French 5 Factors (2×3) and Momentum Factor, monthly U.S. returns in percent.
Comparability note
From the January 2025 release, U.S. research returns use CRSP CIZ rather than FIZ files, changing monthly return construction.