Fama-French Calculator Excel Template
Fama-French Calculator Excel Template
Interactive Excel Financial Model
Download, customize, and integrate into your own analysis
What's Included
- Interactive financial model with live Excel formulas
- All formulas visible and fully editable
- Professional formatting with color-coded inputs & outputs
- Formula reference sheet with variable definitions
- Step-by-step instructions sheet
- Compatible with Microsoft Excel 2016 and later
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Price range: $0.00 through $20.00
Professional Fama-French factor model Excel template. Calculate expected returns using three-factor or five-factor models with live formulas.
Online Calculator vs Excel Template
| Feature | Online | Excel |
|---|---|---|
| Instant use — no download | ✓ | — |
| Works offline | — | ✓ |
| Customize formulas & layout | — | ✓ |
| Save & share with colleagues | — | ✓ |
| Integrate into your own models | — | ✓ |
| Print-ready formatting | — | ✓ |
About This Template
Calculate expected returns using the Fama-French multi-factor model with this professional Excel template. Whether you are analyzing portfolio factor exposures, comparing expected vs actual performance, or teaching asset pricing theory, this template gives you a fully editable factor model at your fingertips.
What You Can Calculate
This template computes expected returns using both the three-factor (1993) and five-factor (2015) Fama-French models:
- Expected Return - Total return based on risk-free rate plus factor premiums
- Excess Return - Combined contribution from all factor exposures
- Factor Contributions - Individual return attribution from market, size (SMB), value (HML), profitability (RMW), and investment (CMA) factors
- Alpha (Abnormal Return) - Optional comparison of actual vs expected returns
Required Inputs
Enter factor premiums (from sources like Ken French Data Library) and your asset's factor betas (from regression analysis or data providers):
- Risk-free rate and market risk premium
- Size (SMB), value (HML), profitability (RMW), and investment (CMA) premiums
- Corresponding factor betas (loadings) for each factor
- Optional: Actual return for alpha calculation
Methodology
The template implements the Fama-French five-factor model: E(Ri) = Rf + BM x MRP + BSMB x SMB + BHML x HML + BRMW x RMW + BCMA x CMA. For three-factor results, simply set RMW and CMA betas to zero.
Assumptions & Limitations
- Factor premiums are annualized percentages
- Factor betas are regression coefficients from factor model estimation
- Alpha represents single-period abnormal return
- For educational purposes only - not financial advice
Frequently Asked Questions
Yes. This template supports both three-factor and five-factor models. For three-factor results, simply set the RMW and CMA betas to 0 - the profitability and investment contributions will be zero, giving you the classic Fama-French three-factor expected return.
Duplicate the Calculator sheet for each asset. Right-click the sheet tab, select Move or Copy, check Create a copy, and rename it. Each copy maintains all formulas and updates independently when you enter different factor loadings.
Enter your asset's actual return in the Actual Return field. The template calculates alpha (abnormal return) as the difference between actual and expected returns, showing whether the asset outperformed or underperformed its factor-based expectation.
A fully interactive financial model with live Excel formulas, an Instructions sheet with usage guide, and a Formula Reference sheet with variable definitions and model assumptions. All formulas are visible and editable.
Microsoft Excel 2016 or later. The template uses standard Excel formulas only — no macros, VBA, or add-ins required.
Yes. All cells are fully editable. You can modify any formula, add your own calculations, change formatting, or integrate the model into your existing spreadsheets.
The online calculator runs in your browser for quick calculations. This Excel template gives you a portable, offline financial model you can customize, save, share with colleagues, and integrate into your own analysis.
This template is provided for educational and personal use. You may use it in your own professional analysis and presentations. Redistribution or resale of the template itself is not permitted.
You can re-download the latest version from your account or by requesting a new download link. Free downloads are limited to 5 per email address per month.
