Fama French Expected Return Calculator
Free Fama French expected return calculator estimates three factor cost of equity from market beta, size premium SMB and value premium HML factor loadings.
How It Works
Enter the inputs described in each field label for Fama French Expected Return Calculator. Adjust the inputs above to see how changes affect the projection.
Fama French three factor model extends CAPM with SMB and HML factor premia multiplied by portfolio betas. Combine with CAPM Expected Return and Portfolio Beta on portfolios.tools for factor aware cost of equity estimates. Numbers update instantly so you can pressure test assumptions quickly.
Combine with CAPM Expected Return and Portfolio Beta on portfolios.tools for factor aware cost of equity estimates.
Bookmark the page for quick reruns without installing software.
Step by step
- Open Fama French Expected Return Calculator and enter your current inputs.
- Review calculated outputs and summary tables.
- Adjust assumptions and compare scenarios side by side.
Worked example
Adjust one input at a time to see sensitivity.
Common mistakes
Confirm tickers, percentages, and dates before acting.
Running a single baseline scenario ignores tail risks.
The Formula
E(R) = Rf + βm(Rm − Rf) + βSMB × SMB + βHML × HML
Factor premia and betas should come from the same estimation period. Results are model based expected returns not forecasts.
Limitations and assumptions
Factor premia and betas should come from the same estimation period. Results are model based expected returns not forecasts. Fama French Expected Return Calculator does not replace personalized advice.
Key terms
- What does Fama French Expected Return Calculator measure
- Fama French three factor model extends CAPM with SMB and HML factor premia multiplied by portfolio betas.
- How is the formula applied
- The formula block on this page shows every intermediate step so you can audit the math against textbook definitions.
- Model assumption
- Interpret results in context rather than as automatic buy, sell, or accept signals.
Compare alternatives
Combine with CAPM Expected Return and Portfolio Beta on portfolios.
FAQ
What does Fama French Expected Return Calculator measure?
Fama French three factor model extends CAPM with SMB and HML factor premia multiplied by portfolio betas. This calculator runs entirely in your browser on portfolios.tools. The formulas and any bundled reference data are documented below.
How is the formula applied in Fama French Expected Return Calculator?
Factor premia and betas should come from the same estimation period. Results are model based expected returns not forecasts.
How should I interpret Fama French Expected Return Calculator results?
Fama French three factor model extends CAPM with SMB and HML factor premia multiplied by portfolio betas.
What are common input mistakes with Fama French Expected Return Calculator?
Stress test with conservative and optimistic inputs before acting. Document assumptions when sharing outputs with colleagues or clients.
What are the limitations of Fama French Expected Return Calculator?
Factor premia and betas should come from the same estimation period. Results are model based expected returns not forecasts.
Related Tools
Combine with CAPM Expected Return and Portfolio Beta on portfolios.tools for factor aware cost of equity estimates.