Fama French Indices – 5 Year Rolling Returns

5 Year Rolling Returns

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Year Fama-French Large Growth Fama-French Large Value Fama-French Small Growth Fama-French Small Value
1932 -12.98% -22.88% -23.50% -25.03%
1933 -13.39% -13.71% -12.81% -18.15%
1934 -7.26% -17.13% 4.19% -9.10%
1935 5.81% 0.78% 23.21% 12.13%
1936 21.61% 29.82% 46.69% 44.86%
1937 13.74% 17.57% 29.78% 25.02%
1938 11.88% 5.33% 15.34% 12.01%
1939 11.20% 7.64% 10.71% 9.40%
1940 1.52% -1.42% 2.43% -1.60%
1941 -5.73% -9.03% -7.43% -12.70%
1942 5.05% 7.17% 9.10% 7.12%
1943 3.22% 10.21% 9.29% 16.47%
1944 4.78% 21.42% 14.74% 27.18%
1945 13.07% 32.21% 26.57% 45.15%
1946 14.18% 30.17% 28.05% 44.37%
1947 12.29% 24.88% 21.99% 37.38%
1948 8.62% 17.25% 11.57% 20.04%
1949 9.93% 13.13% 8.62% 15.04%
1950 8.42% 14.05% 3.81% 11.92%
1951 14.42% 19.20% 9.86% 16.30%
1952 16.39% 21.49% 13.65% 17.01%
1953 16.15% 18.55% 15.19% 15.89%
1954 20.43% 28.46% 18.65% 23.06%
1955 21.47% 23.94% 15.39% 18.02%
1956 18.60% 21.46% 13.62% 16.67%
1957 13.46% 11.31% 7.69% 10.85%
1958 21.09% 25.93% 20.64% 25.00%
1959 14.79% 16.24% 16.72% 17.00%
1960 8.65% 8.38% 13.30% 10.78%
1961 12.44% 13.27% 16.21% 15.56%
1962 12.00% 18.52% 14.68% 17.27%
1963 8.69% 12.43% 4.10% 10.90%
1964 8.95% 12.49% 1.71% 11.92%
1965 12.25% 19.25% 9.18% 21.64%
1966 4.69% 10.93% 3.75% 13.44%
1967 12.76% 17.96% 23.87% 28.31%
1968 9.25% 17.00% 29.09% 31.62%
1969 6.94% 9.00% 20.40% 18.98%
1970 3.08% 6.81% 7.58% 12.27%
1971 10.08% 11.75% 13.89% 17.26%
1972 8.71% 9.43% 0.41% 7.26%
1973 2.68% 3.53% -15.83% -6.66%
1974 -4.72% 1.74% -17.73% -5.00%
1975 2.27% 8.96% -5.28% 2.66%
1976 1.19% 14.56% -3.49% 9.59%
1977 -4.56% 11.08% -0.09% 12.78%
1978 1.61% 12.68% 16.35% 25.08%
1979 12.28% 23.81% 36.04% 39.22%
1980 12.41% 16.79% 34.55% 32.41%
1981 7.24% 11.13% 23.06% 24.66%
1982 13.73% 16.31% 23.14% 27.73%
1983 15.32% 21.16% 24.06% 32.66%
1984 11.67% 19.85% 11.47% 26.14%
1985 11.24% 22.84% 7.91% 28.11%
1986 15.98% 24.75% 11.02% 27.41%
1987 13.16% 18.14% 4.33% 17.39%
1988 12.73% 17.96% 3.38% 14.59%
1989 20.08% 20.59% 10.31% 16.28%
1990 13.72% 11.05% 0.69% 3.79%
1991 18.97% 12.04% 9.45% 8.14%
1992 18.74% 17.54% 13.63% 16.50%
1993 16.52% 16.31% 12.84% 16.25%
1994 9.98% 9.11% 7.73% 13.63%
1995 16.90% 19.53% 18.97% 26.43%
1996 13.06% 16.78% 11.60% 22.64%
1997 17.97% 18.31% 13.53% 23.10%
1998 24.61% 17.65% 11.52% 14.82%
1999 30.70% 19.01% 22.79% 15.34%
2000 19.15% 12.90% 9.40% 9.66%
2001 10.83% 9.84% 6.91% 13.00%
2002 -0.05% -3.94% -3.49% 3.29%
2003 -1.33% -1.01% 4.48% 17.58%
2004 -5.09% 2.53% -1.97% 21.93%
2005 -1.73% 3.73% 4.71% 22.97%
2006 3.41% 8.31% 7.01% 19.55%
2007 11.43% 15.62% 16.86% 18.77%
2008 -2.04% -4.85% -3.62% -5.53%
2009 1.61% -1.81% -0.13% 0.27%
2010 4.06% -0.21% 4.24% 5.51%
2011 3.14% -6.00% 1.07% -0.04%
2012 3.38% -0.71% 1.97% 7.17%
2013 19.06% 21.56% 22.96% 28.79%