Fama and French five-factor model
|This is an advanced investing topic. New investors should ask in the forum for advice.|
- Three stock market factors: An overall market factor, and two factors related to firm size and book-to-market equity.
- Equity risk
- Value risk
- Size risk
- Two bond market factors, related to maturity and default risks
The Fama and French 5-Factor Model is not a predictive tool, it is an explanatory tool. It shows where portfolio return came from. It’s not possible to know how large the risk premiums will be from each of the five risks in the future. Thus, the model is not predictive.
Five factor asset pricing model
In 2013, Fama and French introduced a five-factor asset pricing model, adding profitability and investment factors to augment the three-factor model.. Dimensional Fund Advisors (DFA) is adding the profitability and investment loading factors to a number of its equity asset class funds. 
- "Common Risk Factors in the Returns on Stocks and Bonds". Journal of Financial Economics, Vol 33, Number 56. 1993. Viewed 25-Jul-2012.
- Few more articles, forum discussion by member Robert T.
- Rick Ferri (July 23, 2012). "The Five Dimensions of Risk". Forbes. https://www.forbes.com/sites/rickferri/2012/07/23/the-five-dimensions-of-risk.
- Fama, Eugene F. and French, Kenneth R., A Five-Factor Asset Pricing Model. (November 2013). Fama-Miller Working Paper. Available at SSRN.
- Research, DFA
- The Five Dimensions of Risk, forum discussion.
- Collective thoughts, forum discussion by member Robert T. A collection of references on The five dimensions of risk.
- Few more articles, forum discussion by member Robert T. A list of periodicals revolving around Fama and French's seminal paper, "Common Risk Factors in the Returns on Stocks and Bonds."
- Larry E. Swedroe (2005). The Only Guide to a Winning Investment Strategy You'll Ever Need.