Algorithmic Trading with the Fama-French Three and Five-Factor Models This project set out to examine the Fama-French Three and Five-Factor Models in order to determine which model resulted in the greatest profit. First, a brief background on the Fama-French model (information obtained from https://www.investopedia.com/terms/f/famaandfrenchthreefactormodel.asp): The first model, the Three-Factor Model, is an asset pricing model developed in 1992 by Nobel laureates Eugene Fame and Kenneth French. It expands on the capital asset pricing model (CAPM) by adding size, risk and value factors to the already established market-risk factor in CAPM. According to the Investopedia article mentioned above, "this model considers the fact that value and small-cap stocks outperform markets on a regular basis. By including these two additional factors, the model adjusts for this outperforming tendency, which is thought to make it a better tool for evaluating manager performance." The three factors are: SMB (Small Minus Big returns), HML (High Minus Low returns) and the portfolio's return minus the ri

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