Data description:

The data consist of six blank sparated columns with no header.  The data
are 23836 daily returns on value weighted portfolios made up of firms
from five industries. The portfolios are constructed at the end of June.
The six columns are: 

1. Date  -- yyyymmdd format
2. Cnsmr -- Consumer Durables, NonDurables, Wholesale, Retail, Some Services
3. Manuf -- Manufacturing, Energy, and Utilities
4. HiTec -- Business Equipment, Telephone and Television Transmission 
5. Hlth  -- Healthcare, Medical Equipment, and Drugs`
6. Other -- Mines, Constr, BldMt, Trans, Hotels, BusServ, Entertainmt, Finance

Source: 
http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/det_5_ind_port.html

Documentation from source:

Daily Returns: July 1, 1963-October 29, 2010
 	 	 
Portfolios: Industry definitions below
 	 	 
Construction: We assign each NYSE, AMEX, and NASDAQ stock to an industry
portfolio at the end of June of year t based on its four-digit SIC code
at that time. (We use Compustat SIC codes for the fiscal year ending in
calendar year t-1. Whenever Compustat SIC codes are not available, we
use CRSP SIC codes for June of year t.) We then compute returns from
July of t to June of t+1.
 

 1 Cnsmr  Consumer Durables, NonDurables, Wholesale, Retail, and Some Services (Laundries, Repair Shops)
          0100-0999
          2000-2399
          2700-2749
          2770-2799
          3100-3199
          3940-3989
          2500-2519
          2590-2599
          3630-3659
          3710-3711
          3714-3714
          3716-3716
          3750-3751
          3792-3792
          3900-3939
          3990-3999
          5000-5999
          7200-7299
          7600-7699

 2 Manuf  Manufacturing, Energy, and Utilities
          2520-2589
          2600-2699
          2750-2769
          2800-2829
          2840-2899
          3000-3099
          3200-3569
          3580-3621
          3623-3629
          3700-3709
          3712-3713
          3715-3715
          3717-3749
          3752-3791
          3793-3799
          3860-3899
          1200-1399
          2900-2999
          4900-4949

 3 HiTec  Business Equipment, Telephone and Television Transmission
          3570-3579
          3622-3622 Industrial controls
          3660-3692
          3694-3699
          3810-3839
          7370-7372 Services - computer programming and data processing
          7373-7373 Computer integrated systems design
          7374-7374 Services - computer processing, data prep
          7375-7375 Services - information retrieval services
          7376-7376 Services - computer facilities management service
          7377-7377 Services - computer rental and leasing
          7378-7378 Services - computer maintanence and repair
          7379-7379 Services - computer related services
          7391-7391 Services - R&D labs
          8730-8734 Services - research, development, testing labs
          4800-4899

 4 Hlth   Healthcare, Medical Equipment, and Drugs
          2830-2839
          3693-3693
          3840-3859
          8000-8099

 5 Other  Other -- Mines, Constr, BldMt, Trans, Hotels, Bus Serv, Entertainment, Finance