That's actually quite a small data set - maybe you only included the first 5000 rows. Anyway you can read it into a matrix or a table. I show both ways.
% Option 1 : Read it into a table.
t = readtable('Kenfrench4.txt', 'Range','A12',...
'ReadVariableNames',true);
% Option 2 : Read it into a double
data = readmatrix('Kenfrench4.txt');
% Get rid of nan rows
goodRows = ~isnan(data(:, 1));
data = data(goodRows, :);