q

This table shows that the Hou-Xue-Zhang (2015) q-factor model fully subsumes the Fama-French (2018) 6-factor model in head-to-head factor spanning tests.

News

5/3/2025: We have updated our testing portfolios through December 2024. Please see Testing Portfolios and "Technical Document: Testing Portfolios" (dated 5/2025).

2/16/2025: We have updated our factors through December 2024. Please see Factors and "Technical Document: Factors" (dated 2/16/2025).

4/25/2024: We have updated our testing portfolios through December 2023. Please see Testing Portfolios and "Technical Document: Testing Portfolios" (dated 4/2024).

2/15/2024: We have updated our factors through December 2023. Please see Factors and "Technical Document: Factors" (dated 2/15/2024).

7/25/2023: We have updated our testing portfolios through December 2022. Please see Testing Portfolios and "Technical Document: Testing Portfolios" (dated 7/2023).

2/12/2023: We have updated our factors through December 2022. Please see Factors and "Technical Document: Factors" (dated 2/12/2023).

7/19/2022: We have updated our testing portfolios through December 2021. Please see Testing Portfolios and "Technical Document: Testing Portfolios" (dated 7/2022).

2/28/2022: We have updated our factors through December 2021. Please see Factors and "Technical Document: Factors" (dated 2/28/2022). 

4/3/2021: We have updated our data library through December 2020. Please see Released Notes (dated 4/2/2021).

10/4/2020: We have added ex-dividend returns to the benchmark portfolios underlying our q and expected growth factors.

6/18/2020: We have released most of our data from Hou, Xue, and Zhang (2020, "Replicating Anomalies," Review of Financial Studies). Please see Release Notes (dated 6/16/2020).

2/15/2020: We have updated all the factors and testing portfolios through December 2019.

1/31/2020: We have posted the expected growth factor, its 2 by 3 (size and expected growth) benchmark portfolios, and testing portfolios (the expected growth deciles and 3 by 5 portfolios on size and expected growth).

11/21/2019: We have officially launched the Hou-Xue-Zhang q-factors data library at global-q.org.