Latest Release, 2/28/2022: "Technical Document: Factors" (dated February 28, 2022)
We provide factor returns and benchmark portfolio returns in CSV files in different frequencies in the 1967-2021 sample. The frequencies include daily, weekly (calendar, Friday close to Friday close), weekly (Wednesday-to-Wednesday, Wednesday close to Wednesday close), monthly, quarterly, and annual.
In the files that contain our benchmark portfolios, "ret_vw" denotes value-weighted total (cum-dividend) returns, and "retx_vw" denotes value-weighted ex-dividend returns (capital gains). Annual and quarterly ex-dividend returns are compounded from monthly ex-dividend returns, and weekly ex-dividend returns are compounded from daily ex-dividend returns.
This spreadsheet details the recent performance of our factors and their benchmark portfolios (the table below shows a brief summary).
We provide factor returns and benchmark portfolio returns in CSV files in different frequencies in the 1967-2021 sample. The frequencies include daily, weekly (calendar, Friday close to Friday close), weekly (Wednesday-to-Wednesday, Wednesday close to Wednesday close), monthly, quarterly, and annual.
In the files that contain our benchmark portfolios, "ret_vw" denotes value-weighted total (cum-dividend) returns, and "retx_vw" denotes value-weighted ex-dividend returns (capital gains). Annual and quarterly ex-dividend returns are compounded from monthly ex-dividend returns, and weekly ex-dividend returns are compounded from daily ex-dividend returns.
This spreadsheet details the recent performance of our factors and their benchmark portfolios (the table below shows a brief summary).
The q-factors and Expected Growth Factor
In the CSV files, "R_F" stands for the one-month Treasury bill rates, "R_MKT" the market excess returns, "R_ME" the size factor returns, "R_IA" the investment factor returns, "R_ROE" the return on equity factor returns, and "R_EG" the expected growth factor returns.
Daily Weekly (calendar) Weekly (Wednesday-to-Wednesday) Monthly Quarterly Annual
18 (2 by 3 by 3) Size, Investment-to-assets, and Return on Equity Benchmark Portfolios Underlying the q-factors
In the CSV files, the ranks are in ascending order. For size (ME), "1" means small, and "2" big. For investment-to-assets (IA) and return on equity (ROE), "1" means low, "2" median, and "3" high.
Daily Weekly (calendar) Weekly (Wednesday-to-Wednesday) Monthly Quarterly Annual
6 (2 by 3) Size and Expected Growth Benchmark Portfolios Underlying the Expected Growth Factor
In the CSV files, the ranks are in ascending order. For size (ME), "1" means small, and "2" big. For expected growth (EG), "1" means low, "2" median, and "3" high.
Daily Weekly (calendar) Weekly (Wednesday-to-Wednesday) Monthly Quarterly Annual
References
Hou, Kewei, Haitao Mo, Chen Xue, and Lu Zhang, 2019, Which factors? Review of Finance 23 (1), 1-35. Editor's Choice. 2019 Spängler IQAM Best Paper Prize for the best investments paper published in Review of Finance, European Finance Association. This article extends the q-factors series backward from January 1972 to January 1967. Slides | YouTube
Hou, Kewei, Haitao Mo, Chen Xue, and Lu Zhang, 2021, An augmented q-factor model with expected growth, Review of Finance 25 (1), 1-41. Editor's Choice. This article constructs the expected growth factor in the q5 model from January 1967 onward. Slides | YouTube
Hou, Kewei, Chen Xue, and Lu Zhang, 2015, Digesting anomalies: An investment approach, Review of Financial Studies 28 (3), 650-705. Editor's Choice. This article constructs the q-factors series from January 1972 onward. Slides | YouTube