Are you doing independent factor research? Have you spent countless hours on Ken French’s website? Do you run factor regressions for “fun”?
Congrats — you are officially a finance geek and you will probably benefit from our new factor investing library.
Our library has over 300 factors to choose from and has data available from 92 to the most recent period.
The factors are built across the following dimensions and can be used for research purposes with an appropriate citation.
3 Markets = US (Top 1500), Developed (Top 1500), or Canada (Top 150)
2 Weightings = Value-weighted (i.e., market-cap weighted) or equal-weighted
3 Splits = Tercile (Canada-only) or decile/quintile (US and Developed)
25+ Characteristic = EBIT/TEV, B/P, 2-12 Mom, and so forth (see below)
Please share any of your findings — curious to hear what the community finds. Happy to facilitate guest blog posts if you’d like to share far and wide.
After serving as a Captain in the United States Marine Corps, Dr. Gray earned an MBA and a PhD in finance from the University of Chicago where he studied under Nobel Prize Winner Eugene Fama. Next, Wes took an academic job in his wife’s hometown of Philadelphia and worked as a finance professor at Drexel University. Dr. Gray’s interest in bridging the research gap between academia and industry led him to found Alpha Architect, an asset management firm dedicated to an impact mission of empowering investors through education. He is a contributor to multiple industry publications and regularly speaks to professional investor groups across the country. Wes has published multiple academic papers and four books, including Embedded (Naval Institute Press, 2009), Quantitative Value (Wiley, 2012), DIY Financial Advisor (Wiley, 2015), and Quantitative Momentum (Wiley, 2016).
Dr. Gray currently resides in the suburbs of Philadelphia with his wife and three children. He recently finished the Leadville 100 ultramarathon race and promises to make better life decisions in the future.