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.
  • Here is a link to the site (requires registration, which is free).
  • If the link above doesn’t work, you can always navigate to our data download section via the right sidebar panel. Click on “Index Data Download.”

Factor Definitions

Asset GrowthYoY growth rate in Total AssetsQuality
BetaMeasures beta using daily returns against the “local” index over a 252 day periodVolatility
Book/PriceCommon Equity / SizeValue
Cash Flow/Price(Net Income + Depreciation & Amortization + Deferred Taxes (if available)) / SizeValue
Debt Paydown Yield(Total Debt 1 year ago minus Total debt today) / Market CapitalizationValue
Dividend/PriceDividends per share / PriceValue
Earnings/PriceEarnings Per Share / PriceValue
EBIT/TEVEBIT / Total Enterprise Value, where EBIT = Operating Income = Revenues – COGS – SGA and Total Enterprise Value = Current Market Capitalization + Preferred Stock (if available) + Debt (if available) + Minority Interest (if available) – Cash (if available)Value
EBITDA/TEVEBITDA / Total Enterprise Value, where EBITDA = EBIT + Depreciation + Amortization and Total Enterprise Value = Current Market Capitalization + Preferred Stock (if available) + Debt (if available) + Minority Interest (if available) – Cash (if available)Value
Financial Strength ScoreFinancial Strength Score + tiebreaker (we use EBIT/TEV / 100 to create a continuous FS-Score Variable)Quality
Gross Profit(Sales – COGS) / lagged Total AssetsQuality
Momentum (1)Total Return (in U.S. Dollar terms) over the prior 1 month.Momentum
Momentum (1-12)Total Return (in U.S. Dollar terms) over the prior 12 months.Momentum
Momentum (1-6)Total Return (in U.S. Dollar terms) over the prior 6 months.Momentum
Momentum (2-12)Total Return (in U.S. Dollar terms) over the prior 12 months, excluding last month.Momentum
PriceClosing PriceN/A
Repurchase YieldTotal return over the past 12 months – (Current Market Capitalization / Market Capitalization 1 year ago). Measured at Month end. See http://www.kentdaniel.net/papers/published/jf_06.pdf.Value
Return on AssetsReturn on AssetsQuality
Return on EquityReturn on EquityQuality
Sales/PriceSales / SizeValue
Shareholder YieldDividend Yield + Repurchase YieldValue
Shareholder Yield with DebtDividend Yield + Repurchase Yield + Net Debt Paydown YieldValue
SizeConsolidated Market CapitalizationSize
VolatilityMeasures volatility using the standard deviation of the daily total return over the past 252 trading days, and multiplies this by the square root of 252Volatility
Subject to change. Please always refer to our disclosures for full details on the factors.
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