By |Published On: April 17th, 2020|Categories: Research Insights, Tool Updates|

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
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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About the Author: Wesley Gray, PhD

Wesley Gray, PhD
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 Palmas Del Mar Puerto Rico with his wife and three children. He recently finished the Leadville 100 ultramarathon race and promises to make better life decisions in the future.

Important Disclosures

For informational and educational purposes only and should not be construed as specific investment, accounting, legal, or tax advice. Certain information is deemed to be reliable, but its accuracy and completeness cannot be guaranteed. Third party information may become outdated or otherwise superseded without notice.  Neither the Securities and Exchange Commission (SEC) nor any other federal or state agency has approved, determined the accuracy, or confirmed the adequacy of this article.

The views and opinions expressed herein are those of the author and do not necessarily reflect the views of Alpha Architect, its affiliates or its employees. Our full disclosures are available here. Definitions of common statistics used in our analysis are available here (towards the bottom).

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