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Global Factor Data

Update: Factors on this website and stock level data on WRDS have been updated to include 2023 data.

This site provides return data for characteristic-managed portfolios, or "factors," from around the world. It includes factors for 153 characteristics in 13 themes, using data from 93 countries* and four regions, based on the construction in Jensen, Kelly, and Pedersen (2023). The data is available at the daily and monthly frequencies with equal weighting, value weighting, or capped value weighting (default). Returns are excess returns in USD.

The underlying source code is available on Github, the stock-level data used to build the factors is available on WRDS, and the data on global market returns, industry returns, return cutoffs, and more are available on Dropbox. For details about the factor construction, see documentation. We also provide guide to downloading the stock-level data from WRDS via R and Python.

Data on this site is based on the following paper:

Jensen, T., Kelly, B., and Pedersen, L. Is There a Replication Crisis in Finance? Journal of Finance (2023)

 
* - While data from all 93 countries contribute to the regional portfolios, not all countries have sufficient data to build country-level factors, hence the number of individual countries available to download is 73.

Analysis Code and Data © Jensen, T., Kelly, B., and Pedersen, L. The code and data are freely available for academic research and personal non-commercial use. Any other use, including redistribution, requires prior consent under copyright protection.

Website Design © Highbrook Technology Consulting 2024.