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Global Factor 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 (Forthcoming). The data is available at the daily and monthly frequencies with equal weighting, value weighting, or capped value weighting (default).

The underlying source code is available at https://github.com/bkelly-lab/ReplicationCrisis. For details about the factor construction, see documentation.

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 (Forthcoming)

 
* - 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.