Global Factor Data
Global Factor Data
Global Factor Data
Global Factor Data

This website is based on the article “Is There a Replication Crisis in Finance?” (Jensen, Kelly, and Pedersen, Journal of Finance 2023). This paper constructs 153 characteristics/factors clustered into 13 themes (see cluster diagram here ) in 93 countries. This website provides access to the data and a number of other resources. Please site our paper if you are using this data. You can access the BibTex here.Copied! @article{JensenKellyPedersen2023,
        author = {Jensen, Theis Ingerslev and Kelly, Bryan and Pedersen, Lasse Heje},
        title = {Is There a Replication Crisis in Finance?},
        journal = {The Journal of Finance},
        volume = {78},
        number = {5},
        pages = {246-2518},
        year = {2023}


Yale, AQR Capital, and NBER

Copenhagen Business School

Factors to Watch

Below is a list of top performing capped value weighted factors in US over the last year.
For more information, click here.

Ranking Factor Sharpe Ratio
1 Asset turnover 2.69
2 Operating leverage 2.06
3 Change sales minus change SG&A 1.99
4 Abnormal corporate investment 1.99
5 Tax expense surprise 1.81

The content of this website is updated regularly as new data becomes available. The latest update includes data through December 2023.