Analysis | Global Factor Data

Explore factor performance, compare strategies, and discover stock characteristics across global equity markets.

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Factors to Watch

Below is a list of top-performing Capped Value Weighted factors in the US over the last year.
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Ranking	Factor	Sharpe Ratio

Location

Weighting

Time Period

Ranking	Factor	Average Returns (Ann. %)	Volatility (Ann. %)	Sharpe Ratio	Info. Ratio	Alpha (Ann. %)	Beta
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Raw returns Market-adjusted returns

Region/Country

Theme/Factor

Weighting

Statistic	Last Year	Last 5 Years	Last 10 Years	Full Sample
Average Returns (Ann. %)	0	0	0	0
Volatility (Ann. %)	0	0	0	0
Sharpe Ratio	0	0	0	0
Info. Ratio	0	0	0	0
Alpha (Ann. %)	0	0	0	0
Beta	0	0	0	0

Compare the cumulative performance of different factor strategies across regions, themes, and weighting schemes. Select multiple combinations from the dropdowns below to visualize how various factor approaches have performed over time.