Global Factor Data
Global Factor Data
Global Factor Data
Global Factor Data
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*The return data is 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). Return series for each of the 13 themes are equal-weighted averages of the factors that fall under that theme. 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. For details about the factor construction, see documentation.