Data Library

 Equity factors and portfolios

This data library is jointly maintained by Long Chen and Lu Zhang. We are still updating the contents...

[Document of the Data Library] [Chen and Zhang (2009, forthcoming, JF)] [SmartMoney article] [Presentation at Society of Quantitative Analysts)]

Current Benchmark Returns

 

June 2009

Last 3 Months up to June 2009 (average)

Last 12 Months up to June 2009 (average)

Chen/Zhang Benchmark q-Theory Factors

The market factor
The investment factor
The ROA factor



-0.28
2.79
2.16



5.83
0.27
-3.22



-2.26
1.03
1.03

Chen/Zhang Benchmark Portfolios

Small Low-Investment
Small Median-Investment
Small High-Investment

Big Low-Investment
Big Median-Investment
Big High-Investment

Small Low-ROA
Small Median-ROA
Small High-ROA

Big  Low-ROA
Big Median-ROA
Big High-ROA



3.78
3.71
0.44

-1.07
1.02
-3.31

3.41
1.62
2.40

-4.51
-1.50
0.83



13.48
11.34
12.71

6.74
6.07
6.96

14.89
10.36
9.84

5.70
5.29
4.30



-0.28
-0.11
-1.78

-1.74
-1.55
-2.30

-1.69
-0.83
-1.36

-3.97
-2.28
-2.25