Quant Factor Results: Interactive Time Series Chart

On this page you can view a time series chart of portfolio returns for up to 5 data series plus the S&P 500 index for a specified date range. For each data series, you can select a Value, Quality or Momentum factor or a combination of a Value and a Momentum factor. For each of these series, you can choose to view the performance of each Decile (with each stock ranked by the chosen factor or combination of factors), the results of a Long/Short Market Neutral portfolio (Decile 1 - Decile 10), or a Long, Short or Long/Short Market Neutral portfolio of a specified number of stocks (again, with each stock ranked by the chosen factor or combination of factors). Finally, for each data series, you can choose to view the portfolio performance calculated by equal weighting each stock or by weighting each stock by market capitalization.

You can also view charts of returns of a Long/Short Market Neutral portfolio of each factor or view a selected factor's table of detailed historical data. For more information about the data and methodologies, please click here.