Quant Factor Results: Historical Data Tables

On this page you can view a data table of monthly and/or daily historical portfolio returns for a selected Value, Quality or Momentum factor or a combination of a Value and a Momentum factor. 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 choose to view the results of portfolios made up of Deciles (with each stock ranked by the chosen factor or combination of factors) or made up of a specified number of stocks (again, with each stock ranked by the chosen factor or combination of factors).

You can also view charts of returns of a Long/Short Market Neutral portfolio of each factor or view a time series chart of one or more factor data series. For more information about the data and methodologies, please click here.