This data release is associated with the code release v1.4.0. You can explore all available data via Google Drive File Explorer. You can find direct links to some featured datasets below.
Featured Portfolio Return Datasets
- Monthly portfolio returns
- Monthly long-short returns of 212 predictors following OPs (wide csv)
- 212 csvs, each has returns for a portfolio sort using a different predictor following OPs (Gdrive folder)
- Use this link to get, say, 5 long portfolios based on B/M (BM.csv) or the long- and short portfolios based on dividend seasonality (DivSeason.csv)
- All 212 predictor portfolio sort csvs in a single file (still following OPs)
- Daily portfolio returns
Featured Stock-level Signal Datasets
- 209 predictive firm-level characteristics in wide format, signed so future mean returns increase in characteristics (1.6 GB zipped csv)
- Omits Price, Size, and STreversal, which can be downloaded from CRSP
- Code to automate the download available here