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To download data, head to the Data tab, left click to open in a new tab (Google Drive links, may need to click the download button)

Authors

Andrew Y. Chen
Tom Zimmermann

News

2023-08-16: Data update (August 2023)

Portfolios updated to end of 2022
Five additional signals
Various minor fixes and improvements
Head to the data page and our repo for details

2022-03-30: Data update (March 2022)

Portfolios updated to end of 2021
Two additional signals
2×3 Fama-French factor style portfolios

2021-04-22: Data update (April 2022)

Added daily portfolio returns
Additional portfolio implementations
Added methods for accessing data
Minor bug fixes

The views expressed herein are those of the authors and do not necessarily reflect the position of the Board of Governors of the Federal Reserve or the Federal ReserveSystem.

This project has received support from the Deutsche Forschungsgemeinschaft (DFG) under Germany’s Excellence Strategy EXC2126/139083886.

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