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Authors

Andrew Y. Chen
Tom Zimmermann

News

2024-08-22: Data update (August 2024)

Portfolios updated to end of 2023
Various minor fixes and improvements
Head to the data page and our repo for details

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

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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