FACTOR RETURNS
PURE FACTOR RETURNS
MONTHLY US LARGE CAP
Pure factor returns as described in
Clarke, de Silva, and Thorley (2020)
PURE FACTOR RETURNS
2023 Extension and Chart
PRIMARY FACTOR RETURNS
MONTHLY US LARGE CAP
Primary factor returns as described in
Clarke, de Silva, and Thorley (2020)
PRIMARY FACTOR RETURNS
2023 Extension and Chart
RISK-ADJUSTED PURE FACTOR
MONTHLY US LARGE CAP
Risk-adjusted pure factor returns as described in Clarke, de Silva, and Thorley (2020)