factorReturns: 14 RAFI Factor Returns Across 3 Regions

In rexmacey/factorModel: Factor Model Creation and Evaluation

Description

RAFI Monthly Factor Returns Across Three Regions

Usage

factorReturns

Format

A tibble with 381 rows and 15 variables:

date

date at the end of the month

USVal

U.S. Value factor

USLVol

U.S. Low volatility factor

USQual

U.S. Quality factor

USSize

U.S. Size factor

USMom

U.S. Momentum factor

DxUVal

Int'l Developed Value factor

DxULVol

Int'l Developed Low volatility factor

DxUQual

Int'l Developed Quality factor

DxUSize

Int'l Developed Size factor

DxUMom

Int'l Developed Momentum factor

EMVal

Emerging Value factor

EMLVol

Emerging Low volatility factor

EMQual

Emerging Quality factor

EMMom

Emerging Momentum factor

Details

A dataset containing the monthly returns of 14 factors across the US, international developed and emerging markets.

Source

RAFI (Research Affiliates)

rexmacey/factorModel documentation built on Oct. 2, 2019, 1:25 a.m.