Cross-Sectional Equity Factors
Extensive library of equity alpha and risk factors for diversified signal construction across global markets.
Quality
Profitability, accruals, earnings stability, balance sheet strength.
Value
Book-to-price, earnings yield, cashflow yield, dividend yield.
Momentum
12-1 returns, short-term reversal, trend persistence.
Size
Market capitalization effects and liquidity screens.
Low Volatility
Beta and idiosyncratic volatility tilts.
Microstructure
Bid-ask spread, price impact, turnover and depth.
Factor Return Correlations
Illustrative cross-correlation between monthly factor returns. Lower correlations support diversification.
Explore Factor Data
Access historical factors (last 30 days withheld) and validate research.