This website is based on the article “Is There a Replication Crisis in Finance?” (Jensen, Kelly, and Pedersen, Journal of Finance 2023). This paper constructs 153 characteristics/factors clustered into 13 themes (see cluster diagram here ) in 93 countries. This website provides access to the data and a number of other resources. Please site our paper if you are using this data. You can access the BibTex here.Copied!
Below is a list of top performing capped value weighted factors in US over the last year.
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information, click here.
Ranking | Factor | Sharpe Ratio |
1 | Asset turnover | 2.69 |
2 | Operating leverage | 2.06 |
3 | Change sales minus change SG&A | 1.99 |
4 | Abnormal corporate investment | 1.99 |
5 | Tax expense surprise | 1.81 |
The content of this website is updated regularly as new data becomes available. The latest update includes data through December 2023.