Historical data from our factor models can be downloaded by clinking on the links below. Each file contains all of the expected returns from our databases going back to 1995. Each line in the files contains a single stock’s expected return for a given date. With 3,000 or more stocks in the universe, and 10+ years of coverage, the files are very large and should be imported into a database.

The data are intended to be used by prospective clients in order to test their own screening methods as well as their own trading strategies. Our returns do not take into consideration risk, but some of our clients have successfully utilized risk management tools when building their portfolios, which may also be employed in back-testing this data.

Each line in the U.S. files include the following fields:

• Date the expected return was created
• Ticker at that time
• Company name at that time
• Expected return: annualized and adjusted

US Model

Each line in the European and Japanese files include the following fields:

• Date the expected return was created
• Company name at that time
• Sedol at that time
• Expected return: annualized and adjusted

European Model
Japanese Model
Emerging Markets Model