Data for unloading by individual factors and portfolios is available in the section "Downloads".

 

Last month

Last 3 month

Last 12 month

2020 year

2019 year

2018 year

Russian stock market factors (including dividends)

Market Factor (RMRF)

4.31

7.7

56.63

13.9

21.6

28.32

Size Factor (SMB)

3.82

-1.28

-20.4

34.08

-3.06

-20.41

Value Factor (HML)

3.23

1.18

-7.92

-29.54

38.34

-16.13

Momentum Factor (MOM)

2.19

1.62

13.58

10.34

-5.38

43.45

Liquidity Factor (LIQ)

-0.93

-0.18

-22.37

-16.74

-13.75

-7.65

Dividend Yield Factor (DY)

-0.93 -5.1 3.6 9.12 -16.03 16.56

Private ownership vs SOEs Factor (SOE)

-1.73 -3.09

-2.61

17.5 2.84 2.53

Market Valuation Factor  (P/E)

-4.16 -2.66 -6.85 8.41 -18.5 18.46

Russian stock market factors (excluding dividends)

Market Factor (RMRF)

3.83 6.22 46.98 4.75 13.81 21.71

Size Factor (SMB)

4.12 -0.37 -16.99 40.66 2.5 -16.68

Value Factor (HML)

3.37 1.69 -4.79 -26.77 43.59 -13.7

Momentum Factor (MOM)

2.05 1.4 12.74 9.67 -3.95 40.88

Liquidity Factor (LIQ)

-0.78 0.36 -20.7 -14.61 -12.12 -8.41

Dividend Yield Factor (DY)

-1.27 -6.06 -1.38 1.94 -20.16 10.06

Private ownership vs SOEs Factor (SOE)

 -1.86 -3.45 -3.61  17.34 2.54 2.37

Market Valuation Factor  (P/E)

-4.11 -2.66 -6.79 6.93 -20.28 16.9

Portfolios by company size and value (excluding dividends)

Small companies of value

7.52

8.51

22.76

30.73

39.71

-14.53

Small growth companies

1.02

-3.11

-3.83

38.27

30.75

-22.79

Large companies of value

4.95

5.41

25.37

-7.98

65.32

1.76

Large growth companies

1.67

3.82

32.34

25.01

15.87

17.08

Portfolios by company size and liquidity (excluding dividends)

Small and liquid companies

16.26

16.74

109.73

143.97

38.94

2.05

Small and illiquid companies

1.45

-1.48

-9.61

15.42

28.83

-5.63

Large and liquid companies

3.31

6.08

40.88

7.15

30.45

16.48

Large and illiquid companies

2.67

7.16

17.24

-7.1

15.4

8.07

Note: last update in August 2021.

When using these materials, please refer to the site laifr.ipei.ranepa.ru

Notes:
1. Due to the increase in the number of companies in the sample, as well as when adding information about their financial activities, the values of a number of factors may change during the database update. Factors calculated by exchange rate yield are fixed for the entire period under review (except for the factor of & nbsp; state ownership (SOE) and the factor of dividend yield (DY)). Factors calculated taking into account dividend yield are fixed until 2019 (data on dividends paid by companies in 2019-2020 are updated).
2. The market factor (RMRF) values have been significantly adjusted, since when updating the database, the yield of the government bond index was used as a risk-free asset.