Sections:
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.