When updating data, corrections of previously posted information are possible. The correction is associated with the addition of previously unpublished information to the database.
All files are in csv format

Monthly factor data (including dividends) (.csv)

Annual data by factors (including dividends) (.csv)

Monthly factor data (excluding dividends) (.csv)

Annual data by factors (excluding dividends) (.csv)

Portfolios by company size and value (.csv)

Additional literature:

• Абрамов А. Е. Информация - двигатель прогресса / Абрамов А. Е., Чернова М. И. // Вестник НАУФОР. - 2019. - No. 7-8. - P. 81-95. (.pdf)
• Sharpe, F. Capital Asset Prices: A theory of market equilibrium under conditions of risk. / Sharpe, F. // Journal of Finance. — 1964. — No 19. — P. 425-442. (.pdf)
• Lintner, J. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. / Lintner, J. // Review of Economics and Statistics. — 1965. — No 47. — P. 13 — 37. (.pdf)
• Fama, E. Common risk factors in the returns on bonds and stocks. / Fama, E., French, K. // Journal of Financial Economics. −1993. — No 33. — P. 3-53. (.pdf)
• Carhart, M. On Persistence in Mutual Fund Performance. / Carhart, M. // The Journal Of Finance. — 1997. Volume 52, No 1. — P. 57 — 83. (.pdf)
• Fama, E. A five-factor asset pricing model. / Fama, E., French, K. // Journal of Financial Economics. −2015. — No 116. — PP. 1-22. (.pdf)
• Campbell, R. ...and the Cross-Selection of Expected Returns. / Campbell, R., Liu, Y., Zhu, Heqing, Zhu. // The Review of Financial Studies. — 2016. — Volume 29, Issue 1. — P. 5–68. (.pdf)
• MorningStar. Be Wary of State-Owned-Enterprises. Foreign governments aren't always on your side.
• Лекция о коллективных инвестициях, прочитанная А.Е. Абрамовым в Минфине России 5 ноября 2019 года

Additional Resources

• BlackRock: https://www.blackrock.com/us/individual/investment-ideas/what-is-factor-investing?mod=article_inline
• Vanguard: https://advisors.vanguard.com/VGApp/iip/site/advisor/researchcommentary?page=FactorBased
• https://alphaarchitect.com/2019/09/12/value-dont-call-it-a-comeback-its-been-here-for-years/?mod=article_inline

The authors of the database received certificate of state registration of the database "Risk factors action on the Russian market 2020" №2020622129 (RUS)