**Sections:**

**Initial data**

Sample: shares listed on any stock exchange in Russia, including active and delisted ones.

Period: Average monthly prices, data for the period 1997-2000 contain a lot of omissions, therefore, the beginning of the period is more often recorded since 2001. Monthly and annual data are calculated cumulatively based on daily data.

Data source: Bloomberg database.

### Market Factor (RMRF)

Market Factor RMRF is the stock market risk premium and is calculated as the difference between the return on the market portfolio and the risk-free return.

Market portfolio return is the return of all stocks on the market portfolio, where the weights of the stocks depend on their market capitalization (with a maximum weight limit of 15%).

The return of the government bond total price index was used as a proxy for a risk-free asset.

### Size Factor (SMB)

The size factor (SMB) is calculated as the difference between the weighted average returns of portfolios of low and high-cap stocks.

Companies were classified as “small” and “large” once a quarter with a market capitalization threshold equal to the median. The concentration limit for each portfolio was 30%. Lag was not used.

### Value Factor (HML)

The value factor (HML) is calculated as the difference between the weighted average returns of value and growth stock portfolios. The distribution of stocks into growth and value shares was carried out quarterly according to the Book-to-Market ratio.

The portfolio of value stocks included stocks with a high BV/P ratio (above the 70% quantile), and the growth stock portfolio included stocks with a low BV/P ratio (below the 30% quantile). The concentration limit for each portfolio was 30%. Lag per quarter is used.

### Momentum Factor (MOM)

The momentum factor (MOM) is calculated as the difference between the weighted average returns of portfolios of stocks with high and low cumulative returns over the previous 11 months.

The allocation of stocks to groups with low and high return was carried out once a month using the thresholds of 30% and 70% quantile, respectively. The concentration limit within each portfolio was 30%.

### Liquidity Factor (LIQ)

The liquidity factor (LIQ) is calculated as the difference between the weighted average return on portfolios of low and high liquidity stocks.

The distribution of shares into liquid and illiquid was made according to the average monthly turnover, calculated as the ratio of value of trade per month to the number of these outstanding shares, with a threshold value equal to the median. The concentration limit within each portfolio was 30%. Lag was not used.

### Dividend Yield Factor (DY)

The dividend yield factor (DY) is calculated as the difference between the weighted average returns on portfolios of stocks of companies with high and low dividend yields. Dividend yield is defined as the ratio of all cash dividends paid for a calendar year to the share price at the beginning of the year.

The allocation of stocks to two groups was carried out once a year (at the beginning of the year) with the threshold value of the dividend yield equal to the median calculated for the entire sample of companies that paid dividends last year. The concentration limit within each portfolio was 30%. Lag was not used.

### Private ownership vs SOEs Factor (SOE)

The private ownership vs SOEs factor (SOE) was calculated as the difference between the weighted average return on a portfolio of private and state-owned enterprises' (SOE) shares. A company was considered as SOE if the share of its stocks held directly or indirectly by state in quarterly reports was more than 10%.

The classification of companies was carried out once a year (at the beginning of the year). The concentration limit within each portfolio was 15% due to the reduced sample size.

### Market Valuation Factor (P/E)

The market valuation factor (P/E is the ratio of the company's capitalization to its net earnings) is calculated as the difference between the weighted average return on a portfolio of stocks with high and low P/E ratio.

The classification of companies was carried out once a year (at the beginning of the year). The concentration limit within each portfolio was 30%.