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Sources and Construction of Daily European Value Factor Data

Article Quant Q&A · Author: KarolisR
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Summary

The document discusses where to obtain daily European value factor returns and why a single universal definition of a factor does not exist. Commercial risk models can provide factor breakdowns, but their factor definitions differ. A researcher seeking a Fama–French-style value factor may need to construct it from stock prices and fundamental data, such as book value, if suitable data access is available.

The responses point to daily regional factor data being added to the Kenneth French data library, including coverage for Europe and other regions. They also mention AQR’s value and momentum research data as another resource, while clarifying that it is a distinct source. The discussion does not compare the datasets’ methodologies, licensing, coverage details, or reliability, so users should check whether a provider’s factor definitions and frequency match their research needs.

Key ideas

  • A factor is defined by a chosen model or construction method, rather than being a single standardized object.
  • Commercial factor models may use different definitions and breakdowns.
  • A Fama–French-style value factor can be constructed from price and fundamental data when direct data is unavailable.
  • The Kenneth French library is cited as a source for daily European and other regional factor data.
  • AQR is mentioned as an additional source, with its own research-based factor series.

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Factor investingEquitiesStatistics
Full text
# Where to find daily European value factor data?


# Where to find daily European value factor data?












Kenneth R. French website only provides monthly European factor data. I want to track this data daily.

Here's what I tried:

- MSCI Europe Barra Value Index - it's long short 130/30, not 100/100.

- Lyxor JP Morgan Europe Value Factor UCITS ETF - long only. Short only version has no data.

- iShares MSCI Europe Value Factor UCITS ETF - long only.

## Answer by JoshK (score 2, accepted)

https://quant.stackexchange.com/a/25650

Well, there's no absolute thing called a factor. You can make your own factor, say "stocks that begin with the letter 'A'". Or stocks that closed above their previous close.

MSCI/Barra sells their factor breakdowns and they have so many different models. USE3L, USE4S, GEM3, US NSTM, etc etc. And they will have different factor breakdowns entirely.

Fama is famous for his factor model. Which is things like high-low, book value. If he doesn't distribute it, you will have to make it yourself. As long as you can get the close prices then it is not hard to generate. If you are a student you might be able to get free access to CRSP, which will give you some of the fundamentals that you need for book value.

## Answer by KarolisR (score 2)

https://quant.stackexchange.com/a/30943

It seems that daily European factor data has been added to the website!

http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

You can also find daily data for other regions (Japan, APAC, North America).

## Answer by Swagato Acharjee (score 0)

https://quant.stackexchange.com/a/32904

There is also a version in the AQR website based on papers written by affiliated authors.

https://www.aqr.com/library/data-sets/value-and-momentum-everywhere-factors-monthly

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.