cmri factor library
Please select the country (only Thailand is available in Phase 1), portfolio type (long-short or long-only), returns frequency (monthly or daily) and data range. Select the factors you wish to visualize and click apply. Adjusting the time slicer at the top of the page will also automatically change the data range.
For monthly frequency, the annualized factor return and standard deviation can be displayed as a scatter diagram in the Factor Statistics section. For daily frequency, the range cannot be specified and only the last 5 years of data will be displayed.
- Data acknowledgement: Factor data is obtained from Thailand’s Factor Library, supported by Thailand Capital Market Development Fund (CMDF) and SETSMART Enterprise, Stock Exchange of Thailand.
- Citation: Charoenwong, B., Nettayanun, S., & Saengchote, K. (2021). Digesting anomalies: A q-factor approach for the Thai market. Pacific-Basin Finance Journal, 69, 101647.