cmri factor library
One of the most challenging agenda in financial research is how to systematically explain
variations in returns across different assets and securities with a “pricing model”. The
Capital Asset Pricing Model (CAPM) with the “market” as a single risk factor and the
Fama-French (1993) Three-Factor Model with “size” and “value” are some prominent examples.
In this data library, we provide the Fama-French (2018) 6 factors, comprising market (MKT),
size (SML), value (HML), operating profitability (RMW), investment (CMA), momentum (UMD) and
the Hou, Xue and Zhang (2015) q-factors, comprising market (MKT), size (ME),
investment-to-asset (IA), and return on equity (ROE). Data is available from July 2001 and
is updated monthly.
This Factor Library data repository is made possible with the support of Thailand Capital
Market Development Fund (CMDF), Thailand Capital Market Research Institute (CMRI) and the
Stock Exchange of Thailand (SET).
interactive visualization
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.
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MKT
SMB
HML
RMW
CMA
UMD
ME
IA
ROE
BETA
ILLIQ
IVOL
MOM1
MOM6
VOL
Factor Statistics
Return (%)
Wealth Index
Drawdown (%)
This Factor Library data repository is made possible with the support of
Thailand Capital Market Development Fund (CMDF), Thailand Capital Market
Research Institute (CMRI) and the Stock Exchange of Thailand (SET). It
is provided as is without warranty for informational purpose only and
should not be construed as investment, financial or other advice. Users
who wish to incorporate information from this site or use Factor Library
data are kindly asked to include the following acknowledgement and
citation.
- 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.
Note: Factors are calculated following the methodologies of Fama and French (2018) and Hou, Xue and Zhang (2015) as closely as data allows. Appropriate discretions are applied to suit the context of the local market. For example, market returns are calculated from the value-weighted total return of all common stocks listed in the country (for Thailand, both SET and mai). Size threshold for large caps correspond to the largest stocks accounting for 90% of the country’s market capitalization, following the recommendation of Fama and French (2012). Annual factors are formed at the end of June in the following fiscal year, quarterly factors are formed at the end of the following quarter (that is, profitability factors based on Q1 results are formed at end of Q2), and monthly factors are formed at the end of the month. The full details of the methodologies can be found in Charoenwong, Nettayanun and Saengchote (2021) (in English) and here (in Thai).
Disclaimer: All content on this site is information of a general nature and does not
address the circumstances of any particular individual or entity. Nothing in the site
constitutes professional and/or financial advice.