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.