Data access
Raw data are not in the repository (data/raw*/ is git-ignored). Everything needed to
rebuild them is public.
JKP global factor returns
Jensen, Kelly and Pedersen (2023), https://jkpfactors.com → Data → Factor Returns.
Selection: All Countries, All 153 Factors, Monthly, and a weighting. The site
serves each selection as one zip from https://jkpfactors-data.s3.amazonaws.com/public/:
| Directory | File | Weighting | Used for |
|---|---|---|---|
data/raw/ |
[all_countries]_[all_factors]_[monthly]_[vw_cap].zip |
capped value-weighted | baseline |
data/raw_ew/ |
[all_countries]_[all_factors]_[monthly]_[ew].zip |
equal-weighted | robustness |
data/raw_vw/ |
[all_countries]_[all_factors]_[monthly]_[vw].zip |
value-weighted | robustness |
Files used for the current results were downloaded on 2026-09-29 (S3 last-modified
2026-08-04; about 45 MB each; data through 2025-12). Columns: location, name, freq, weighting, direction, n_stocks, n_stocks_min, date, ret; returns are decimals.
Licence. The site distributes the data under CC BY-NC 4.0. Cite Jensen, Kelly and Pedersen (2023, Journal of Finance); do not redistribute the raw files. The repository only holds aggregated results derived from them.
U.S. state variables (extension)
data/raw_macro/: FRED series saved as downloaded from
https://fred.stlouisfed.org/graph/fredgraph.csv?id=<SERIES> on 2026-09-30 —
VIXCLS (from 1990), T10Y3M (from 1982), TWEXBMTH (broad dollar index, monthly,
1973–2019, discontinued) and DTWEXBGS (broad dollar index, daily, from 2006).
emft.data.load_macro documents the transformations and the 2006-01 splice.
Market classification
config/markets.yaml (current MSCI classification) and config/market_history.yaml
(dated MSCI reclassifications, each with its source). MSCI's own list, "Previous Market Reclassifications.xlsx"
(downloaded 2026-09-30 into data/raw_msci/), was used to cross-check the events.