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README.md

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----
-license: mit
----
+---
+pretty_name: Tidy Finance Factor Library Specification Grid
+license: mit
+language:
+- en
+tags:
+- finance
+- asset-pricing
+- factor-models
+- portfolio-sorts
+- empirical-finance
+size_categories:
+- 100K<n<1M
+---
+
+# Tidy Finance Factor Library: Specification Grid
+
+Lookup table mapping specification IDs to portfolio sorting configurations. Use this dataset together with the [Portfolio Returns](https://huggingface.co/datasets/tidy-finance/portfolio-returns) dataset to identify the methodological choices behind each factor return series.
+
+## Dataset Details
+
+### Dataset Description
+
+The dataset contains approximately 180,000 unique specification paths for constructing long-short portfolio returns. Each row defines a complete set of preprocessing and sorting choices (sample exclusions, lagging convention, breakpoint definition, weighting scheme, rebalancing frequency). The `id` column links to the corresponding return series in the Portfolio Returns dataset.
+
+- **Curated by:** Christoph Frey (Lancaster University), Christoph Scheuch (Tidy Intelligence), Stefan Voigt (University of Copenhagen), Patrick Weiss (Reykjavík University)
+- **Funded by:** Danish Finance Institute
+- **License:** MIT
+
+### Dataset Sources
+
+- **Repository:** [https://github.com/tidy-finance/jss-multilingual-factor-library](https://github.com/tidy-finance/jss-multilingual-factor-library)
+- **R package:** [https://github.com/tidy-finance/r-tidyfinance](https://github.com/tidy-finance/r-tidyfinance)
+- **Python package:** [https://github.com/tidy-finance/py-tidyfinance](https://github.com/tidy-finance/py-tidyfinance)
+- **Demo:** [https://app-download-center.cloud.sdu.dk/](https://app-download-center.cloud.sdu.dk/)
+
+## Uses
+
+### Direct Use
+
+- Joining with the Portfolio Returns dataset to filter or group factor returns by specific methodological choices.
+- Robustness and sensitivity analysis: selecting subsets of specifications to study how preprocessing decisions affect factor premia.
+- Replication: documenting the exact configuration behind a reported result.
+
+### Out-of-Scope Use
+
+- Standalone analysis. The grid contains no return data and must be joined with the Portfolio Returns dataset via the `id` column.
+
+## Dataset Structure
+
+The dataset consists of a single Parquet file with 13 columns and approximately 180,000 rows.
+
+<table>
+  <thead>
+    <tr>
+      <th>Column</th>
+      <th>Type</th>
+      <th>Description</th>
+    </tr>
+  </thead>
+  <tbody>
+    <tr>
+      <td><code>id</code></td>
+      <td>int32</td>
+      <td>Unique specification identifier, foreign key to the Portfolio Returns dataset</td>
+    </tr>
+    <tr>
+      <td><code>sorting_variable</code></td>
+      <td>string</td>
+      <td>Sorting characteristic (e.g., <code>sv_ag</code> for asset growth, <code>sv_bm</code> for book-to-market)</td>
+    </tr>
+    <tr>
+      <td><code>exclude_size</code></td>
+      <td>double</td>
+      <td>Size exclusion threshold: <code>0</code> (none) or <code>0.2</code> (bottom 20th NYSE percentile)</td>
+    </tr>
+    <tr>
+      <td><code>exclude_financials</code></td>
+      <td>bool</td>
+      <td>Whether financial firms (SIC 6000-6799) are excluded</td>
+    </tr>
+    <tr>
+      <td><code>exclude_utilities</code></td>
+      <td>bool</td>
+      <td>Whether utility firms (SIC 4900-4999) are excluded</td>
+    </tr>
+    <tr>
+      <td><code>exclude_negative_earnings</code></td>
+      <td>bool</td>
+      <td>Whether firms with negative earnings are excluded</td>
+    </tr>
+    <tr>
+      <td><code>sorting_variable_lag</code></td>
+      <td>string</td>
+      <td>Lagging convention: <code>3m</code>, <code>6m</code>, or <code>ff</code> (Fama-French)</td>
+    </tr>
+    <tr>
+      <td><code>rebalancing</code></td>
+      <td>string</td>
+      <td>Rebalancing frequency: <code>monthly</code> or <code>annual</code> (July)</td>
+    </tr>
+    <tr>
+      <td><code>breakpoints_main</code></td>
+      <td>double</td>
+      <td>Number of quantile portfolios for the primary sort: <code>5</code> or <code>10</code></td>
+    </tr>
+    <tr>
+      <td><code>sorting_method</code></td>
+      <td>string</td>
+      <td>Sorting method: <code>univariate</code>, <code>bivariate-dependent</code>, or <code>bivariate-independent</code></td>
+    </tr>
+    <tr>
+      <td><code>breakpoints_secondary</code></td>
+      <td>double</td>
+      <td>Number of quantile portfolios for the secondary sort (size): <code>2</code>, <code>5</code>, or <code>NA</code> for univariate sorts</td>
+    </tr>
+    <tr>
+      <td><code>breakpoints_exchanges</code></td>
+      <td>string</td>
+      <td>Exchanges used for breakpoint computation: <code>NYSE</code> or <code>AMEX|NASDAQ|NYSE</code></td>
+    </tr>
+    <tr>
+      <td><code>weighting_scheme</code></td>
+      <td>string</td>
+      <td>Portfolio weighting: <code>EW</code> (equal-weighted) or <code>VW</code> (value-weighted)</td>
+    </tr>
+  </tbody>
+</table>
+
+## Dataset Creation
+
+### Curation Rationale
+
+Factor construction involves many subjective methodological choices. Rather than committing to a single specification, we enumerate all valid combinations to enable systematic robustness analysis and transparent reporting.
+
+### Source Data
+
+#### Data Collection and Processing
+
+The grid is generated programmatically from the full factorial combination of preprocessing choices, with invalid configurations removed (e.g., univariate sorts have no secondary breakpoints; market equity is excluded from bivariate sorts where size is the secondary variable; earnings-to-market excludes configurations that allow negative earnings). See `code/01_define_portfolio_sorts_grid.R` in the companion repository for the exact generation logic.
+
+#### Who are the source data producers?
+
+The grid is a methodological artifact created by the dataset authors. No external data sources are involved.
+
+### Personal and Sensitive Information
+
+The dataset contains no personal or sensitive information. All columns describe portfolio sorting configurations.
+
+## Bias, Risks, and Limitations
+
+- The grid reflects the authors' choice of specification dimensions and does not cover all possible methodological variations (e.g., alternative industry classifications, different minimum listing requirements, or alternative risk-free rate definitions).
+- Some specifications may produce portfolios with very few stocks in certain months, particularly for smaller sorting variables or restrictive exclusion criteria.
+
+### Recommendations
+
+Always join with the Portfolio Returns dataset via the `id` column. When reporting results, cite the specific `id` or the full set of column values to ensure reproducibility.
+
+## Citation
+
+**BibTeX:**
+
+```bibtex
+@article{frey2026transparent,
+  title={A Transparent Financial Risk Factor Library},
+  author={Frey, Christoph and Scheuch, Christoph and Voigt, Stefan and Weiss, Patrick},
+  year={2026},
+  journal={Working Paper}
+}
+
+Dataset Card Authors
+Christoph Frey, Christoph Scheuch, Stefan Voigt, Patrick Weiss
+
+Dataset Card Contact
+Stefan Voigt (stefan.voigt@econ.ku.dk), Patrick Weiss (patrickw@ru.is)