Factors and signals
House factor returns
QuantGPTMonthly returns of the house factors: market, size, value, momentum and quality.
What it is
Monthly returns of the house factors: market, size, value, momentum and quality.
- factor returns monthly: The house factor returns: market, size, value (earnings yield), momentum, quality; equal-weight quintile spreads.
Source and licence
Source: QuantGPT (computed from vendor prices and filings).
Licence: derived. This is our reading of the table; counsel decides.
Credit: the QuantGPT engine and warehouse (Data sources).
Coverage and gap years
410 rows in factor returns monthly, from Feb 1, 1992 to Oct 1, 2026.
Years with no rows: none between the first and the last.
| Table | Rows | First | Last |
|---|---|---|---|
| factor returns monthly | 410 | Feb 1, 1992 | Oct 1, 2026 |
Freshness
Last row Oct 1, 2026: 8 days behind on the day measured. Updates: every month.
Point in time
Keyed on the month.
No version history: rebuilt from the factors under it.
Delisted names
Companies that later delisted are in from 1998; before that the history is survivors only, so early years lean toward the winners.
Known issues
- These are equal-weight quintile spreads. Value is earnings yield, not the Fama-French HML: say so. (GAPS, 12. What's working: factor returns (score 3.0))
- The current month is partial. (GAPS, 12. What's working: factor returns (score 3.0))
Where it is used
Engine tools that reach it (your AI, over MCP):
run_factor_regressionALPHA OR EXPOSURE? Runs criteria like run backtest, then regresses the monthly returns on the house factor series (market, size, earnings-yield value (not Fama-French HML), momentum, quality;...query_warehouseRun read-only SQL (DuckDB dialect) directly against any research database.
Ask AI
Every count and date here was measured on Oct 9, 2026 from the QuantGPT engine's warehouse and is read from the catalogue file when the site is built. Metadata only: no vendor rows are shown.