Anomaly Lab
Sort (decile portfolios)
D1 = lowest decile, D10 = highest, value-weighted, rebalanced per Ken French's methodology.
Factor model
Sample window
View
Decile portfolios D1–D10
Factor loadings by decile
Scoreboard — RMS pricing errors across the ten deciles (annual %)
Where does the return come from?
actual avg. excess return
Information ratio — does an anomaly fund help a market investor?
Source: Ken French data library, value-weighted decile portfolios, monthly 07/1963–08/2026 (202608 CRSP vintage).