Anomaly Lab
Sort (decile portfolios)
D1 = lowest decile, D10 = highest, value-weighted, rebalanced per Ken French's methodology.
Factor model
Sample window
Calendar years, inclusive; the data starts 1963-07 and ends 2026-05. The window is held to at least 5 years (the end year clamps up if needed).
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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 07/1963–05/2026 (202605 CRSP vintage); the deck tables use a 2023 vintage — small differences are data revisions, not errors.