PURE FACTOR RETURNS
MONTHLY US LARGE CAP

Pure factor returns as described in
Clarke, de Silva, and Thorley (2020)

PURE FACTOR RETURNS
2023 Extension and Chart

PRIMARY FACTOR RETURNS
MONTHLY US LARGE CAP

Primary factor returns as described in
Clarke, de Silva, and Thorley (2020)

PRIMARY FACTOR RETURNS
2023 Extension and Chart

RISK-ADJUSTED PURE FACTOR
MONTHLY US LARGE CAP

Risk-adjusted pure factor returns as described in Clarke, de Silva, and Thorley (2020)

PURER FACTOR RETURNS
2023 New File