Same factor, 27,648 ways to build it.
Every defensible construction of the canonical long–short factors, value,
size, profitability, investment, momentum, evaluated as monthly return series
on the full common sample. The dashed line is the published Ken French series' mean
over the same months. Toggle construction choices on the left, or click a paper to
see exactly the cell (or region) it committed to. Click two points to compare
constructions choice by choice.