Dataset
ProFactor Returns (decile spread)
Realized decile-spread (top−bottom) returns per factor, with universe count and return basis — a statistical fact.
What this data is
Each row is one factor, one trading day, one horizon, carrying decile_spread_return (top minus bottom decile, an identity), top_decile_return, bottom_decile_return, n_universe (universe size), return_basis, and forward_end_date (the realized horizon end). It is a REALIZED statistical fact computed from the factor library — no good/bad or buy/sell label. Keyed on trade_date and point-in-time safe.
Use cases
- Assess each factor's historical decile-spread behaviour across horizons.
- Check breadth and return basis via n_universe and return_basis for robust comparison.
- Trace factor exposure (Factor Library) to realized returns.
Why it matters for stock analysis
Computing factor returns yourself invites inconsistency in decile cuts, universe, and return basis; taking realized spreads that carry universe and basis enables comparable cross-factor, cross-horizon evaluation, look-ahead-free.
Coverage / Freshness / Source Policy
Per factor, per trading day, per horizon, across the factors defined in the Factor Library; every row carries n_universe, return_basis, and forward_end_date. Keyed on trade_date, point-in-time safe.
Daily, updated as horizons realize.
Computed from the Factor Library over official TWSE / TPEx / MOPS sources; a statistical fact, not a signal, not investment advice.
Developer entry points
- API docs: /docs/api/structure-reference/factor-returns
- OpenAPI: /openapi.json