Factor Library IL

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Factor Library IL

Daily and monthly factor returns for the Israeli equity market.

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PublishedRelease 2026.07.2. Daily coverage 2015-07-01–2026-07-31; monthly coverage 2015-07-30–2026-07-31. Updated Aug 18, 2026.

CSV format

date,rf,mkt_rf,smb,hml,mom

ISO dates and decimal simple returns, sorted in ascending order. Coverage, generation time, data version, and methodology version are supplied by the release manifest.

Data license: CC BY-NC 4.0. Published under CC BY-NC 4.0, which requires attribution and does not permit commercial use.

Factor returns and the risk-free rate

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RF

Risk-free

Short-term shekel return

MKT-RF

Market

Market return above RF

SMB

Size

Small minus large

HML

Value

Value minus growth

MOM

Momentum

Winners minus losers

Cumulative returns

Growth of 100
Data pending

Checking data publication status…

Factor performance

133 months · Jul 2015 – Jul 2026

Risk-free rate averaged 1.50% annually over the period.

FactorMean return
(monthly)		Volatility
(monthly)		Sharpe
(ann.)Sharpe is annualised as sqrt(12) x monthly mean / monthly deviation. No risk-free rate is subtracted: MKT-RF is already an excess return and the long-short factors are zero-investment portfolios.		SignificanceMean and volatility are monthly. t-statistics use Newey-West (HAC) standard errors and test the monthly mean; |t| > 2 corresponds to roughly 5% significance.Max drawdown
MKT-RF+0.78%4.33%0.62t = 2.15p = 0.032-34.40%
SMB+0.16%2.34%0.23t = 0.63p = 0.531-34.40%
HML+0.73%3.47%0.73t = 1.76p = 0.078-41.41%
MOM+1.47%3.91%1.31t = 4.07p = 0.000-32.02%

  • MKT-RF

    Mean return (monthly)
    +0.78%
    Volatility (monthly)
    4.33%
    Sharpe (ann.)
    0.62
    Max drawdown
    -34.40%
    Significance
    t = 2.15 p = 0.032

  • SMB

    Mean return (monthly)
    +0.16%
    Volatility (monthly)
    2.34%
    Sharpe (ann.)
    0.23
    Max drawdown
    -34.40%
    Significance
    t = 0.63 p = 0.531

  • HML

    Mean return (monthly)
    +0.73%
    Volatility (monthly)
    3.47%
    Sharpe (ann.)
    0.73
    Max drawdown
    -41.41%
    Significance
    t = 1.76 p = 0.078

  • MOM

    Mean return (monthly)
    +1.47%
    Volatility (monthly)
    3.91%
    Sharpe (ann.)
    1.31
    Max drawdown
    -32.02%
    Significance
    t = 4.07 p = 0.000

Returns are frictionless: no transaction costs, spreads or market impact are deducted. They are not attainable trading returns.

Over 133 months only an annualized Sharpe near 0.6 is detectable at |t| > 2, so a statistically insignificant factor is not necessarily a zero.

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