Open Tools for Israeli Factor Research
Factor Library IL makes systematic research on the Israeli equity market more accessible. While standardized factor datasets are widely available for major global markets, comparable data for the Israeli market remains difficult to obtain and use.
The project provides a focused, transparent collection of factor return series, documented methodologies, and simple tools for downloading data and analyzing portfolio returns against the factors.
Project Approach
The library is designed to be straightforward. Factor definitions and methodological choices are documented, historical data is constructed on a point-in-time basis where applicable, and material changes are publicly versioned.
The website is entirely static. No account is required, and portfolio files submitted to the regression tool are processed locally in the user’s browser and never uploaded.
Maintainer
Created and maintained by Gilad (@G_lad3 on X). Development is hosted at G-lad81/factor-lib-il.
Citation
Any use, sharing, or presentation of the data should credit Factor Library IL and Gilad. Full citation details are in the project repository’s CITATION.cff, and it is good practice to include the data version, the methodology version, and the date on which the data was accessed.
Independence
Factor Library IL is an independent project. It is not affiliated with, sponsored by, or endorsed by the Tel Aviv Stock Exchange, Eugene Fama, Kenneth French, Mark Carhart, or any associated institution. Academic names are used solely to identify the methodological frameworks on which the project draws.
Legal Disclaimer
The data, methodology, and tools are provided for educational, academic, and research purposes only. The published datasets consist of independently calculated and derived financial factor return series. They do not contain raw exchange prices, publish official benchmark values, or reproduce proprietary benchmark return series.
Factor Library IL is not affiliated with, sponsored by, or endorsed by the Tel Aviv Stock Exchange, any index administrator or data vendor, Eugene Fama, Kenneth French, Mark Carhart, or any associated institution. References to market segments and benchmark-based eligibility are included solely to explain the author’s methodology and do not imply sponsorship, endorsement, or ownership of any official benchmark.
Nothing in this project constitutes financial, investment, tax, or legal advice; a recommendation; or an offer to buy or sell any security. Backtested and historical results do not guarantee future performance. Use of the data, methodology, and tools is entirely at the user’s own risk. To the fullest extent permitted by applicable law, the author accepts no liability for trading losses, investment decisions, or any direct or indirect consequences arising from their use.
The website’s source code is licensed under the MIT License. Published factor datasets are separately licensed under CC BY-NC 4.0, which requires appropriate attribution to Factor Library IL and Gilad and does not permit commercial use. Reusers must clearly identify any modifications and must not imply endorsement.
Reasonable efforts are made to maintain data quality and apply point-in-time treatment where appropriate. Nevertheless, the data may contain errors, omissions, or inconsistencies and is provided as is. The Value factor relies partly on reported accounting information that may subsequently be restated, corrected, or revised.