Factor Return History: Canadian and US Data
Cumulative growth of $1 invested in each factor strategy from series inception. AQR Canadian and Fama-French US factors, monthly geometric compounding. Long-short factors (SMB, HML, QMJ, UMD) are self-financing; Mkt-RF excess returns exclude the risk-free rate.
These cumulative factor returns underpin one of VerifiedBeta's core findings: for Canadian funds with positive SMB exposure, the size premium in Canada has been effectively flat (−0.48% p.a.) across the full AQR Canadian series history — so backtested simulation contributions from Size are near zero regardless of a fund's beta. Drag the slider edges to re-base all visible factor returns from any start date and isolate premiums in sub-periods.
By contrast, Canadian Momentum (UMD-CA) has compounded at +15.8% p.a. since 1985 — a 400× growth of $1. Value (HML-CA) and Quality (QMJ-CA) also carry meaningful positive long-run premiums. The Fama-French US factor data shows a broadly similar pattern: Momentum leads, Size lags. Use the preset buttons below or click factor names in the chart legend to mix and match.
| Factor | Group | Inception | Months | Annualized (geo) | Cumulative |
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MKT factors are excess returns (fund return minus risk-free rate). MKT-CA (CAD) is the AQR MKT_CAN series restated in CAD basis: RTSX,CAD − Rf,CAD, where end-of-month FX rates are used to avoid timing noise from monthly-average FRED data.
Long-short factors (SMB, HML, QMJ, UMD) are self-financing zero-cost portfolios. Their cumulative curve represents the compounded alpha of being long the factor versus being short — not the return of holding the long leg alone.
Re-baselining: drag the slider edges to set a new start date. All visible series reset to 1.00× at that date, enabling period-specific comparison. The stats table updates to reflect the selected window.
Annualized return is geometric: (terminal / initial)12/n − 1, where n is the number of monthly return observations.
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