Data & Code
Institutional Holdings (13F):
Institutional Holdings (13F):
Institutional holdings (Form 13F) downloaded and parsed directly from EDGAR from 1999Q1 to 2020Q4.
Documentation: EDGAR Parsing
Code: GitHub
Data: Dropbox
Factor Universe:
Factor Universe:
Factors for set of 55 price- and accounting-based variables using various portfolio construction schemes (coming soon).