Data
All releases are archived on Zenodo with a permanent DOI. The current release is v2026.11 (sample October 2019 to April 2026).
Files
| File | Content |
|---|---|
factor_returns.csv | Monthly returns of all factor, quintile and benchmark portfolios and the market index |
factor_summary.csv | Performance statistics per factor and specification, including CAPM and Dimson alphas |
universe_stats.csv | Number of loans, signal coverage and imputed repayments per month |
characteristics_distribution.csv | Monthly cross-sectional percentiles of each signal |
portfolio_counts.csv | Number of loans per portfolio at formation |
factor_definitions.csv | Factor codes, signals, preferred side and sources |
metadata.json | Version, sample, settings and code checksums |
README.md | Description, methodology in brief and known limitations |
Finding a series
Each row in factor_returns.csv is one monthly return, identified by these columns:
| Column | Values |
|---|---|
factor | value, momentum, illiquidity, quality, low_risk, carry, ivol, bab, combi, market |
portfolio | Q1 to Q5, LS (long-short), BM (benchmark), MKT (market index) |
weighting | ew, vw, vw_cap |
holding | 1, 3, 6, 12 (months) |
lag | 0, 1 (months of implementation lag) |
return_type | excess, total |
date, ret | end of the return month, decimal monthly return |
Example in Python
import pandas as pd
url = "https://zenodo.org/records/24113425/files/factor_returns.csv?download=1"
fr = pd.read_csv(url, parse_dates=["date"])
momentum = fr.query("factor == 'momentum' and portfolio == 'LS' and weighting == 'ew' "
"and holding == 6 and lag == 0 and return_type == 'excess'")
print(momentum.set_index("date")["ret"].describe())How to cite
Please cite the data release you use:
Mählmann, T. (2026). Leveraged Loan Factors (Version 2026.11) [Data set]. Zenodo. https://doi.org/10.5281/zenodo.24113425
The DOI 10.5281/zenodo.24113424 refers to all versions and always resolves to the latest release. If you use or adapt the pipeline, please also cite the software:
Mählmann, T. (2026). Leveraged Loan Factors (Version v2026.11) [Computer software]. Zenodo. https://doi.org/10.5281/zenodo.24114955
Licenses and updates
The data are licensed under CC BY 4.0, the code under the MIT license. New releases follow the quarterly SEC data sets. Because late filings and amendments can revise earlier months slightly, always cite the release you used.