This page contains anomalies return data used in "A Taxonomy of Anomalies and their Trading Costs." You can find a detailed description of the signals used in the construction of the strategies here.

Returns to Simple Strategies (Table 3) Details

• The file contains monthly return time-series data for the simple strategies examined in the paper (plus 9 other anomalies). It includes gross and net returns for the long/short portfolios and gross returns for the decile portfolios.

Returns to Strategies using Multiple Mitigation Techniques (Table 10) Details

• The file contains monthly return time-series data for the strategies that are constructed using all three trading costs mitigation techniques examined in the paper. It includes gross and net returns for the long/short portfolios.

Returns to sS Strategies by Size Terciles (Table 13) Details

• The file contains monthly return time-series data for the strategies that are constructed using the buy/hold (sS) rule trading costs mitigation technique examined in the paper (plus 9 other anomalies). It includes gross and net returns for the long/short portfolios constructed across market capitalization terciles determined by the 20th and 50th percentiles of NYSE stocks.