SurgeFlow implements an FF-inspired custom daily factor model (SMB, HML, WML, RMW) across US, Japan, China, Hong Kong, India, and UK equity markets. It is not a Dartmouth/Ken French CRSP research-return replication. This page documents the methodology, portfolio construction rules, data sources, validation pipeline, and known limitations.
SMB (Small Minus Big) measures the size premium. HML (High Minus Low) measures the value premium using book-to-price. WML (Winners Minus Losers) measures momentum using 12-month return skipping the most recent month. RMW (Robust Minus Weak) measures the profitability premium using operating profitability.