Chapter 5 of Quantitative Equity Portfolio Management by Qian, Hua, Sorensen discuss a set of factors that derived from the Compustat Quarterly data. In Appendix A5.1 they describe how they calculate the factors in the chapter. Each factor is calculated from base Compustat values, whose numbers are given. Apparently, as of Oct. 2013 this Compustat database is obsolete. A Google search turned up a table published on the Boston College web site, under a directory named "obsolete", that lists these Compustat factors referenced by Qian et al. I have reproduced this table below, since it seems likely that Boston college may remove a page in the future, I have reproduced it below.
| 1 | DATA1 | Selling, General, and Administrative Expense |
| 2 | DATA2 | Sales (Net) |
| 3 | DATA3 | Minority Interest (Income Account) |
| 4 | DATA4 | Research and Development Expense |
| 5 | DATA5 | Depreciation and Amortization |
| 6 | DATA6 | Income Taxes - Total |
| 7 | DATA7 | Earnings per Share (Fully Diluted) - Including Extraordinary Items |
| 8 | DATA8 | Income Before Extraordinary Items |
| 9 | DATA9 | Earnings per Share (Fully Diluted) - Excluding Extraordinary Items |
| 10 | DATA10 | Income Before Extraordinary Items - Adjusted for Common Stock Equivalents |
| 11 | DATA11 | Earnigns per Share (Primary) - Including Extraordinary Items |
| 12 | DATA12 | Price - Close - 1st Month of Quarter |
| 13 | DATA13 | Price - Close - 2nd Month of Quarter |
| 14 | DATA14 | Price - Close - 3rd Month of Quarter |
| 15 | DATA15 | Common Shares Used to Calculate Earnings per Share (Primary) |
| 16 | DATA16 | Dividends per Share by Ex-Date |
| 17 | DATA17 | Adjustment Factor (Cumulative) by Ex-Date |
| 18 | DATA18 | Common Shares Traded |
| 19 | DATA19 | Earnings per Share (Primary) - Excluding Extraordinary Items |
| 20 | DATA20 | Dividends - Common - Indicated Annual |
| 21 | DATA21 | Operating Income Before Depreciation |
| 22 | DATA22 | Interest Expense |
| 23 | DATA23 | Pretax Income |
| 24 | DATA24 | Dividends - Preferred |
| 25 | DATA25 | Income Before Extraordinary Items - Available for Common |
| 26 | DATA26 | Extraordinary Items and Discontinued Operations |
| 27 | DATA27 | Earnings per Share (Primary) - Excluding Extraordinary Items - 12 Months Moving |
| 28 | DATA28 | Common Shares Used to Calculate Earnings per Share - 12 Months Moving |
| 29 | DATA29 | Interest Income - Total (Financial Services) |
| 30 | DATA30 | Cost of Goods Sold |
| 31 | DATA31 | Nonoperating Income (Expense) |
| 32 | DATA32 | Special Items |
| 33 | DATA33 | Discontinued Operations |
| 34 | DATA34 | Foreign Currency Adjustment (Income Account) |
| 35 | DATA35 | Deferred Taxes (Income Account) |
| 36 | DATA36 | Cash and Short-Term Investments |
| 37 | DATA37 | Receivables - Total |
| 38 | DATA38 | Inventories - Total |
| 39 | DATA39 | Current Assets - Other |
| 40 | DATA40 | Current Assets - Total |
| 41 | DATA41 | Depreciation, Depletion, and Amortization (Accumulated) (Balance Sheet) |
| 42 | DATA42 | Property, Plant, and Equipment - Total (Net) |
| 43 | DATA43 | Assets - Other |
| 44 | DATA44 | Assets - Total/Liabilities and Stockholders' Equity - Total |
| 45 | DATA45 | Debt in Current Liabilities |
| 46 | DATA46 | Accounts Payable |
| 47 | DATA47 | Income Taxes Payable |
| 48 | DATA48 | Current Liabilities - Other |
| 49 | DATA49 | Current Liabilities - Total |
| 50 | DATA50 | Liabilities - Other |
| 51 | DATA51 | Long-Term Debt - Total |
| 52 | DATA52 | Deferred Taxes and Investment Tax Credit (Balance Sheet) |
| 53 | DATA53 | Minority Interest (Balance Sheet) |
| 54 | DATA54 | Liabilities - Total |
| 55 | DATA55 | Preferred Stock - Carrying Value |
| 56 | DATA56 | Common Stock |
| 57 | DATA57 | Capital Surplus |
| 58 | DATA58 | Retained Earnings |
| 59 | DATA59 | Common Equity - Total |
| 60 | DATA60 | Stockholders' Equity - Total |
| 61 | DATA61 | Common Shares Outstanding |
| 62 | DATA62 | Invested Capital - Total |
| 63 | DATA63 | Price - High - 1st Month of Quarter |
| 64 | DATA64 | Price - High - 2nd Month of Quarter |
| 65 | DATA65 | Price - High - 3rd Month of Quarter |
| 66 | DATA66 | Price - Low - 1st Month of Quarter |
| 67 | DATA67 | Price - Low - 2nd Month of Quarter |
| 68 | DATA68 | Price - Low - 3rd Month of Quarter |
| 69 | DATA69 | Net Income (Loss) |
| 70 | DATA70 | Interest Expense - Total (Financial Services) |
| 71 | DATA71 | Preferred Stock - Redeemable |
| 72 | DATA72 | Dividends per Share by Payable Date |
| 73 | DATA73 | Working Capital Changes - Other - Increase (Decrease) (Statement of Changes) |
| 74 | DATA74 | Cash and Cash Equivalents - Increase (Decrease) (Statement of Cash Flows) |
| 75 | DATA75 | Changes in Current Debt (Statement of Cash Flows) |
| 76 | DATA76 | Income Before Extraordinary Items (Statement of Cash Flows) |
| 77 | DATA77 | Depreciation and Amortization (Statement of Cash Flows) |
| 78 | DATA78 | Extraordinary Items and Discontinued Operations (Statement of Cash Flows) |
| 79 | DATA79 | Deferred Taxes (Statement of Cash Flows) |
| 80 | DATA80 | Equity in Net Loss (Earnings) (Statement of Cash Flows) |
| 81 | DATA81 | Funds from Operations - Other (Statement of Cash Flows) |
| 82 | DATA82 | Funds from Operations - Total (Statement of Changes) |
| 83 | DATA83 | Sale of Property, Plant, and Equipment (Statement of Cash Flows) |
| 84 | DATA84 | Sale of Common and Preferred Stock (Statement of Cash Flows) |
| 85 | DATA85 | Sale of Investments (Statement of Cash Flows) |
| 86 | DATA86 | Long-Term Debt - Issuance (Statement of Cash Flows) |
| 87 | DATA87 | Sources of Funds - Other (Statement of Changes) |
| 88 | DATA88 | Sources of Funds - Total (Statement of Changes) |
| 89 | DATA89 | Cash Dividends (Statement of Cash Flows) |
| 90 | DATA90 | Capital Expenditures (Statement of Cash Flows) |
| 91 | DATA91 | Increase in Investments (Statement of Cash Flows) |
| 92 | DATA92 | Long-Term Debt - Reduction (Statement of Cash Flows) |
| 93 | DATA93 | Purchase of Common and Preferred Stock (Statement of Cash Flows) |
| 94 | DATA94 | Acquisitions (Statement of Cash Flows) |
| 95 | DATA95 | Uses of Funds - Other (Statement of Changes) |
| 96 | DATA96 | Uses of Funds - Total (Statement of Changes) |
| 97 | DATA97 | Net Interest Income (Tax Equivalent) |
| 98 | DATA98 | Treasury Stock - Total Dollar Amount |
| 99 | DATA99 | Nonperforming Assets - Total |
| 100 | DATA100 | Adjustment Factor (Cumulative) - Payable Date |
| 101 | DATA101 | Working Capital Change - Total (Statement of Changes) |
| 102 | DATA102 | Sale of Property, Plant and Equipment and Sale of Investments - Loss (Gain) (Statement of Cash Flows) |
| 103 | DATA103 | Accounts Receivable - Decrease (Increase) (Statement of Cash Flows) |
| 104 | DATA104 | Inventory - Decrease (Increase) (Statement of Cash Flows) |
| 105 | DATA105 | Accounts Payable and Accrued Liabilities - Increase (Decrease) (Statement of Cash Flows) |
| 106 | DATA106 | Income Taxes - Accrued - Increase (Decrease) (Statement of Cash Flows) |
| 107 | DATA107 | Assets and Liabilities - Other (Net Change) (Statement of Cash Flows) |
| 108 | DATA108 | Operating Activities - Net Cash Flow (Statement of Cash Flows) |
| 109 | DATA109 | Short-Term Investments - Change (Statement of Cash Flows) |
| 110 | DATA110 | Investing Activities - Other (Statement of Cash Flows) |
| 111 | DATA111 | Investing Activities - Net Cash Flow (Statement of Cash Flows) |
| 112 | DATA112 | Financing Activities - Other (Statement of Cash Flows) |
| 113 | DATA113 | Financing Activities - Total (Statement of Cash Flows) |
| 114 | DATA114 | Exchange Rate Effect (Statement of Cash Flows) |
| 115 | DATA115 | Interest Paid - Net (Statement of Cash Flows) |
| 116 | DATA116 | Income Taxes Paid (Statement of Cash Flows) |
| 117 | DATA117 | Accounting Changes - Cumulative Effect |
| 118 | DATA118 | Proeprty, Plant, and Equipment - Total (Gross) |
| 119 | DATA119 | Extraordinary Items |
| 120 | DATA120 | Common Stock Equivalents - Dollar Savings |
| 121 | DATA121 | Currency Translation Effect |
| 171 | DATA171 | Provision for Loan/Asset Losses |
| 172 | DATA172 | Reserve for Loan/Asset Losses |
| 173 | DATA173 | Net Interest Margin |
| 174 | DATA174 | Risk-Adjusted Capital Ratio - Tier 1 |
| 175 | DATA175 | Risk-Adjusted Captial Ratio - Total |
| 176 | DATA176 | Net Charge-Offs |
| 177 | DATA177 | Earnings per Share from Operations |
| 178 | DATA178 | Earnings per Share from Operation - 12 Months Moving |
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