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If I understand your question correctly; the (expected) return always depends on the weights that the respective factor has in the portfolio, regardless of the risk. You are trying to find the optimal portfolio (given risk with highest return, or given return with lowest risk) so in the first step you try to diversify out the risk (and get the weigths for ...


Multiple stock databases hold this data, but none of them are free. If you are in an academic setting, see if your university has a subscription to CRSP. If you want to split it yourself, you can use different cutoff points for P/E. High P/E = growth, low P/E = value.


If you're looking for S&P 500 stock prices, yahoo finance is usually a good source. If you're looking for all of them together datasets are available on github. If you're looking to split between value vs growth you can use any general equity research firm to create the split between growth and value, otherwise use a broad definition from a site like ...

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