Efficient frontier index

Frontier is the residual of a regression of log(BM) on log(book equity (ceq)), long-term debt (dltt) to assets (at), capital expenditures (capx) to revenue (sale), R&D expense (xrd) to revenue, advertising expense (xad) to revenue, property plant and equipment (ppent) to assets, EBIT (ebitda) to assets, and dummies for Fama-French's 48 industry definitions. Regression is updated each month with a rolling window of 60 months.