Many accounting numbers appear in standard factor models but without a clear explanation. The numbers are generated under accounting principles that deal with risk, providing an explanation but also a critique of how extant models identify accounting-based factors. That leads to a revised factor construction. Accounting numbers are codetermined in a double-entry system, a feature that is exploited in packaging the factors into a model. Rather than entering as the separate, additive factors, adding to the “factor zoo,” they are combined parsimoniously to capture the information they jointly convey about risk and return in the double-entry system. Empirical tests confirm.