Factor/Style Investing
Betting Against Beta: Equity Factors, Daily
March 31, 2017
This data set is an updated and extended version of the original data set for “Betting Against Beta” (Frazzini and Pedersen, 2014). We provide daily long/short BAB equity factors for U.S. equities and 23 international equity markets.
Factor/Style Investing
Betting Against Beta: Equity Factors Data, Monthly
August 31, 2017
This data set is an updated and extended version of the original data set for “Betting Against Beta” (Frazzini and Pedersen, 2014). We provide daily long/short BAB equity factors for U.S. equities and 23 international equity markets.
Factor/Style Investing
Betting Against Beta: Original Paper Data
March 31, 2012
Original factors used in “Betting Against Beta” (Frazzini and Pedersen, 2014).
Fixed Income
Credit Risk Premium: Preliminary Paper Data
December 31, 2014
This data set is related to “Credit Risk Premium: Its Existence and Implications for Asset Allocation." Using data from both cash bond markets (1927–2014) and synthetic CDS markets (2004–2014), we document evidence of a sizable credit risk premium.
Factor/Style Investing
AQR Momentum Indices, Monthly
June 4, 2015
We have developed methodologies for U.S. and international markets that capture momentum in an intuitive and transparent way. The methodology can be applied to any universe of stocks. We have included monthly data for our three momentum indices here.
Factor/Style Investing
Quality Minus Junk: 10 Quality-Sorted Portfolios, Monthly
August 31, 2017
We have updated data for the paper “Quality Minus Junk” (Asness, Frazzini and Pedersen, 2014). We provide 10 quality-sorted, long-only portfolios for a U.S. long sample (starting 1956) and a global broad sample (starting 1986), and update them monthly.
Factor/Style Investing
Quality Minus Junk: Factors, Daily
May 31, 2016
We have updated data for the paper “Quality Minus Junk” (Asness, Frazzini and Pedersen, 2014). We provide 10 quality-sorted, long-only portfolios for a U.S. long sample (starting 1956) and a global broad sample (starting 1986), and update them monthly.
Factor/Style Investing
Quality Minus Junk: Factors, Monthly
August 31, 2017
We have updated data for the paper “Quality Minus Junk” (Asness, Frazzini and Pedersen, 2014). We provide 10 quality-sorted, long-only portfolios for a U.S. long sample (starting 1956) and a global broad sample (starting 1986), and update them monthly.
Factor/Style Investing
Quality Minus Junk: Six Portfolios Formed on Size and Quality, Monthly
August 31, 2017
We have updated data for the paper “Quality Minus Junk” (Asness, Frazzini and Pedersen, 2014). We provide 10 quality-sorted, long-only portfolios for a U.S. long sample (starting 1956) and a global broad sample (starting 1986), and update them monthly.
Factor/Style Investing
The Devil in HML's Details: Factors, Daily
May 31, 2016
We have updated and extended our data set for “The Devil in HML’s Details” (Asness and Frazzini, 2013). We include long/short HML Devil returns for the U.S. and 23 international equity markets updated monthly.