ESG Investing
Responsible Investing: The ESG-Efficient Frontier – Original Paper Data
October 29, 2020
This the original data set used in “Responsible Investing: The ESG-Efficient Frontier” (Pedersen, Fitzgibbons and Pomorski). It contains the total returns of the value-weighted and equal-weighted portfolios used in the paper.
Factor/Style Investing
Betting Against Beta: Equity Factors, Daily
October 30, 2020
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
October 31, 2020
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
February 27, 2018
Original factors used in “Betting Against Beta” (Frazzini and Pedersen, 2014).
Factor/Style Investing
How Do Factor Premia Vary Over Time? A Century of Evidence, Factor Data Monthly
September 30, 2020
This is the updated data set related to the paper “How Do Factor Premia Vary Over Time? A Century of Evidence,” in which we examine four prominent factor premia – value, momentum, carry, and defensive – over a century from six asset classes.
Alternative Investing
Commodities for the Long Run: Index Level Data, Monthly
October 30, 2020
We have updated the data set for the paper “Commodities for the Long Run”, in which we analyze a novel data set of commodity futures prices going back to 1877, allowing us to show that returns of commodity futures indices have, on average, been positive over the long run. We update the data monthly.
Alternative Investing
Commodities for the Long Run: Original Paper Data
October 3, 2018
This is the original data set used for our paper “Commodities for the Long Run”, in which we analyze a novel data set of commodity futures prices going back to 1877, allowing us to show that returns of commodity futures indices have, on average, been positive over the long run.
Fixed Income
Credit Risk Premium: Preliminary Paper Data
February 27, 2018
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
October 31, 2020
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
October 31, 2020
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.