Factor/Style Investing
AQR Momentum Indices, Monthly
October 31, 2025
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
September 30, 2025
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
September 30, 2025
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
Value and Momentum Everywhere: Factors, Monthly
September 30, 2025
We have updated and extended the data set for the paper, “Value and Momentum Everywhere.” Our research shows consistent value and momentum return premia in eight diverse markets and asset classes, and a common factor structure among their returns.
Factor/Style Investing
Value and Momentum Everywhere: Portfolios, Monthly
September 30, 2025
We have updated our data set for our paper “Value and Momentum Everywhere,” in which we find consistent value and momentum return premia across eight diverse markets and asset classes, and a common factor structure among their returns.
Factor/Style Investing
Betting Against Beta: Equity Factors, Daily
September 30, 2025
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
The Devil in HML's Details: Factors, Monthly
September 30, 2025
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.
Factor/Style Investing
Quality Minus Junk: Factors, Monthly
September 30, 2025
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
September 30, 2025
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
Betting Against Beta: Equity Factors Data, Monthly
September 30, 2025
This data set is an updated and extended version of the original data set for “Betting Against Beta” (Frazzini and Pedersen, 2014). We provide long/short BAB equity factors for U.S. equities and 23 international equity markets.