Factor/Style Investing
Quality Minus Junk: Factors, Daily
February 29, 2024
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
February 29, 2024
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
February 29, 2024
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
February 29, 2024
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
The Devil in HML's Details: Factors, Monthly
February 29, 2024
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.
Alternative Investing
Time Series Momentum: Factors, Monthly
April 30, 2024
We have updated and extended our data set for “Time Series Momentum" (Moskowitz, Ooi and Pedersen, 2012), in which we document an asset-pricing anomaly that is consistent across different asset classes and markets. We update the returns monthly.
Alternative Investing
Time Series Momentum: Original Paper Data
February 27, 2018
This is the original data set for “Time Series Momentum" (Moskowitz, Ooi and Pedersen, 2012), in which we document an asset-pricing anomaly that is consistent across different asset classes and markets.
Factor/Style Investing
Value and Momentum Everywhere: Factors, Monthly
February 29, 2024
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: Original Paper Data
February 27, 2018
This is the original data set used 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
Value and Momentum Everywhere: Portfolios, Monthly
February 29, 2024
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.