Data Set
AQR Momentum Indices, Monthly
August 31, 2026
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.
Trade Publication
The Case for Taking a Total Portfolio Approach
August 25, 2026
As traditional sources of return face increasing challenges, investors may need to look beyond long-only active management and private equity. We argue that portable alpha, viewed through a total portfolio approach, can offer a more efficient path to enhancing returns while improving liquidity, fees, and portfolio outcomes..
White Paper
Academic Alpha
August 19, 2026
This paper reintroduces style premia investing—or “academic alpha”—and explains how well-researched, skillfully implemented strategies can provide liquid, transparent, and cost-effective sources of uncorrelated returns. It highlights how continued innovation in signal design, portfolio construction, and multi-asset implementation can strengthen their role as long-term portfolio diversifiers.
Data Set
Betting Against Beta: Equity Factors, Daily
June 30, 2026
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.
Data Set
Quality Minus Junk: Six Portfolios Formed on Size and Quality, Monthly
June 30, 2026
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.
Data Set
Betting Against Beta: Equity Factors Data, Monthly
June 30, 2026
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.
Data Set
The Devil in HML's Details: Factors, Daily
June 30, 2026
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.
Data Set
Value and Momentum Everywhere: Portfolios, Monthly
June 30, 2026
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.
Data Set
Value and Momentum Everywhere: Factors, Monthly
June 30, 2026
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.
Data Set
Quality Minus Junk: Factors, Monthly
June 30, 2026
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.