Data Set

AQR Momentum Indices, Monthly

May 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.

Alternative Thinking

Total Portfolio Approach

May 19, 2026

Total portfolio approach (TPA) is a broad philosophy for institutional portfolio management that has become increasingly popular over the last few years. We explore potential benefits and risks of TPA when compared to traditional strategic asset allocation, and offer practical demonstrations of how TPA might help investors achieve their goals.

Quick Takes

Active Extension

April 27, 2026

This Quick Take explores Active Extension, a long-short equity approach that maintains full market exposure while allowing managers to express investment ideas more clearly. By relaxing the long-only constraint, the framework may improve diversification, enhance return potential, and increase portfolio efficiency.

Data Set

Value and Momentum Everywhere: Portfolios, Monthly

March 31, 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

Betting Against Beta: Equity Factors Data, Monthly

March 31, 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

Betting Against Beta: Equity Factors, Daily

March 31, 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

The Devil in HML's Details: Factors, Daily

March 31, 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

Quality Minus Junk: Six Portfolios Formed on Size and Quality, Monthly

March 31, 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

Quality Minus Junk: 10 Quality-Sorted Portfolios, Monthly

March 31, 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

Value and Momentum Everywhere: Factors, Monthly

March 31, 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.