Data Set
AQR Momentum Indices, Monthly
November 30, 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.
White Paper
Active Extension
November 24, 2025
This paper explores how Active Extension (AE)—a long-short framework—may enhance portfolio performance. By allowing skilled managers to short unattractive stocks and overweight more attractive ones, AE offers a liquid, capital-efficient path to improved active returns and long-term wealth outcomes.
Data Set
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.
Data Set
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.
Data Set
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.
Data Set
The Devil in HML's Details: Factors, Daily
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.
Data Set
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.
Data Set
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.
Data Set
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.
Data Set
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.