Data Sets

Simulated returns from published articles (or working papers) and indices associated with AQR.

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  1. An updated and extended version of the factors used in “Betting Against Beta” (Frazzini and Pedersen, 2014).

  2. An updated and extended version of the factors used in “Betting Against Beta” (Frazzini and Pedersen, 2014).

  3. Original factors used in “Betting Against Beta” (Frazzini and Pedersen, 2014).

  4. Credit excess returns used in “Credit Risk Premium: Its existence and Implications for Asset Allocation” (Asvanunt and Richardson, 2015).

  5. Simulated returns from published articles (or working papers) by researchers associated with AQR, and returns from the AQR Momentum Indexes.

  6. An updated and extended version of the portfolios used in “Quality Minus Junk” (Asness, Frazzini and Pedersen, 2014).

  7. An updated and extended daily version of the factors used in “Quality Minus Junk” (Asness, Frazzini and Pedersen, 2014).

  8. An updated and extended version of the factors used in “Quality Minus Junk” (Asness, Frazzini and Pedersen, 2014).

  9. An updated and extended version of the portfolios used in “Quality Minus Junk” (Asness, Frazzini and Pedersen, 2014).

  10. An updated and extended daily version of the factors used in “The Devil in HML’s Details” (Asness and Frazzini, 2013).