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 “The Devil in HML’s Details” (Asness and Frazzini, 2013).

  2. An updated and extended version of the factors used in “Time Series Momentum” (Moskowitz, Ooi and Pedersen, 2012).

  3. Original factors used in “Time Series Momentum” (Moskowitz, Ooi and Pedersen, 2012).

  4. An updated and extended version of the long/short factors used in “Value and Momentum Everywhere” (Moskowitz, Ooi and Pedersen, 2012).

  5. Original factors and portfolios used in “Value and Momentum Everywhere” (Asness, Moskowitz and Pedersen, 2012).

  6. An updated and extended version of the long-only portfolios used in “Value and Momentum Everywhere” (Moskowitz, Ooi and Pedersen, 2012).