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Data Set
Time Series Momentum: Factors, Monthly
June 28, 2019
We have updated and extended our data set for “Time Series Momentum" (Moskowitz, Ooi and Pedersen, 2012), in which we document an asset-pricing anomaly that is consistent across different asset classes and markets. We update the returns monthly.
Data Set
Time Series Momentum: Original Paper Data
February 27, 2018
This is the original data set for “Time Series Momentum" (Moskowitz, Ooi and Pedersen, 2012), in which we document an asset-pricing anomaly that is consistent across different asset classes and markets.
Data Set
About the AQR Data Library
October 5, 2017
Each data set is associated with a specific paper. Users can view and download all related return series at once, or select a subset of series as an excel file.
Data Set
An Academic-Quality Data Library for Practitioners
October 5, 2017
The data library contains historical and updated return series from the increasing roster of papers and indices associated with AQR.
Data Set
Commodities for the Long Run: Original Paper Data
October 3, 2018
This is the original data set used for our paper “Commodities for the Long Run”, in which we analyze a novel data set of commodity futures prices going back to 1877, allowing us to show that returns of commodity futures indices have, on average, been positive over the long run.
Data Set
Commodities for the Long Run: Index Level Data, Monthly
October 3, 2018
We have updated the data set for the paper “Commodities for the Long Run”, in which we analyze a novel data set of commodity futures prices going back to 1877, allowing us to show that returns of commodity futures indices have, on average, been positive over the long run. We update the data monthly.
Perspective
Hotel California: You Can Never Leave, Until You Are Asked To
September 16, 2014
For quite some time, we’ve been arguing that hedge funds are too correlated with equity markets. Given CalPERS’ recent decision to liquidate its hedge fund portfolio, we thought it a good time to review our thoughts on the hedge fund industry.
Perspective
An Annual Article About Nothing
May 5, 2015
Cliff examines a popular front-page New York Times article covering the top hedge fund earners.
Perspective
AQR Insight Award 2018
June 28, 2018
Cliff discusses the winners of the 2018 AQR Insight Award.