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Data Set
Time Series Momentum: Factors, Monthly
May 8, 2018
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
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
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
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: 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.
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.
Book
A Clinical Exploration of Value Creation and Destruction in Acquisitions
April 1, 1997
How and why is value created or destroyed in mergers and acquisitions? To answer these questions, we present analyses of two acquisitions: Cooper Industries’ acquisition of Cameron Iron Works in 1989 and Premark’s acquisition of Florida Tile in 1990.
Book
Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined
April 2, 2015
Lasse H. Pedersen demystifies the secret world of active investing by exploring hedge funds' key trading strategies. This book unites research with real-world examples and interviews to reveal how hedge fund strategies work.
Book
Consistency of Carry Strategies in Europe
September 1, 2003
In this chapter, we focus on strategies in the European bond market that shift money from government bonds to higher-yielding credits. While most carry strategies seem to add value in the long run, some strategies appear more risky than others.
Book
Challenges and Innovation in Hedge Fund Management
August 2, 2004
The increasing institutionalization of hedge funds brings with it many challenges. AQR's Cliff Asness provides an assessment of key issues that arise as a consequence, focusing on the areas of benchmarking, transparency, fees, and risk management.