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Data Set
AQR Momentum Indices, Monthly
September 30, 2026
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.
Data Set
Quality Minus Junk: Factors, Monthly
August 31, 2026
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
August 31, 2026
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
The Devil in HML's Details: Factors, Monthly
August 31, 2026
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.
White Paper
Academic Alpha
August 19, 2026
This paper reintroduces style premia investing—or “academic alpha”—and explains how well-researched, skillfully implemented strategies can provide liquid, transparent, and cost-effective sources of uncorrelated returns. It highlights how continued innovation in signal design, portfolio construction, and multi-asset implementation can strengthen their role as long-term portfolio diversifiers.
Alternative Thinking
Total Portfolio Approach
May 19, 2026
Total portfolio approach (TPA) is a broad philosophy for institutional portfolio management that has become increasingly popular over the last few years. We explore potential benefits and risks of TPA when compared to traditional strategic asset allocation, and offer practical demonstrations of how TPA might help investors achieve their goals.
Data Set
How Do Factor Premia Vary Over Time? A Century of Evidence, Factor Data Monthly
February 27, 2026
This is the updated data set related to the paper “How Do Factor Premia Vary Over Time? A Century of Evidence,” in which we examine four prominent factor premia – value, momentum, carry, and defensive – over a century from six asset classes.
Alternative Thinking
The Hidden Value of Streaky Returns in Stock Portfolios
June 3, 2025
Streaky return streams - ones that that can perform well or poorly for extended periods - are challenging for investors to comprehend and stick with. Yet, this very "complexity risk” may be what earns investors an additional risk premium, leading to above average risk-adjusted returns.
Working Paper
APT or “AIPT”? The Surprising Dominance of Large Factor Models
October 1, 2024
The authors introduce artificial intelligence pricing theory (AIPT), which conjectures that returns are driven by a large number of factors.
Perspectives
The Less-Efficient Market Hypothesis
September 3, 2024
I argue that over the past 30+ years markets have become less informationally efficient in the relative pricing of common stocks, particularly over medium horizons