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Data Set
Quality Minus Junk: 10 Quality-Sorted Portfolios, Monthly
December 31, 2025
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: Six Portfolios Formed on Size and Quality, Monthly
December 31, 2025
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
Betting Against Beta: Equity Factors, Daily
December 31, 2025
This data set is an updated and extended version of the original data set for “Betting Against Beta” (Frazzini and Pedersen, 2014). We provide daily long/short BAB equity factors for U.S. equities and 23 international equity markets.
Data Set
The Devil in HML's Details: Factors, Daily
December 31, 2025
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.
Data Set
The Devil in HML's Details: Factors, Monthly
December 31, 2025
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.
Data Set
Value and Momentum Everywhere: Portfolios, Monthly
November 30, 2025
We have updated our data set for our paper “Value and Momentum Everywhere,” in which we find consistent value and momentum return premia across eight diverse markets and asset classes, and a common factor structure among their returns.
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.
Data Set
How Do Factor Premia Vary Over Time? A Century of Evidence, Factor Data Monthly
December 31, 2024
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.
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.
Perspective
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