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Data Set
How Do Factor Premia Vary Over Time? A Century of Evidence, Factor Data Monthly
April 30, 2022
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.
Data Set
AQR Momentum Indices, Monthly
April 29, 2022
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
Value and Momentum Everywhere: Factors, Monthly
March 31, 2022
We have updated and extended the data set for the paper, “Value and Momentum Everywhere.” Our research shows consistent value and momentum return premia in eight diverse markets and asset classes, and a common factor structure among their returns.
Data Set
Value and Momentum Everywhere: Portfolios, Monthly
March 31, 2022
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.
Working Paper
Understanding Momentum and Reversals
June 9, 2020
Stock momentum, long-term reversal, and other past return characteristics that predict future returns also predict future realized betas, suggesting these characteristics capture time-varying risk compensation.
Journal Article
How Do Factor Premia Vary Over Time? A Century of Evidence
Winner of a Special Distinction Award in the 2021 Harry M. Markowitz Awards
July 2, 2019
We examine four prominent factor premia – value, momentum, carry, and defensive – over a century from six asset classes. The results offer support for time-varying risk premia models with important implications for theory seeking to explain the sources of factor returns.
Podcast
Gaining Momentum
May 28, 2019
AQR co-founder and Managing Principal Cliff Asness and Alpha Architect CEO Wes Gray discuss momentum—what it is and why it works.
Journal Article
Factor Momentum Everywhere
January 29, 2019
Can individual factors be reliably timed based on their recent performance? This study of 65 widely-studied, characteristic-based equity factors aims to find out.
Data Set
Value and Momentum Everywhere: Original Paper Data
February 27, 2018
This is the original data set used 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.
Working Paper
Implementing Momentum: What Have We Learned?
December 26, 2017
We use seven years of live data to evaluate the implementability of momentum investing.