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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
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.
Journal Article
How Do Factor Premia Vary Over Time? A Century of Evidence
October 31, 2021
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.
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
Factor Momentum Everywhere
February 28, 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.
Journal Article
The Devil in HML's Details (Supplement)
December 31, 2017
A supplement to our paper that challenges the standard method for measuring “value” used in academic work on factor pricing.
Interview
Fact, Fiction and Momentum Investing (Supplement)
December 26, 2017
A supplement to our paper on momentum investing strategies and the myths around them.
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.
Perspectives
You Can Have Your Momentum Factor and Eat it Too
December 5, 2017
Many investors are quick to dismiss momentum as too costly to implement because of its high turnover. After studying 7 years’ worth of live, real-world data across markets, we debunk that myth.