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Data Set

Value and Momentum Everywhere: Factors, Monthly

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: Original Paper Data

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.

Data Set

How Do Factor Premia Vary Over Time? A Century of Evidence, Factor Data Monthly

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.

Perspective

Fama on Momentum

Statements that cast doubt on the implementability of momentum investing are just not close to being true. Looking at the numbers, we seek to disprove a whole gaggle of the misperceptions here.

White Paper

The Case for Momentum Investing

Although a powerful investment style, momentum was largely unavailable to many investors. The introduction of the AQR Momentum Indices has been a pivotal development in momentum’s acceptance as an investment strategy.

White Paper

A New Core Equity Paradigm

Combining successful investing styles to magnify their effects represents a new paradigm in active equity-portfolio management. Core Equities integrates value, momentum and profitability styles to offer a more persistent, systematic approach.

Perspective

A Comment on Cochrane's Recent Blog Post

Even the guys we admire pick on momentum! Here are some of Cliff's quick thoughts to John Cochrane's post on the topic, included in the comments section of his blog.

Perspective

You Can Have Your Momentum Factor and Eat it Too

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.

White Paper

Building a Better Core Equity Portfolio

We believe that style-based investing represents a better approach to traditional active equity portfolio management, by focusing on sources of excess returns that may be more pervasive and persistent. These factors include value, momentum and profitability.