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Data Set
How Do Factor Premia Vary Over Time? A Century of Evidence, Factor Data Monthly
February 29, 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.
Data Set
The Devil in HML's Details: Factors, Monthly
February 29, 2024
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, Daily
February 29, 2024
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: Factors, Monthly
February 29, 2024
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
February 29, 2024
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.
Quick Takes
Top Three Investment Ideas to Consider for 2024
February 26, 2024
We highlight value, alternative trend strategies, and emerging market equities as top three investment ideas to consider for 2024.
AQR and iCapital® Partner to Provide Canadian Investors Access to AQR’s Liquid, Diversifying Alternative Strategies
January 30, 2024
AQR and iCapital, the global fintech platform driving access to alternative investments for the wealth management industry, today announced a strategic partnership enabling qualified accredited Canadian investors to access AQR’s liquid, diversifying alternative strategies.
AQR Earns HRC Equality 100 Award for LGBTQ+ Workplace Inclusion
November 30, 2023
AQR has received a score of 100 on the Human Rights Campaign’s 2023-2024 Corporate Equality Index, earning the distinction of being a 2023 recipient of the “Equality 100 Award: Leader in LGBTQ+ Workplace Inclusion.” This marks the fifth year that the firm has earned a perfect score.
AQR Wins Risk Parity Manager of the Year at Professional Pensions Investment Awards 2023
November 28, 2023
AQR is pleased to have been recognized as “Risk Parity Manager of the Year” at the Professional Pensions Investment Awards 2023 for its AQR Global Risk Premium Strategy.
AQR Wins Two Categories at the With Intelligence HFM Performance Awards
November 8, 2023
AQR came away with two category wins and one “highly commended” recognition at the recently held With Intelligence HFM Performance Awards 2023, which recognize and reward the highest achieving hedge funds, CTAs and funds of hedge funds in the US.