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Data Set

The Devil in HML's Details: Factors, Daily

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

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

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.

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.

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.

Financial Times Interviews Cliff Asness

AQR Managing Principal Cliff Asness was interviewed for a Q&A feature in the Financial Times’ Unhedged column.

AQR Paper Wins Best Article in the 25th Annual Bernstein Fabozzi/Jacobs Levy Awards

AQR’s “Fact, Fiction, and Factor Investing” was awarded the 25th Annual Bernstein Fabozzi/Jacobs Levy Award for Best Article published in The Journal of Portfolio Management during the volume year 2023.

Quick Takes

Top Three Investment Ideas to Consider for 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

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 Named a P&I Best Place to Work in Money Management for Seventh Consecutive Year

AQR has been recognized as one of Pensions & Investments’ Best Places to Work in Money Management for 2023, marking the seventh consecutive year that the firm has received this distinction.