|
Data
Library (Downloadable Files) |
|
|
|
|
|
|
AQR
Capital Management, LLC Two
Greenwich Plaza, 3rd Floor Greenwich, Connecticut 06830 Adjunct
Associate Professor of Finance Leonard N.
Stern School of Business 44 West 4th
Street, 9-150 New York, NY
10012 Email:
|
Photo: The Beinecke Library
Data refreshed and updated monthly
on an ongoing basis
Note: as of November 2014 the data
library has been moved to: https://www.aqr.com/library/data-sets
(you will be redirected when clicking on the file)
Quality Minus Junk Factors 
Quality Minus
Junk (QMJ) factors used in Quality Minus
Junk, Cliff Asness , Andrea Frazzini and Lasse Heje Pedersen (2013)
refreshed and updated on an ongoing basis
Quality
Minus Junk (QMJ) factors [monthly]
Quality
Minus Junk (QMJ) factors [daily]
QMJ
- 10 Quality Sorted Portfolios [monthly]
QMJ
- 6 Portfolios formed on Size and Quality [monthly]
Betting Against Beta Factors
Betting Against
Beta (BAB) factors used in Betting
Against Beta, Andrea Frazzini and Lasse Heje Pedersen (2013), Journal
of Financial Economics, 111,
1-25 refreshed and updated on an ongoing basis.
BAB
- Equity Factors [monthly]
HML Devil Factors
HML factors
using current prices from The Devil in
HML‛s Details, Cliff Asness and Andrea Frazzini, Journal
of Portfolio Management, 39,
49-68, refreshed and updated on an ongoing basis
Global Factor Returns
Monthly returns of
market, size, value and momentum portfolios, refreshed and updated on an
ongoing basis
Original data used in the
published version
Betting Against Beta Factors
Original BAB
factors used in the published version of Betting
Against Beta, Andrea Frazzini and Lasse Heje Pedersen (2013), Journal
of Financial Economics, 111,
1-25: BAB
factors - all assets
Risk Parity
Portfolios
used in Leverage
Aversion and Risk Parity, Cliff Asness, Andrea Frazzini, and Lasse Heje
Pedersen (2012), Financial Analysts Journal, 68(1), 47-59. : Risk
Parity Portfolios
U.S. Customer Supplier Links
U.S.
customer-supplier links. See: Economic
Links and Predictable Returns, Lauren Cohen and Andrea Frazzini (2008), Journal
of Finance, 63, 1977-2011: U.S. Customer Supplier Links
Industry-neutral BAB
Original BAB
factors used in the published version of the paper
Low-Risk Investing
without Industry Bets, Cliff Asness, Andrea Frazzini, Lasse Heje
Pedersen. Financial Analysts Journal, 70(4): Industry
neutral BAB portfolios
