Data Library (Downloadable Files)


 

 

  

  

Andrea Frazzini

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:

Homepage

 

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 image004

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 image004

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]

BAB - Equity Factors [daily]

 

HML Devil Factors image004

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

 

HML Devil Factors [monthly]

HML Devil Factors [daily]

 

Global Factor Returns image004
Monthly returns of market, size, value and momentum portfolios, refreshed and updated on an ongoing basis

Global Factors [monthly]

Global Factors [daily]

 

 

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

 


 

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