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

 

Quality Minus Junk Factors: Quality Minus Junk (QMJ) factors used in Quality Minus Junk, Cliff Asness , Andrea Frazzini and Lasse Heje Pedersen (2013)

Ten Quality-Sorted Portfolios: ten value-weighted quality sorted portfolios used in Quality Minus Junk, Cliff Asness , Andrea Frazzini and Lasse Heje Pedersen (2013)

 

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, forthcoming

Global Factor Returns: Monthly returns of market, size, value, momentum and short term reversal factor mimicking portfolios. Details.

 

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.

 

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

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. Details.

 


 

Back to Homepage

 

   

 Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Free Hit Counter
free hit counter

  Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: web traffic