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) 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, 125 refreshed and updated on an ongoing basis.

 

BAB - Equity Factors [monthly]

BAB - Equity Factors [daily]

 

Original BAB factors used in the published version of the paper: BAB factors all assets

 

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

 

HML Devil Factors [monthly]

HML Devil Factors [daily]

 

Global Factor Returns

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

 

Global Factors [monthly]

Global Factors [daily]

 

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

 

 


 

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