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Data Set

Commodities for the Long Run: Original Paper Data

This is the original data set used for our paper “Commodities for the Long Run”, in which we analyze a novel data set of commodity futures prices going back to 1877, allowing us to show that returns of commodity futures indices have, on average, been positive over the long run.

Data Set

Commodities for the Long Run: Index Level Data, Monthly

We have updated the data set for the paper “Commodities for the Long Run”, in which we analyze a novel data set of commodity futures prices going back to 1877, allowing us to show that returns of commodity futures indices have, on average, been positive over the long run. We update the data monthly.

Data Set

About the AQR Data Library

Each data set is associated with a specific paper. Users can view and download all related return series at once, or select a subset of series as an excel file.

Data Set

An Academic-Quality Data Library for Practitioners

The data library contains historical and updated return series from the increasing roster of papers and indices associated with AQR.

Data Set

Time Series Momentum: Factors, Monthly

We have updated and extended our data set for “Time Series Momentum" (Moskowitz, Ooi and Pedersen, 2012), in which we document an asset-pricing anomaly that is consistent across different asset classes and markets. We update the returns monthly.

Perspective

The George Costanza Portfolio

In a follow-up to Liquid Alt Ragnarök?, Cliff shows the results of an illustrative portfolio that does the opposite of what we’d normally do in the spirit of George Costanza, who in one episode of Seinfeld decided he must, in all things, do the opposite of what he’d normally do.

Perspective

Liquid Alt Ragnarök?

Cliff discusses the recent tough times for quantitative factor-based liquid alts and makes the case for why the painful and difficult times are a big part of why our quantitative factors are real and can improve long-term results for those who can allocate part of their portfolio to them and then stick with it.

Perspective

But What About October?

This year of pain in liquid alternatives has continued. Cliff shows the results of an AQR representative liquid alts portfolio and based on an analysis of it, discusses how our investment process and our long-term liquid alts record remains sound, how October was disappointing but not a particularly abnormal outcome, and how our process has been well-behaved over time, particularly compared with the market portfolio.

Perspective

Once More, Without Feeling

Cliff discusses why many of the breathless articles and TV headlines we’ve seen lately about the overall U.S. stock market are just not that interesting.

Perspective

Our 20th Anniversary Anthology

Cliff introduces AQR’s 20th anniversary anthology, a collection of 20 papers that we’re collectively most proud of and that we think best sum up our work.