- Filter By.
-
Topic (${ Topics.length })
-
-
Type (${ ContentTypes.length })
-
Contributor (${ Contributors.length })
- Relevance
- Newest
- Oldest
Perspective
Value Investing Is Not All About Tech
May 27, 2022
It often seems like the world sees value investing as either implicitly or explicitly all about the technology sector vs. everything else. In reality, there are many different kinds of strategies and bets that are often labeled “value.” Our value bet is long and short extremely diversified portfolios of global stocks with a serious attempt not to bet on industries (like tech) – and we are very happy about that, both long-term strategically and tactically today.
Perspective
Still Crazy After All This YTD
May 9, 2022
Over these additional three months, value’s returns, as we measure them, have continued apace. Since February, the value spread has fallen slightly, though it remains near its tech bubble peak, at around a 95th percentile. Reminder — a massive valuation dislocation says very little about the timing of when it falls back to earth. But it’s nice to see it start and still leave the spread incredibly high.
Data Set
How Do Factor Premia Vary Over Time? A Century of Evidence, Factor Data Monthly
April 30, 2022
This is the updated data set related to the paper “How Do Factor Premia Vary Over Time? A Century of Evidence,” in which we examine four prominent factor premia – value, momentum, carry, and defensive – over a century from six asset classes.
Data Set
AQR Momentum Indices, Monthly
April 29, 2022
We have developed methodologies for U.S. and international markets that capture momentum in an intuitive and transparent way. The methodology can be applied to any universe of stocks. We have included monthly data for our three momentum indices here.
Data Set
Quality Minus Junk: Factors, Monthly
March 31, 2022
We have updated data for the paper “Quality Minus Junk” (Asness, Frazzini and Pedersen, 2014). We provide 10 quality-sorted, long-only portfolios for a U.S. long sample (starting 1956) and a global broad sample (starting 1986), and update them monthly.
Data Set
Quality Minus Junk: 10 Quality-Sorted Portfolios, Monthly
March 31, 2022
We have updated data for the paper “Quality Minus Junk” (Asness, Frazzini and Pedersen, 2014). We provide 10 quality-sorted, long-only portfolios for a U.S. long sample (starting 1956) and a global broad sample (starting 1986), and update them monthly.
Data Set
Betting Against Beta: Equity Factors, Daily
March 31, 2022
This data set is an updated and extended version of the original data set for “Betting Against Beta” (Frazzini and Pedersen, 2014). We provide daily long/short BAB equity factors for U.S. equities and 23 international equity markets.
Data Set
The Devil in HML's Details: Factors, Daily
March 31, 2022
We have updated and extended our data set for “The Devil in HML’s Details” (Asness and Frazzini, 2013). We include long/short HML Devil returns for the U.S. and 23 international equity markets updated monthly.
Data Set
Quality Minus Junk: Six Portfolios Formed on Size and Quality, Monthly
March 31, 2022
We have updated data for the paper “Quality Minus Junk” (Asness, Frazzini and Pedersen, 2014). We provide 10 quality-sorted, long-only portfolios for a U.S. long sample (starting 1956) and a global broad sample (starting 1986), and update them monthly.
Data Set
The Devil in HML's Details: Factors, Monthly
March 31, 2022
We have updated and extended our data set for “The Devil in HML’s Details” (Asness and Frazzini, 2013). We include long/short HML Devil returns for the U.S. and 23 international equity markets updated monthly.