AQR Capital Management
Quantitative manager co-founded by Cliff Asness and other alumni of Goldman Sachs Asset Management. AQR publishes more peer-reviewed-grade factor research for free than almost any firm, plus Asness's opinionated essays and the underlying factor return data.
What they publish
AQR co-founder Cliff Asness's essays on factor investing, market efficiency, private markets and the arguments quants keep having. They are funny, combative and grounded in data.
AQR's research series on asset allocation, factors and portfolio construction, including the yearly capital market assumptions. It sits inside a larger free library of white papers and journal articles from one of the most research-heavy managers in the business.
Free monthly and daily factor return series behind AQR's best-known papers, including betting against beta, quality minus junk, value and momentum everywhere, and time-series momentum. All are downloadable as Excel files.