AQR Data Sets
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.
Free to read
AQR posts the factor return series behind many of its published papers and keeps them updated. The library includes betting against beta factors for the US and 23 international equity markets, quality minus junk factors and portfolios, value and momentum factors across asset classes, time-series momentum (trend-following) factors, AQR's momentum indices, an alternative HML value factor from The Devil in HML's Details, and a century-long factor premia series.
For students and analysts this complements Ken French's data library. AQR's series extend into international equities, bonds, currencies and commodities, and they match the definitions in the papers, so you can reproduce published results or test a factor tilt against your own portfolio.
Each data set page has a short description and a direct Excel download. Read the matching paper first so you know how the factors are built, then use the monthly files for most work.
Start with
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1
Betting Against Beta: Equity Factors, Monthly
The updated series from the Frazzini and Pedersen paper, covering the US and 23 other markets.
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2
Value and Momentum Everywhere: Factors, Monthly
Cross-asset value and momentum returns for testing multi-asset factor ideas.
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3
Time Series Momentum: Factors, Monthly
The return series behind the research on trend following across futures markets.