AQR Factor Provider

Provider: AQRFactorProvider Website: aqr.com/Insights/Datasets API Key: Not required Free Tier: Free (academic use)

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Overview

AQR Capital Management provides 16 academic factor datasets for quantitative research, including Quality Minus Junk (QMJ), Betting Against Beta (BAB), and Time Series Momentum (TSMOM).

Best For: Factor research, alternative factors, cross-asset strategies

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Quick Start

from ml4t.data.providers import AQRFactorProvider

provider = AQRFactorProvider()

# Quality Minus Junk
qmj = provider.fetch("qmj_factors", region="USA")

# Betting Against Beta
bab = provider.fetch("bab_factors")

# Time Series Momentum
tsmom = provider.fetch("tsmom")

provider.close()

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Available Datasets

Equity Factors

Dataset	Description
qmj_factors	Quality Minus Junk (profitability, growth, safety)
bab_factors	Betting Against Beta (low-beta outperformance)
hml_devil	HML Devil (industry-adjusted value)
vme_factors	Value and Momentum Everywhere

Cross-Asset

Dataset	Description
tsmom	Time Series Momentum (48 futures, 67 equity indices)
century	Century of Factor Premia (1920s+)
commodities	Commodity momentum and carry

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Data Format

• Returns in decimal format (0.01 = 1%)
• Monthly frequency
• Multiple regions: USA, Global, Developed, Emerging

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First-Time Setup

AQR data requires initial download (Excel files from AQR website):

# One-time download
AQRFactorProvider.download()

# Then use normally
provider = AQRFactorProvider()

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Academic Citations

When using AQR data, cite the relevant papers:

• QMJ: Asness, Frazzini, and Pedersen (2019)
• BAB: Frazzini and Pedersen (2014)
• TSMOM: Moskowitz, Ooi, and Pedersen (2012)

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See Also

• AQR Datasets
• Fama-French Provider
• Configuration Guide
• Provider Index