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Source: AQR Data Sets
For years I’ve been an admirer of, and thankful for, those who have created and publicly shared the databases that allow us to do our research far easier and better. Today AQR attempts to join them in making such a contribution.
When you create a database you do something qualitatively different from writing a paper that makes a specific point (a feat not to be sneezed at either!). You allow others to expand upon your work. Going further, you openly risk others finding the flaw in your work, confident that if that occurs it’s to the betterment of us all. Put simply, you likely advance the art and science of whatever field you’re in. We have, for years, benefited from others’ efforts, generosity and courage along these lines.
Specifically, AQR is posting the data behind many of our research papers, and committing to updating this data over time. You can find deeper explanations of what we’re doing in our explanation article and the actual data in our online library. This should only be a start and we welcome your suggestions for improvement and ideas for things we can add in the future.
We hope you will find this useful. And, if you do discover any critiques of our work from this data, we hope you’ll be gentle.