Premia From a Wide Array of Factors

Downloads data with the self-financing returns of equity, bonds, currencies and commodities.

Usage

aqr_factor_premia_monthly(.tidy = TRUE)

Arguments

.tidy

A flag. Should the output be tidy? The default is TRUE.

Value

A tibble.

References

Ilmanen, Israel, Lee, Moskowitz & Thapar (2021), “How Do Factor Premia Vary Over Time? A Century of Evidence".

Examples

if (FALSE) {
  aqr_factor_premia_monthly()
}