1. Heating Oil (1978-12), Kansas Wheat (1971-01), Lead (1999-01;Feeder Cattle;Gasoil (1986-07),1971
2. Silver (1971-01), Soybeans (1971-01), Sugar (1971-01), Wheat (1971-01), WTI Crude (1983-04), and Zinc (1999-01). Returns data for all commodities except Aluminum, Copper, Lead, Nickel, and Zinc are from Commodity Research Bureau (futures, return of front contract). Returns data for Aluminum;Natural Gas (1990-05), Nickel (1999-01)
3. Switzerland (CHF/USD, 1983-11), and United Kingdom (GBP/USD, 1983-11). Pre-2002 returns data are from Datastream (forwards, ratio of 1-month forward to spot). Data for;Currency Forwards Our currency universe includes 9 developed currency pairs against the U.S. dollar: Australia,2002
4. Value and momentum everywhere;C S Asness;Journal of Finance,2013