Data are free, but registration is required for downloads.

DefProb™ is a company-specific default probability based on financial statements, equity information, and agency ratings. 

Equity Indices shows the daily returns to portfolios created of factors of interest to quantitative portfolio managers. Unique indices formed on Beta, turnover, distress, accruals, and cashflow.

My exposition of beta arbitrage shows a simple way to beat the passive indices if you define risk via beta or volatility

Falkenstein Financial Blog