Yes. If clients request a copy of their data, you can download a .zip file with everything included and provide it to your client. The Download button shows up in the Contact's profile (CONTACTS TAB > Contact Name > Profile tab > section "Export Client's Data" at the bottom of the page).
For you as coach, the same download button for all your data exists under My Account > Login & Membership > section "Export Your Data" at the bottom of the page. The file should be ready in a few minutes, but this also depends on how many other similar requests are in the queue. Once the file is ready and you download it, you will then need to unzip it and open it with the index.html file in the unzipped folder. Your data is organized in the form of a "mini-website" that you can navigate in the browser.