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Data Set
Time Series Momentum: Factors, Monthly
April 30, 2024
We have updated and extended our data set for “Time Series Momentum" (Moskowitz, Ooi and Pedersen, 2012), in which we document an asset-pricing anomaly that is consistent across different asset classes and markets. We update the returns monthly.
Quick Takes
Top Three Investment Ideas to Consider for 2024
February 26, 2024
We highlight value, alternative trend strategies, and emerging market equities as top three investment ideas to consider for 2024.
Quick Takes
Alternative Trend Following in Tough Times
December 11, 2023
In our latest Quick Take, we make the case for trend following in alternative markets and show how alternative trend following can complement a private assets allocation.
Journal Article
Loss Harvesting or Gain Deferral? A Surprising Source of Tax Benefits of Tax-Aware Long-Short Strategies
Summer 2024
We explore the mechanism for how tax-aware long-short factor strategies, within their first three years since inception, can realize cumulative net capital losses exceeding 100% of initially invested capital, all while generating a significant pre-tax alpha – a result shown in previous research. Surprisingly, we find in these strategies that net capital losses arise not from an increased realization of capital losses but rather from the deferral of capital gains, especially short-term gains on long positions.
White Paper
Rethinking DC Portfolio Diversification
August 25, 2023
We make the case for an allocation to liquid alternatives as a viable and versatile complement to existing DC portfolios.
Quick Takes
What to Expect from Your Diversifier
June 16, 2023
This Quick Take on diversifying alternatives tackles the question of what investors should expect from their diversifiers. In other words, how should something that’s supposed to behave differently than traditional asset classes actually behave?
Quick Takes
Trend Following in Alternative Markets
Q1 2023
What is alternative trend following? We summarize what a trend following approach is, how it can be applied to alternative markets, and why alternative trend following approaches have historically outperformed during difficult periods for traditional asset classes.
Quick Takes
Quick Clips: New Rules of Diversification
September 9, 2022
Hear from AQR's Portfolio Solutions Group on the the prospects for stock and bond markets, the impact of macroeconomic risks on a range of investments, and the use of diversifying investments to fortify portfolios.
Quick Takes
Quick Clips: The Stock/Bond Correlation
Q2 2022
For the past two decades, the stock/bond correlation (SBC) has been consistently negative, and investors have been able to rely on their bond investments for portfolio protection when equities sell off. However, macroeconomic changes – like heightened inflation risk – could push this key asset allocation input into positive territory.
Quick Takes
Quick Clips: 2022 Capital Market Assumptions for Major Asset Classes
January 27, 2022
Performance of traditional stock/bond portfolios has been remarkable over the last decade, but the current outlook is more subdued. Hear from AQR’s Portfolio Solutions Group on some practical, incremental changes that could boost expected returns without adding substantial risk.