AQR Insight Award Homepage
2014 AQR Insight
Gregor M. Andrade, Ph.D.
Clifford S. Asness, Ph.D.
Andrea Frazzini, Ph.D.
Jacques A. Friedman
Marco Hanig, Ph.D.
Brian K. Hurst
Antti Ilmanen, Ph.D.
David G. Kabiller, CFA
Michael Katz, Ph.D.
John M. Liew, Ph.D.
Michael A. Mendelson
Mark L. Mitchell, Ph.D.
Tobias J. Moskowitz, Ph.D.
Lars N. Nielsen
Yao Hua Ooi
Lasse H. Pedersen, Ph.D.
Todd C. Pulvino, Ph.D.
Andrew J. Sterge, Ph.D.
Gregor M. Andrade, Ph.D., AQR Principal
Gregor is a senior member of AQR’s Client Strategies team, overseeing
client relations in the western half of the United States as well as all
of Asia and the Middle East. He has been at AQR since 2003, a time of
rapid growth in assets under management at the firm. Prior to AQR, Gregor
was an assistant professor of finance at Harvard Business School after
having worked as a mergers and acquisitions analyst at Wasserstein
Perella. He has been published in academic journals and won a Smith
Breeden Prize for an article in the Journal
of Finance. Gregor earned a B.S. in economics from the Massachusetts
Institute of Technology and a Ph.D. in finance from the University of
Chicago’s Graduate School of Business.
Clifford S. Asness, Ph.D., AQR Managing and Founding
Cliff is a cofounder, Managing Principal and Chief Investment Officer at
AQR Capital Management. He is an active researcher and has authored
articles on many financial topics, including multiple publications in the
Journal of Portfolio Management
and the Financial Analysts Journal.
He has received the best paper award from the Journal of Portfolio Management twice. From the Financial Analysts Journal he has
twice received the Graham and Dodd Award for the year’s best paper, a
Graham and Dodd Excellence Award, the award for the best perspectives
piece and the Graham & Dodd Readers’ Choice Award. In 2006, CFA
Institute presented Cliff with the James R. Vertin Award, which is
periodically given to individuals who have produced a body of research
notable for its relevance and enduring value to investment professionals.
Prior to co-founding AQR Capital Management, he was a Managing Director
and Director of Quantitative Research for the Asset Management Division
of Goldman, Sachs & Co. He is on the editorial board of the Journal of Portfolio Management,
the governing board of the Courant Institute of Mathematical Finance at
NYU, the Board of Directors of the Q-Group and the Board of the
International Rescue Committee. Cliff received a B.S. in economics from
the Wharton School and a B.S. in engineering from the Moore School of
Electrical Engineering at the University of Pennsylvania, graduating summa cum laude in both. He
received an M.B.A. with high honors and a Ph.D. in finance from the
University of Chicago, where he was Eugene Fama’s student and teaching
assistant for two years (so he still feels guilty when trying to beat the
Andrea Frazzini, Ph.D., AQR Principal
Andrea is a senior member of AQR’s Global Stock Selection team, focusing
on research and portfolio management of the Firm’s Long/Short and
Long-Only equity strategies. He has published in top academic journals
and won several awards for his research, the Smith Breeden award, the
Fama-DFA award, the BGI best paper award and the PanAgora Crowell
Memorial Prize. Prior to AQR, Andrea was an associate professor of
finance at the University of Chicago’s Graduate School of Business and a
Research Associate at the National Bureau of Economic Research. He also
served as a consultant for DKR Capital Partners and JPMorgan Securities.
He earned a B.S. in economics from the University of Rome III, an M.S. in
economics from the London School of Economics and a Ph.D. in economics
from Yale University.
Jacques A. Friedman, AQR Principal
Jacques is the head of AQR’s Global Stock Selection team and is involved
in all aspects of research, portfolio management and strategy development
for the firm’s equity products and strategies. Prior to AQR, he developed
quantitative stock-selection strategies for the Asset Management division
of Goldman, Sachs & Co. Jacques earned a B.S. in applied mathematics
from Brown University and an M.S. in applied mathematics from the
University of Washington. Before joining Goldman, he was pursuing a Ph.D.
in applied mathematics at Washington, where his research interests ranged
from mathematical physics to quantitative methods for sports
Ph.D., AQR Principal and President of AQR Funds
Marco is President of AQR Funds, leading
the firm’s entry into the mutual funds business. In this role, he is
responsible for oversight of AQR’s mutual funds and executing the firm’s
distribution strategy. Prior to joining AQR, Marco was a principal with
William Blair & Company, where he served as President of the William
Blair Funds and Chief Operating Officer of the Investment Management
Department. Before that, he worked at First Chicago Corporation as
Managing Director, Mutual Funds. He began his career as a management
consultant with Bain & Company. Marco earned a B.A. in mathematics
from the University of Chicago, graduating cum laude, and a Ph.D. in economics from the Massachusetts
Institute of Technology.
Brian K. Hurst, AQR Principal
Brian is a portfolio
manager for two of AQR’s macro strategies: managed futures and risk
parity. He has more than 15 years of experience managing money for
institutional investors in both traditional and alternative investment
strategies, and has been at AQR since its founding. Before AQR, Brian was
an original member of the quantitative research group in the Asset
Management division of Goldman, Sachs & Co. He began his career as a
sell-side investment banking analyst at Donaldson, Lufkin & Jenrette.
Brian earned a B.S. in economics from the Wharton School of the
University of Pennsylvania.
Antti Ilmanen, Ph.D., AQR Principal
Antti manages AQR’s
Portfolio Solutions Group, which advises institutional investors and
sovereign wealth funds, and develops the firm’s broad investment ideas.
Before AQR, Antti spent seven years as a senior portfolio manager at
Brevan Howard, a macro hedge fund, and a decade in a variety of roles at
Salomon Brothers/Citigroup. He began his career as a central bank
portfolio manager in Finland. Antti earned M.Sc. degrees in economics and
law from the University of Helsinki and a Ph.D. in finance from the
University of Chicago. Over the years, he has advised many institutional
investors, including Norway’s Government Pension Fund Global and the
Government of Singapore Investment Corporation. Antti has published
extensively in finance and investment journals and has received a Graham
and Dodd award and Bernstein Fabozzi/Jacobs Levy awards for his articles.
His book Expected Returns (Wiley, 2011) is a broad synthesis of the
central issue in investing. Antti recently scored a rare double in winning
the best-paper and runner-up award for best articles published in 2012 in
The Journal of Portfolio Management (co-authored articles “The Death of
Diversification Has Been Greatly Exaggerated” and “The Norway Model”).
Ronen Israel, AQR Principal
Ronen’s primary focus is on portfolio management and research. He was
instrumental in helping to build AQR’s Global Stock Selection group and
its initial algorithmic trading capabilities, and he now also runs the
Global Alternative Premia group, which employs various investing styles
across asset classes. He has published in the Journal of Financial Economics and elsewhere, and sits on the
executive board of the University of Pennsylvania’s Jerome Fisher Program
in Management and Technology. He has been a guest speaker at Harvard
University, Columbia University and New York University, and is a
frequent conference speaker. Prior to AQR, Ronen was a senior analyst at
Quantitative Financial Strategies Inc. He earned a B.S. in economics from
the Wharton School at Penn, a B.A.S. in biomedical science from Penn’s
School of Engineering and Applied Science, and an M.A. in mathematics,
specializing in mathematical finance, from Columbia.
David G. Kabiller, CFA, AQR Founding Principal
David is a co-founder of AQR and Head of Client Strategies, overseeing
client relationships, business development and strategic initiatives. He initiated
AQR’s international growth and its introduction of mutual funds and
reinsurance as well as the creation of the “AQR University” symposia
series and the AQR Insight Award for outstanding innovation in applied
academic research. David has co-authored papers on topics including
derivatives, enhanced indexation, securities lending, insurance-linked
securities, hedge funds and the secret of Warren Buffett’s investing
acumen. He is a member of Northwestern University’s Board of Trustees and
has been a guest lecturer at the Kellogg Graduate School of Management
and Harvard Business School. He also is a member of the Kellogg Alumni
Advisory Board and the Board of Trustees for the Terra Foundation for
American Art. Prior to AQR, he was a vice president at Goldman, Sachs
& Co., where he established and maintained relationships with the
chief investment officers of many of the largest pension and endowment
funds in North America. He earned a B.A. in economics and an M.B.A. from
Northwestern, where he received an athletic scholarship to play tennis
and was named to the Big Ten’s Academic All-Conference team.
Michael Katz, Ph.D., AQR Principal
Michael is a researcher and portfolio manager heading AQR’s macro and
fixed-income team as well as AQR’s inflation-related strategies. Prior to
AQR, he was a teaching fellow and research assistant at Harvard
University, a teaching and research assistant at Tel Aviv University, and
a consultant for Trigger Ltd. (now Trigger-Foresight Ltd.). He also
served as an intelligence officer in the Israeli Defense Forces,
achieving the rank of Major. His research on how long-term investors can
use short-term information has been published in Financial Analysts
Journal. Michael earned a B.A. in economics and Middle East history, with
honors, at Tel Aviv University, and a Ph.D. and an A.M. in economics from
John M. Liew, Ph.D., AQR Founding Principal
John, a co-founder of AQR, heads the Global Asset Allocation team,
overseeing the research, portfolio management and trading associated with
that strategy. Prior to AQR, he worked at Goldman, Sachs & Co. as a
portfolio manager in the Asset Management Division where he developed and
managed quantitative trading strategies. He began his career at Trout
Trading, developing quantitative market-neutral stock-selection
strategies. John has published articles in the Journal of Portfolio Management and the Financial Analysts Journal, and has received the Bernstein
Fabozzi/Jacobs Levy award and the Graham and Dodd award for his articles.
John is a member of the University of Chicago Board of Trustees and sits
on the university’s investment committee. He earned a B.A. in economics,
an M.B.A. and a Ph.D. in finance from Chicago.
Mendelson, AQR Principal
Michael is portfolio manager of AQR’s risk parity strategies and a member
of both the firm’s strategic planning and risk committees. Prior to AQR,
Michael was a Managing Director at Goldman Sachs & Co., where he
founded the quantitative trading group. He is a member of the Managed
Funds Association’s board of directors and chairman of its Trading and
Markets Committee. Michael earned an S.B. in mathematics, an S.B. in
management, an S.B. in chemical engineering and an S.M. in chemical engineering,
all from the Massachusetts Institute of Technology, and an M.B.A. from
the University of California at Los Angeles.
Mitchell, Ph.D., CNH Partners Co-Founding Principal
Mark is a co-founder and principal at CNH
Partners, the arbitrage affiliate of AQR that trades merger arbitrage,
convertible arbitrage and other strategies related to corporate events.
Prior to CNH, he was a finance professor at Harvard University and the
University of Chicago. In the late 1980s, he worked in the Office of the
Chief Economist at the Securities and Exchange Commission, where he wrote
several research papers on mergers and acquisitions. Mark publishes
frequently and has won four paper-of-the-year awards from research
journals: a Smith-Breeden Prize, a Merton Miller Prize, a Graham and Dodd
Scroll and a Roger Murray Prize. Mark also received five teaching awards
at the University of Chicago. He joined the board of directors at
TD-Ameritrade in 1996 and currently chairs the risk committee. Mark
earned a B.B.A. in economics from the University of Louisiana at Monroe,
an M.A. in economics from Clemson University and a Ph.D. in applied
Tobias J. Moskowitz, Ph.D., Fama Family Professor of Finance at the
University of Chicago Booth School of Business, NBER Research Associate
and consultant to AQR
Professor Moskowitz has taught finance and
investments as a faculty member at the University of Chicago since 1998.
He also serves as a research associate for the National Bureau of
Economic Research, is an associate editor at the Journal of Finance, and
is a former editor of the Review of Financial Studies. His work has been
cited in the Wall Street Journal, the New York Times, Financial Times, US
News and World Report, Money magazine, and a 2005 speech by former Federal
Reserve Chairman Alan Greenspan. Professor Moskowitz was recognized by
the American Finance Association with its 2007 Fischer Black Prize, which
honors the top finance scholar in the world under the age of 40. The
award cited his "ingenious and careful use of newly available data
to address fundamental questions in finance." His work studies asset
pricing, portfolio choice, risk sharing, market efficiency, real estate
markets and finance, and momentum investing. He wrote his dissertation on
momentum and has written and published several papers on the topic. He
has presented his research at many universities, practitioner groups, and
government institutions around the world and has received numerous prizes
and awards for his research, including the Smith-Breeden and Brattle
Prizes for the best papers published in the Journal of Finance, and the
Barclay Global Investor's Michael Brennan Award twice for the best paper
published in the Review of Financial Studies. Professor Moskowitz spent
the 2007-2008 academic year on leave at AQR Capital Management, LLC with
which he has an ongoing consulting relationship. He earned a bachelor's
degree in industrial management and industrial engineering (with
distinction) in 1993 from Purdue University, a master's degree in
management from Purdue University in 1994, and a PhD in finance from the
University of California at Los Angeles in 1998.
Lars N. Nielsen, AQR Principal
Lars oversees research in the Global Stock Selection and Global Asset
Allocation teams, and is a part of the portfolio management teams for a
number of AQR’s multi-strategy hedge funds as well as long-only equity
portfolios. Prior to AQR, Lars was a visiting graduate student at Cornell
University, where his research interests were finance and econometrics.
Before that, he was a quantitative equity analyst at Danske Invest, the
largest asset-management firm in Denmark. Lars earned a B.Sc. and an
M.Sc. in economics from the University of Copenhagen.
Yao Hua Ooi,
Yao Hua is a Principal in the Global Asset
Allocation team, focusing on research and portfolio management of
macro-related strategies that include commodities, risk parity and
managed futures. Prior to AQR, he structured interest rate derivative
products at UBS. Yao Hua is an alumnus of the Jerome Fisher Program in
Management and Technology at the University of Pennsylvania, where he
earned a B.S. in economics from the Wharton School and a B.S. in
engineering from the School of Engineering and Applied Science, majoring
in finance and computer engineering and graduating summa cum laude in both.
Lasse H. Pedersen,
Lasse is a Principal at AQR in the Global Asset Allocation team, leading
research on proprietary quantitative forecasting models to identify
opportunities in equities, fixed income, currencies and commodities. He
is also the John A. Paulson Professor of Finance and Alternative
Investments at New York University’s Stern School of Business and a
professor at Copenhagen Business School. He has served on the board of
the American Finance Association, the Economic Advisory Boards of NASDAQ
OMX and FTSE, and the Federal Reserve Bank of New York’s Monetary Policy
Panel. Lasse won the 2012 Bernácer Prize for the best European economist
under 40. His research has been published in leading journals and cited
by central bank governors. Lasse has served on the editorial boards of
several journals, including the Journal
of Finance, and was a research associate at the National Bureau of
Economic Research and the Centre for Economic Policy Research. He earned
a B.S. and an M.S. in mathematics-economics from the University of
Copenhagen and a Ph.D. in finance from Stanford University.
Todd C. Pulvino, Ph.D., CNH Partners Co-Founding Principal
Todd is a co-founder and principal at CNH
Partners, the arbitrage affiliate of AQR that trades merger arbitrage,
convertible arbitrage and other strategies related to corporate events.
Prior to CNH, Todd was a tenured associate professor of finance at Northwestern
University’s Kellogg School of Management, where his research focused on
the risks and returns in event arbitrage. Earlier, he was a consultant at
two fund-of-fund firms, Collins Associates and Grosvenor Capital
Management, and a visiting professor at Harvard Business School. He began
his career as an aerospace engineer. He has published in finance
journals, winning two Smith-Breeden awards for his research, and teaches
at the Kellogg School. Todd earned a B.Sc. in mechanical engineering from
the University of Wisconsin-Madison, an M.S. in the same field at the
California Institute of Technology, and an A.M. and a Ph.D. in business
economics from Harvard University.
Andrew J. Sterge, Ph.D., AQR Vice President
Andrew is Chairman of the Portfolio
Management Committee of AQR Re, helping lead AQR’s expansion into
reinsurance, an investment opportunity with little significant
correlation to global equities, U.S. fixed income, high-yield credit,
commodities or hedge funds. Before joining the firm, Andrew was president
of the AJ Sterge Division of Magnetar Capital, where he managed
reinsurance investments and quantitative trading strategies while serving
as a director of Magnetar’s reinsurance affiliate, Pulsar Re. Prior to
that he founded and was Chief Executive of AJ Sterge LP, which Magnetar
acquired in 2006. Before that he was Chairman and Chief Executive of the
CooperNeff Group, a unit of BNP Paribas. His groundbreaking equity
trading strategy remains the centerpiece of BNP Paribas’ proprietary equity
trading. Andrew earned a B.S. in mathematics from Wake Forest University
and a Ph.D. in mathematics from Cornell University.