AQR is a global investment management firm built at the intersection of financial theory and practical application. We invest on behalf of our clients — from pension funds and insurance companies to endowments and foundations to sovereign wealth funds and financial advisors. Our commitment to our clients is to help them exceed their long-term objectives. We do this by filtering out market noise to identify and isolate what matters most, and by implementing ideas that stand up to rigorous testing.
Our focus on research-driven, practical insights powered by advanced technology, economic intuition and firm-wide risk management, has made us leaders in alternative and traditional strategies and explains why so many types of investors seek our expertise in meeting their financial challenges.
AQR Founding and Managing Principal Cliff Asness spoke at Bloomberg’s Most Influential Summit 2015, where he presented a talk entitled “Quick Hits from Quant Land” followed by a brief Q&A session.
This paper seeks to serve as a practical guide for investors looking to measure portfolio factor exposures. The authors discuss some of the pitfalls associated with regression analysis, and how factor design can matter a lot more than expected. Ultimately, investors with a clear understanding of the risk sources in an existing portfolio, as well as the risk exposures of other portfolios under consideration, may have an edge in building better diversified portfolios.
Risk parity investment strategies are not big enough to have fomented recent market volatility, as some commentators have alleged. AQR researchers explain why.
In this issue of the DC Solutions Series, the authors focus specifically on the need for target-date funds (TDFs) to better protect against the risk of rising inflation and to better diversify their asset allocations. The authors suggest incorporating real assets as a potential solution to these issues, and discuss the protection benefits this may have for participants.
Sharp losses associated with the rapidly rising value of the U.S. dollar — over $1 trillion for U.S. pension plans in unhedged portfolios between July 2014 and March 2015, according to Chavez and Dreyfuss (2015) — has sparked renewed interest in the question of optimal foreign currency hedging. While hedging would clearly have been beneficial for U.S. investors recently, what is the long-term case for strategic currency hedging?