AQR is a global investment management firm built at the intersection of financial theory and practical application. We invest on behalf of our clients — including institutional investors, such as pension funds, defined contribution plans, insurance companies, endowments, foundations, family offices and sovereign wealth funds, as well as RIAs, private banks and financial advisors. Our commitment to these 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.
This issue of Capital Market Assumptions updates our multi-year expected returns for major asset classes. Compared to historical averages, we are still very much in a world of low expected returns.
In this year’s edition, we modify our equity expected return methodologies to account for the growing corporate substitution of share buybacks for dividends. The topic is explored in greater depth in an Appendix which discusses specific details and presents the underlying theory and practical guidance on the data required to build these estimates.
Warren Buffett, Bill Gross, George Soros and Peter Lynch are some of the most well-known investors of our time, but there has been little empirical analysis to explain their performance. In this webinar, Jordan Brooks and Dan Villalon examine the track records of these “superstars” from a factor perspective to see if their investment philosophies — applied systematically — can help demystify their long-term alpha.
Many famous investors are outspoken about their investment philosophies, and carefully apply them to a select number of securities. In this Alternative Thinking, we seek to apply their wisdom systematically; to ask whether their philosophies applied broadly might still generate “alpha”.
Our analysis suggests there are many ways to achieve long-run investment success. The takeaway for investors is to identify structural edges and commit to seeing them through inevitable periods of underperformance. As each of our superstars shows, “merely good” edges over time may compound to great long-term performance.
AQR today began accepting submissions for its sixth annual AQR Insight Award. Up to three papers will share a $100,000 prize.
The AQR Insight Award recognizes and rewards important, unpublished academic papers that provide significant insights and original, intelligent approaches to real-world investment issues.
The winners are chosen by the AQR Insight Award Committee, a panel of senior members at AQR, many of whom are leading academic finance experts from top universities.
The deadline for entries is January 15, 2017.
More information and instructions for submitting papers online may be found at www.aqr.com/insightaward.
AQR was named the Smart Beta Manager of the Year at the Financial News’ 2016 Awards for Excellence. This marks the second year in a row that AQR has won in this category.
The Financial News’ editorial team determines the shortlist in each category. The winners are then decided by votes from a distinguished panel of 50 industry practitioners, including institutional investors, investment consultants and other industry experts.
The awards were announced on October 5 at the Victoria & Albert Museum in London.
Can Value Timing Improve a Style Portfolio?
Just like asset classes, styles - or factors - can become cheaper or more expensive than average. In this webinar, Cliff Asness and Ronen Israel discuss whether this information can be used to build a better style portfolio, and compare value timing to strategic diversification for style investors. They also take a look at the style landscape today, evaluating the extent to which concerns of expensiveness and crowding actually show up in prices.
LBS students Charles Boissé and Stefano Filippi received the AQR Scholar Award at the Masters in Finance Final Dinner, held at Madame Tussauds in London on Tuesday, July 12, while Paolo Pio from the EMBA program received the AQR Scholar Award during the Capstone event on Wednesday, July 13.
AQR Founding Principal David Kabiller announced, “We are pleased to congratulate this year’s award winners. They were selected from an outstanding student body for their academic achievements, innovative perspectives and their leadership qualities. We wish them great success and encourage them to mentor and inspire others towards achieving excellence.”
The awards, which recognize outstanding academic performance and include a prize of £10,000, were presented by Stephen Schaefer, Professor of Finance, Deputy Dean (Faculty) and Academic Director, AQR Asset Management Institute at London Business School and Scott Richardson, Managing Director, AQR Capital Management and Professor of Management Practice in Accounting, London Business School.
AQR has announced the winners of its fifth annual AQR Insight Award, which honors exceptional unpublished papers that provide original, intelligent approaches to important issues in the investment world. First Prize was awarded to two papers:
The authors share the $100,000 prize.
Copenhagen Business School and AQR Capital Management today announced the winners of the 2016 AQR Top Finance Graduate Award. Six Ph.D. students from leading universities around the world are this year’s award recipients. They are: Asaf Bernstein, MIT Sloan School of Business; Arpit Gupta, Columbia Business School; Elisabeth Kempf, Tilburg University; Song Ma, Duke University’s Fuqua School of Business; David Schoenherr, London Business School; and, Michael Schwert, Stanford Graduate School of Business
Now in its fourth year, the AQR Top Finance Graduate Award at Copenhagen Business School (CBS) recognises those Ph.D. graduates whose dissertation and broader research carry the greatest potential impact in both practice and academia. Winners are determined by a committee of renowned academics.