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.
A recent interview with Professor Eugene Fama represents another sign that much confusion about momentum unfortunately remains. While my faith in Professor Fama is exceptionally high, this is one of the few topics where we fundamentally disagree. While debates and discussions about momentum will undoubtedly continue, in this post I’ve tried to sort out fact from fiction by bringing clarity regarding the facts and interpretations about momentum and debunk some myths along the way.
In the latest issue of our quarterly Alternative Thinking, we update our multi-year expected return assumptions for major stock and bond markets, and investigates methods for estimating expected returns for credits and commodities. Compared with historical averages of value metrics, we are still very much in a world of low expected returns.
AQR Principal Antti Ilmanen and Vice President Rodney N. Sullivan recently conducted an extended conversation with Harry M. Markowitz, Nobel laureate and father of Modern Portfolio Theory. Harry shared some insights on portfolio theory and practice.
In this issue of the DC Solutions Series, we focus on the need for target-date funds (TDFs) to better protect against losses during equity drawdowns and to better diversify their asset allocations. We suggest incorporating trend following as a potential solution to these issues and discuss the benefits this may have for participants.
Based on a high-frequency dataset for more than 50 commodities, currencies, equity indices and fixed income instruments spanning more than two decades, a new working paper by AQR researchers documents strong similarities in realized volatilities patterns across assets and asset classes. The paper, entitled "Risk Everywhere: Modeling and Managing Volatility," was written by Duke University professor Tim Bollerslev, who consults with AQR, and AQR researchers Benjamin Hood, John Huss and Lasse H. Pedersen.