Investment innovation at the intersection of technology, data and behavioral finance.
It's in our DNA.

Explore Our Firm

Investment innovation at the intersection of technology, data and behavioral finance.
It's in our DNA.

Explore Our Firm
White Paper

Certainly Uncertain

We certainly find ourselves in uncertain times – but how uncertain are they? We show macro uncertainty is currently high versus history. We also address whether elevated macro uncertainty is likely to persist, or if we should instead expect a return to the low uncertainty environment. Lastly, we address the implications for investors, both in terms of possible returns to traditional assets, and as to what alternatives might prosper or decline in such an environment.

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White Paper

Economic Trend

“Economic trend” capitalizes on the tendency for new information to have a persistent impact on asset prices by positioning in each market on the basis of trends in macroeconomic fundamentals. The strategy has realized consistently attractive risk-adjusted returns over a 50+ year sample, and performance is pervasive across both markets and measures. While it is a close relative of price trend-following, the two strategies are highly complementary.

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Working Paper

Beyond Direct Indexing: Dynamic Direct Long-Short Investing

On average, net losses realized by direct indexing loss-harvesting strategies taper off within the first few years after their inception, and these strategies also exhibit a high dispersion of net loss outcomes. We show that long-short strategies motivated by factor investing can significantly outperform direct indexing strategies from both a pre-tax and tax perspective.

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Our Approach

How we invest

Fundamental Investing

We rely on sound economic theory and analysis to help us deliver long-term, repeatable results.

Systematically Applied

A disciplined methodology underlies everything we do. Our models, built over 20 years, are based on a continuous process of design, refine, test, repeat.

Thoughtfully Designed

In portfolio construction, risk management and trading, we seek additional value for our clients. Using both qualitative and quantitative tools, we’re meticulous in every detail of the investment process.

Cliff's Perspectives

“Let's all be nicer to financial theory. If we stick with it long enough, it will probably be nice to us.”

Cliff Asness, Managing and Founding Principal

Uncorrelated Assets: An Important Dimension of an Optimal Portfolio

Recently, Dimensional Fund Advisors wrote critically on “liquid alts.” They make some good points, but they also draw some odd conclusions that if applied more generally would not be to their or our liking. Besides discussing their piece, below I also review the general rationale behind holding uncorrelated assets – in particular, equity “factors” held in a long-short manner.

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More Cliff's Perspectives

Our History

AQR’s evolution over two decades

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Strategies

We offer a broad range of diversified strategies based on a unified set of underlying principles.

AQR is at the nexus of economics, behavioral finance, data, and technology. Our evolution has been a continuous exploration of what drives markets and how it can be applied to client portfolios.

Investors should conduct their own analysis and consult with professional advisors prior to making any investment decisions. Diversification does not eliminate the risk of experiencing investment loss. Past performance is not a guarantee of future results. Investment process is subject to change.