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

Explore Our Firm
Working Paper

Sustainable Systematic Credit

Interest in sustainable investing is now expanding into fixed income. This paper assesses how measures of sustainability/ESG might be relevant for corporate bonds and analyzes how ESG measures can be incorporated into an investment process to achieve the joint object of maximizing risk-adjusted returns and a sustainability target.

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Alternative Thinking

What’s the Worst That Should Happen?

Expected returns on traditional assets are lower than their historical averages, yet the same is not true for risks. Setting expectations may be more important today than ever. We provide a framework to set expectations on downside risk, one that can be used for a range of assets, portfolios, and investment decisions.

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Tax Matters

The Value of Integrating Income and Estate Planning

In this post, we discuss challenges of wealth preservation and growth faced by high net worth families. While a family that invests with income tax and estate tax efficiency in mind is more likely to achieve its financial legacy goals, the numerical advantages of tax efficiency are quite striking. In addition, we show that there is a significant value in integrating income tax efficiency and estate tax planning.

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Our Approach

How we invest

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

The Replication Crisis That Wasn’t

Factor investing has long faced criticisms of data mining, and more recently faced another criticism – some backtests might never have been right to begin with. A growing body of mostly well-done papers examine these issues, generally concluding that factors have been disappointing since their “discovery.” We’ve long addressed these concerns through robust out-of-sample evidence and a compelling theory for why a factor should work. What we’ve lacked, until now, is a formal test. My colleagues’ new paper tests brilliantly, what we have argued, largely anecdotally, for years. Their results are rather startlingly (even to me) positive for the field in general.

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More from Cliff's Perspectives

Our History

From academia to industry leaders—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.