September 18, 2020
Stocks are up, but the U.S. dollar is down against many other currencies. Does it feel like the dollar does all of the work but gets none of the credit? This week we look at the unbalanced relationship between U.S. equity markets and the dollar.
Read moreSeptember 18, 2020
We have written several pieces on the famous small-firm or size effect, the two most important being our study of the interaction of size and quality and a fairly comprehensive survey of all things size. This note focuses on daily instead of the longer-horizon data studied in these other papers and, while not changing the overall story, this leads to a powerful illustration of what’s going on in small stocks.
Read moreMay 22, 2020
Some have blamed the interest rate environment for value stocks’ underperformance of growth stocks from 2017 to early 2020, as well as the stretch of lackluster performance for some value factors since Global Financial Crisis. We find the performance of value is not easily assessed based on the interest rate environment, and that factor timing strategies based on interest rate-related signals are likely to perform poorly.
Read moreOur Approach
Cliff's Perspectives
September 18, 2020
We have written several pieces on the famous small-firm or size effect, the two most important being our study of the interaction of size and quality and a fairly comprehensive survey of all things size. This note focuses on daily instead of the longer-horizon data studied in these other papers and, while not changing the overall story, this leads to a powerful illustration of what’s going on in small stocks.
Read moreOur History
Strategies
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.
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