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.
You don’t need me to tell you that markets have been pretty wild lately. But, perhaps I can help with a little perspective versus history, and try to home in on what was merely big about these past few days versus what was really really big. Warning, this one gets a bit wonky with some number overload.
You may have noticed the market turbulence lately. You may have also noticed the legion of commentators among the media, politicians, and famous investors, blaming this turbulence on “risk parity,” “trend-following strategies,” or my favorite, just “the machines.”
This article updates our estimates of medium-term expected returns for major asset classes, and also includes an analysis exploring the historical accuracy of yield-based return estimates, compared to reasonable alternatives.
We sat down with Ed Thorp, a pioneer in the mathematical analysis of casino games and investing, to get his insights on an array of topics from casino gambling to quantitative investing.
AQR has been named one of Pensions and Investments’ Best Places to Work in Money Management Survey for 2017.
The firm was recognized for its collaborative and collegial environment, commitment to learning, generous benefits program and differentiated employee experiences.
We examine popular active fixed income categories (Global Aggregate, U.S. Core-Plus, and Unconstrained Bond) and find that a persistent overweight to high yield credit explains the majority of fixed-income managers’ active returns. We then discuss some key implications for asset owners.
Cliff Asness recently sat down with Institutional Investor to discuss the early days of AQR, the Quant Crisis and other memorable moments.
In this quarter’s Alternative Thinking, we compare and contrast systematic and discretionary investment approaches. Despite differences, there are important commonalities: both can be fundamentally grounded, relying on similar economically intuitive inputs but in different ways. We discuss several other myths about systematic managers besides their supposed black-box nature. One such myth is that “they all do the same thing” whereas we show that the correlations between the active returns of individual systematic managers are very low, comparable to those between discretionary managers. We present empirical evidence of systematic and discretionary managers’ performance and risk, concluding that neither group has been inherently better than the other one and that they have historically been good complements.
AQR Capital Management, LLC (“AQR”) today began accepting submissions for the seventh annual AQR Insight Award.
The AQR Insight Award recognizes and rewards exceptional academic papers that have practical applications and offer original, intelligent approaches to issues in the investment world. Up to three papers share a $100,000 annual prize.
Winners are chosen by the AQR Insight Award Committee, a panel of senior members of the firm, many of whom are leading academic finance experts from top universities.
AQR will accept papers on any investment-related topic as long as they deliver clear, significant insights.
The deadline for entries is November 1, 2017
More information and instructions for submitting papers online may be found at www.aqr.com/insightaward.
The year 2016 saw bond yields fall to unprecedented low levels in major developed markets, with nominal yields on 10-year German and Japanese government bonds even turning negative. While yields have risen off their lows in 2017, we are still in a very low rate environment. Does this demand exceptional action from investors – even those who usually maintain a strategic allocation to global bonds? We find that it does not, instead it highlights the importance of diversification across many return sources.
Macro momentum – a systematic global macro strategy that takes long positions in assets for which fundamental macroeconomic trends are improving and short positions in assets for which fundamental macroeconomic trends are deteriorating – has the potential to deliver strong positive returns with low correlation to traditional asset classes across various macroeconomic and market environments, including the potential to provide important diversification benefits in bear equity markets and rising yield environments.
AQR Capital Management and Copenhagen Business School (CBS) have announced the winners of the 2017 AQR Top Finance Graduate Award. Six Ph.D. students from leading universities around the world are this year’s award recipients.
Now in its fifth year, the AQR Top Finance Graduate Award at CBS recognizes those Ph.D. graduates specializing in financial economics whose dissertation and broader research carry the greatest potential impact in both practice and academia. Winners are determined by a committee of renowned academics.
AQR has announced the winners of its sixth annual AQR Insight Award, which honors exceptional academic papers that provide original, intelligent approaches to important issues in the investment world.
This year Deviations from Covered Interest Rate Parity was awarded First Prize. The research was authored by Wenxin Du, Ph.D., Federal Reserve Board; Alexander Tepper, Ph.D., Columbia University; and Adrien Verdelhan, Ph.D., MIT Sloan School of Management. The authors will share the $100,000 annual prize.
For more information about the AQR Insight Award and this year’s winning papers, click here.