October 31, 2018
AQR Principal Roni Israelov answers questions about the volatility risk premium (VRP), including how it is similar to other alternative risk premia and how AQR implements it.
Read moreOctober 17, 2018
We show how the field of machine learning can be used to empirically investigate asset premia including momentum, liquidity, and volatility.
Read moreOctober 15, 2018
Are there tax benefits from relaxation of the long-only constraint? If so, what are the sources? To answer these questions, we decompose the total tax benefit (or liability) of a strategy into two components.
Read moreOur Approach
Cliff's Perspectives
October 22, 2018
In a follow-up to Liquid Alt Ragnarök?, Cliff shows the results of an illustrative portfolio that does the opposite of what we’d normally do in the spirit of George Costanza, who in one episode of Seinfeld decided he must, in all things, do the opposite of what he’d normally do.
Read moreOur History
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