September 7, 2021
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.
Read moreQ3 2021
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.
Read moreSeptember 22, 2021
In this video, AQR Head of Responsible Investment Christopher Palazzolo explains how incorporating short selling within low carbon portfolios can help investors better effect change at portfolio companies and meet ambitious carbon reduction targets.
Our Approach
Cliff's Perspectives
September 7, 2021
It would be an understatement to say there is confusion in the industry about the use of shorting in an ESG context. When it comes to calculating a portfolio’s ESG score, we have heard arguments ranging from "ignore the shorts” to “net them against longs,” and, my favorite as it’s creatively insane, “pretend the shorts are actually longs.” This note explains why it is critical that shorts be properly accounted for, so that investors can use shorting to reduce carbon exposure, to get to net zero or to achieve other ESG goals.
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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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