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.
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.
AQR Principal Ronen Israel discusses factor investing with BlackRock's Andrew Ang and Research Affiliates' Rob Arnott in the Institutional Investor Journal webinar "Factor Perspectives: Separating Factors from Fiction."
Moderated by Cam Harvey from Duke University, the panel explores the differing views around how factors are defined, constructed and evaluated.
To view the webinar, click here.
This issue of Capital Market Assumptions updates our multi-year expected returns for major asset classes. Compared to historical averages, we are still very much in a world of low expected returns.
In this year’s edition, we modify our equity expected return methodologies to account for the growing corporate substitution of share buybacks for dividends. The topic is explored in greater depth in an Appendix which discusses specific details and presents the underlying theory and practical guidance on the data required to build these estimates.
Warren Buffett, Bill Gross, George Soros and Peter Lynch are some of the most well-known investors of our time, but there has been little empirical analysis to explain their performance. In this webinar, Jordan Brooks and Dan Villalon examine the track records of these “superstars” from a factor perspective to see if their investment philosophies — applied systematically — can help demystify their long-term alpha.
Many famous investors are outspoken about their investment philosophies, and carefully apply them to a select number of securities. In this Alternative Thinking, we seek to apply their wisdom systematically; to ask whether their philosophies applied broadly might still generate “alpha”.
Our analysis suggests there are many ways to achieve long-run investment success. The takeaway for investors is to identify structural edges and commit to seeing them through inevitable periods of underperformance. As each of our superstars shows, “merely good” edges over time may compound to great long-term performance.
AQR today began accepting submissions for its sixth annual AQR Insight Award. Up to three papers will share a $100,000 prize.
The AQR Insight Award recognizes and rewards important, unpublished academic papers that provide significant insights and original, intelligent approaches to real-world investment issues.
The winners are chosen by the AQR Insight Award Committee, a panel of senior members at AQR, many of whom are leading academic finance experts from top universities.
The deadline for entries is January 15, 2017.
More information and instructions for submitting papers online may be found at www.aqr.com/insightaward.
AQR was named the Smart Beta Manager of the Year at the Financial News’ 2016 Awards for Excellence. This marks the second year in a row that AQR has won in this category.
The Financial News’ editorial team determines the shortlist in each category. The winners are then decided by votes from a distinguished panel of 50 industry practitioners, including institutional investors, investment consultants and other industry experts.
The awards were announced on October 5 at the Victoria & Albert Museum in London.
Can Value Timing Improve a Style Portfolio?
Just like asset classes, styles - or factors - can become cheaper or more expensive than average. In this webinar, Cliff Asness and Ronen Israel discuss whether this information can be used to build a better style portfolio, and compare value timing to strategic diversification for style investors. They also take a look at the style landscape today, evaluating the extent to which concerns of expensiveness and crowding actually show up in prices.
LBS students Charles Boissé and Stefano Filippi received the AQR Scholar Award at the Masters in Finance Final Dinner, held at Madame Tussauds in London on Tuesday, July 12, while Paolo Pio from the EMBA program received the AQR Scholar Award during the Capstone event on Wednesday, July 13.
AQR Founding Principal David Kabiller announced, “We are pleased to congratulate this year’s award winners. They were selected from an outstanding student body for their academic achievements, innovative perspectives and their leadership qualities. We wish them great success and encourage them to mentor and inspire others towards achieving excellence.”
The awards, which recognize outstanding academic performance and include a prize of £10,000, were presented by Stephen Schaefer, Professor of Finance, Deputy Dean (Faculty) and Academic Director, AQR Asset Management Institute at London Business School and Scott Richardson, Managing Director, AQR Capital Management and Professor of Management Practice in Accounting, London Business School.
AQR has announced the winners of its fifth annual AQR Insight Award, which honors exceptional unpublished papers that provide original, intelligent approaches to important issues in the investment world. First Prize was awarded to two papers:
The authors share the $100,000 prize.
Copenhagen Business School and AQR Capital Management today announced the winners of the 2016 AQR Top Finance Graduate Award. Six Ph.D. students from leading universities around the world are this year’s award recipients. They are: Asaf Bernstein, MIT Sloan School of Business; Arpit Gupta, Columbia Business School; Elisabeth Kempf, Tilburg University; Song Ma, Duke University’s Fuqua School of Business; David Schoenherr, London Business School; and, Michael Schwert, Stanford Graduate School of Business
Now in its fourth year, the AQR Top Finance Graduate Award at Copenhagen Business School (CBS) recognises those Ph.D. graduates whose dissertation and broader research carry the greatest potential impact in both practice and academia. Winners are determined by a committee of renowned academics.