Empirical Asset Pricing via Machine Learning
October 17, 2018
We show how the field of machine learning can be used to empirically investigate asset premia including momentum, liquidity, and volatility.
It Was the Worst of Times: Diversification During a Century of Drawdowns
September 26, 2018
Research
The Tax Benefits of Relaxing the Long-Only Constraint: Do They Come from Character or Deferral?
October 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.
Transactions Costs: Practical Application
September 17, 2018
We offer guidance on understanding transactions costs, including a discussion of the practical aspects of measuring them and the pitfalls one might face when trying to compare costs across managers.
themes
Diversification. Craftsmanship. What goes into building an effective portfolio? We’ve rounded up our best thinking on the topic.
More in Portfolio Construction
Systematic investing requires a rigorous, clear and consistent process for making investment decisions. Here, we delve into how this approach works in practice—and more importantly, why?
More in Systematic Investing
The AQR Macro Wrap-Up is a weekly summary distributed to clients focusing on macroeconomic themes. This piece looks at current events and how they affect market movements and reactions.
More Macro Wrap-UpsCliff's Perspectives
Alternative Investing
The George Costanza Portfolio
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.
More Perspectives
data Sets
Simulated returns from published articles (or working papers) by researchers associated with AQR, and returns from the AQR Momentum Indexes.
Commodities for the Long Run: Original Paper Data
October 3, 2018
Betting Against Beta: Equity Factors Data, Monthly
June 7, 2018
Learning Center
Rigorous, transparent and repeatable. When harvesting returns from equity markets, consider the benefits of a systematic approach.
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A systematic approach doesn't just work in equities—it works in bonds, too.
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The alternatives space is awash with complexity. Alternative risk premia can help simplify the landscape.
Learn MoreWords from the Wise
In-depth interviews with some of the best-known and most-successful professional investors.
Words from the Wise: An Interview with Richard Thaler
July 27, 2018
Words From the Wise: An AQR Interview with Ed Thorp
January 10, 2018
All Insights