2019 Capital Market Assumptions for Major Asset Classes
February 4, 2019
We update our estimates of medium-term (5- to 10-year) expected returns for major asset classes, including private equity and private real estate.
A Data Science Solution to the Multiple-Testing Crisis in Financial Research
February 1, 2019
Research
The Illusion of Active Fixed Income Alpha
December 17, 2018
Do fixed income (FI) managers generate alpha? We take a deep dive into the determinants of excess of benchmark returns for a broad set of popular active FI categories.
It Was the Worst of Times: Diversification During a Century of Drawdowns
September 26, 2018
We use nearly 100 years of data to evaluate the effectiveness of diversifying investments during the worst of times for most portfolios and find that attempting to tactically avoid equity sell-offs is likely to disappoint.
The Tax Benefits of Relaxing the Long-Only Constraint: Do They Come from Character or Deferral?
October 15, 2018
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
Introducing the New AQR S.M.O.O.T.H. Fund
February 25, 2019
Cliff offers some insights into the world of smoothed returns with a healthy dose of satire.
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