2020 Capital Market Assumptions for Major Asset Classes
January 29, 2020
We update our estimates of medium-term (5- to 10-year) expected returns for major asset classes, and introduce a method for quantifying the expected return on cash.
Research
Chasing Your Own Tail (Risk), Revisited
November 19, 2019
As investors turn to addressing the risk of a severely declining market, we summarize five approaches to building a more resilient portfolio.
Tax-Efficient Portfolio Transition: A Tax-Aware Relaxed-Constraint Approach to Switching Equity Managers
March 2, 2020
For a taxable investor with a highly appreciated equity portfolio, replacing the portfolio manager is likely to trigger substantial tax liabilities. We find that a tax-aware relaxed-constraint post-transition strategy significantly outperforms a traditional tax-agnostic long-only strategy in its ability to preserve and grow the investors after-tax wealth over the long term.
themes
The CIQ newsletter focuses on a wide array of themes such as retirement policy, macroeconomic insights, and investment ideas for this community.
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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 biweekly summary distributed to clients focusing on macroeconomic themes. This piece looks at current events and how they affect market movements and reactions.
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Diversification. Craftsmanship. What goes into building an effective portfolio? We’ve rounded up our best thinking on the topic.
More in Portfolio ConstructionCliff's Perspectives
Value
The Valuesburg Address
February 27, 2020
One score and eight years ago Fama and French brought forth on this world, a new factor, conceived in either risk or behavioral effects, and dedicated to the proposition that all portfolios are not created equal. Now we are engaged in a great drawdown, testing whether investors in that factor, or any factor so conceived and so dedicated, can long endure…
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data Sets
Simulated returns from published articles (or working papers) by researchers associated with AQR, and returns from the AQR Momentum Indexes.
Betting Against Beta: Equity Factors Data, Monthly
January 31, 2020
Commodities for the Long Run: Index Level Data, Monthly
October 3, 2018
Learning Center
Machine learning has already had an impact on finance, but in certain areas it is still early in its evolution. We explain how it's being used in asset management and how it may improve quantitative investing in the future.
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The risk management function in asset management is central to the investment process. We outline the framework of an enterprise risk management system and explain how it should fit in the business.
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A tax-aware investment approach can help taxable investors achieve their financial goals. Here we explain what tax-aware investing strategies are and how they may fit into an investor’s portfolio.
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