Words from the Wise: An Interview with Richard Thaler
July 27, 2018
Richard Thaler, a founding father of behavioral finance and the 2017 recipient of the Nobel Prize in Economics, discusses his pioneering research, including how our behaviors influence decision making and investing and what to do about it.
Research
Understanding the Volatility Risk Premium
May 11, 2018
The volatility risk premium (VRP) represents the compensation that investors earn for providing protection against market losses. We explain the reasons why it may exist and explore its historical performance with a simple option-selling strategy.
The Tax Benefits of Separating Alpha from Beta
May 14, 2018
We show how separating a portfolio into an active long-short portfolio and a passive index portfolio can have significant tax benefits.
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
Asset Allocation
It Ain't What You Don't Know That Gets You Into Trouble
June 20, 2018
My colleagues have written two papers questioning things we thought we knew. The first questions what we really know about current stock market valuations forecasting long-horizon future returns and the second explores whether or not the size effect really exists.
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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
June 7, 2018
Time Series Momentum: Factors, Monthly
May 8, 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