Looking Under the Hood of Active Credit Managers
July 1, 2019
We find that credit long/short managers tend to have high passive exposure to the credit risk premium. In contrast, we find that high-yield-focused long-only managers provide less exposure to the credit risk premium than their respective benchmarks.
Research
Should Taxable Investors Shun Dividends?
June 13, 2019
We evaluate the tax benefit of dividend avoidance for quantitative multi-style strategies and find that dividend avoidance generally reduces implementation efficiency, thus lowering expected pre-tax returns.
Trends Everywhere
May 15, 2019
We provide new out-of-sample evidence on trend-following investing by studying its performance for 82 securities not previously examined and 16 long-short equity factors.
Fundamental Trends and Dislocated Markets: An Integrated Approach to Global Macro Investing
April 16, 2019
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 arigorous, 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-Ups
Diversification. Craftsmanship. What goesinto building an effective portfolio? We’ve rounded up our best thinking on thetopic.
More in Portfolio ConstructionCliff's Perspectives
Portfolio Risk and Performance
Serenity Now
June 20, 2019
What can you do when you are going through a very tough time? You continue to invest in the business including building the highest quality teams in the industry.
More Perspectives
Looking for the Intuition Underlying Multi-Factor Stock Selection
February 8, 2019
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
April 30, 2019
Quality Minus Junk: 10 Quality-Sorted Portfolios, Monthly
April 30, 2019
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