themes

Bonds Today

With yields so low, can bonds still help investors achieve return objectives and diversify multi-asset class portfolios? To address these questions and more, we have written a series of papers in which we explore the role of bonds in these unprecedented times.

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Value Investing

Value investing – buying securities that appear cheap relative to fundamentals – has a long history in financial markets. Explore our library of research on this famed topic.

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Portfolio Construction

Diversification. Craftsmanship. What goes into building an effective portfolio? We’ve rounded up our best thinking on the topic.

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CHIEF INVESTMENT QUARTERLY
Chief Investment Quarterly

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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Cliff's Perspectives

Tax Aware  

Now There's Nothing Certain But Death

Over the last few years, we’ve built a considerable effort in tax-optimized investing. Admittedly, this was a little bit of a “if we build it, they will come” venture, given many taxable investors seem to ignore after-tax returns. Thus, it is gratifying to see my AQR colleagues win the Top Graham and Dodd Award for their research on tax optimization, a topic that I’ve long thought deserved a much more prominent place in asset management.

Cliff Asness, AQR

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Value  

A Gut Punch

Factor/Style Investing  

There Is No Size Effect: Daily Edition

Value  

Is (Systematic) Value Investing Dead?

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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.

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Learning Center

Systematic Equities Investing

Rigorous, transparent and repeatable. We explain how and why a scientific approach to equity investing works, and delve deeper into several techniques.

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Risk Management

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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Tax-Aware Investing

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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All Insights

Value

The Long Run Is Lying to You

Tax Aware

Limitation on Trader Fund Losses under the CARES Act of 2020

Quick Clips

Factor/Style Investing

Betting Against Beta: Equity Factors Data, Monthly

Factor/Style Investing

Quality Minus Junk: Factors, Monthly

Factor/Style Investing

Quality Minus Junk: Six Portfolios Formed on Size and Quality, Monthly

Factor/Style Investing

Quality Minus Junk: 10 Quality-Sorted Portfolios, Monthly

Factor/Style Investing

Value and Momentum Everywhere: Factors, Monthly

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