Was That Intentional? Ways to Improve Your Active Risk
September 28, 2020
Investors try to outperform their strategic asset allocation benchmarks by taking active risks. Some of these are intentional, but others are low-conviction or even unintentional, which can be a large part of a portfolio’s total active risk. When it comes to beating a strategic asset allocation benchmark, reducing these unintentional active risks may among the clearest sources of “low hanging fruit”.
Research
Buffett's Alpha
November 1, 2013
[Winner of the CFA Institute's 2018 Graham and Dodd Award] What is the secret to Warren Buffett's success? We seek the answer via a thorough empirical analysis in light of some the latest research on the drivers of returns.
Size Matters, If You Control Your Junk
January 22, 2015
When it comes to equity investing, size matters—and in a bigger way than once thought—but only when controlling for junk. We examine seven challenges that have been hurled at the size effect and dismantle each one by controlling for a firm's quality.
themes
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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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 Construction
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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Factor/Style Investing
There Is No Size Effect: Daily Edition
September 18, 2020
We have written several pieces on the famous small-firm or size effect, the two most important being our study of the interaction of size and quality and a fairly comprehensive survey of all things size. This note focuses on daily instead of the longer-horizon data studied in these other papers and, while not changing the overall story, this leads to a powerful illustration of what’s going on in small stocks.
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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
August 31, 2020
Learning Center
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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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.
Learn MoreAll Insights