Multi-Period After-Tax Reporting: A Practical Solution
March 29, 2018
We propose an after-tax performance report aimed at enhancing wealth preservation and accumulation for taxable investors.
Research
Style Investing in Fixed Income
March 15, 2018
A disciplined, systematic approach to over/underweight securities based on well-known factors, or styles, such as value, momentum, carry and defensive, can offer alternative sources of outperformance not only within equities, but also within fixed income markets.
Capital Market Assumptions for Major Asset Classes
February 2, 2018
We update our medium-term expected returns for major asset classes and explore the historical accuracy of yield-based return estimates.
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
Behavioral Finance
Perhaps the Most Important Essay I Will Ever Co-Author
March 1, 2018
We model when a hockey coach should pull the goalie when trailing and then discuss how our results relate to key lessons for portfolio and risk management, and business in general.
More Perspectives
data Sets
Simulated returns from published articles (or working papers) by researches associated with AQR, and returns from the AQR Momentum Indexes.
Betting Against Beta: Equity Factors Data, Monthly
August 31, 2017
Quality Minus Junk: 10 Quality-Sorted Portfolios, Monthly
August 31, 2017
Time Series Momentum: Factors, Monthly
August 31, 2017
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.
All Insights