themes

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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Systematic Investing

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?

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Macro Wrap-Up

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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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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Cliff's Perspectives

Value  

It’s Time for a Venial Value-Timing Sin

Cliff discusses how to measure whether a factor, in this case the value factor, is itself rich or cheap versus history. The answer, regardless of the approach taken in measuring cheapness, is that value is currently quite cheap compared to history.

Cliff Asness, AQR

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Fixed Income  

Bonds Are Frickin' Expensive

Alternative Investing  

Quant Cassandra

Portfolio Risk and Performance  

Serenity Now

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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

Machine Learning

Machine learning has already had an impact on finance, but in certain areas it is still early in its evolution. We explain how it's being used in asset management and how it may improve quantitative investing in the future.

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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

Never Has a Venial Sin Been Punished This Quickly and Violently!

Macroeconomics

We Found Love in an Unchanged Rate

Macroeconomics

U[Pd]ate

2020 Capital Market Assumptions for Major Asset Classes

Factor/Style Investing

AQR Momentum Indices, Monthly

Sweden's Noll Hypothesis

Macroeconomics

2020 Vision

Factor/Style Investing

The Devil in HML's Details: Factors, Daily

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