Responsible Asset Selection: ESG in Portfolio Decisions
December 3, 2019
We discuss how Environmental, Social, and Governance (ESG) considerations may be incorporated in a portfolio and how they may affect risk and return outcomes.
Lot Layering: The New Frontier for Hedge Fund Partnership Allocations
October 11, 2019
Research
Inversion Anxiety: Yield Curves, Economic Growth, and Asset Prices
September 12, 2019
We evaluate the ability of the yield curve slope to forecast future economic conditions, as well as returns on stocks and bonds, using over 50 years of data across six countries.
Factor Premia and Factor Timing: A Century of Evidence
July 2, 2019
We examine four prominent factor premia – value, momentum, carry, and defensive – over a century from six asset classes. The results offer support for time-varying risk premia models with important implications for theory seeking to explain the sources of factor returns.
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 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-Ups
Diversification. Craftsmanship. What goes into building an effective portfolio? We’ve rounded up our best thinking on the topic.
More in Portfolio ConstructionCliff's Perspectives
Value
It’s Time for a Venial Value-Timing Sin
November 7, 2019
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.
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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.
Commodities for the Long Run: Original Paper Data
October 3, 2018
Betting Against Beta: Equity Factors Data, Monthly
June 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