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.
Research
Chasing Your Own Tail (Risk), Revisited
November 19, 2019
As investors turn to addressing the risk of a severely declining market, we summarize five approaches to building a more resilient portfolio.
Fact and Fiction About Low-Risk Investing
February 17, 2020
Low-risk investing has received a lot of attention over the past decade. An intensive academic debate has spurred, and been spurred by, the growing market for low-risk strategies. This article presents five fact and dispels five fictions about low-risk investing.
themes
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 biweekly 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 Construction
The CIQ newsletter focuses on a wide array of themes such as retirement policy, macroeconomic insights, and investment ideas for this community.
Read MoreCliff's Perspectives
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.
More Perspectives
data Sets
Simulated returns from published articles (or working papers) by researchers associated with AQR, and returns from the AQR Momentum Indexes.
Learning Center
Rigorous, transparent and repeatable. We explain how and why a scientific approach to equity investing works, and delve deeper into several techniques.
Learn More
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.
Learn More
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