Sometimes we just want to make a point, or start a conversation. These timely posts offer opinions about everything from quantitative finance to baseball stats.
June 5, 2025
This post revisits and refutes a long-standing argument against market timing—that missing just a few of the market’s best days can devastate returns—by demonstrating its logical flaws and statistical irrelevance. Using both historical and out-of-sample data, it shows that the risks and rewards of market timing are more symmetric than commonly portrayed.
Portfolio Risk and Performance
May 8, 2025
Last month, we posted a short piece critical of options-based strategies such as “defined outcome funds” and “buffered ETFs”. It showed that the vast majority of them failed to deliver either better returns or less-severe drawdowns than a simple combination of passive equities + cash. Since then, we’ve gotten quite a bit of—let’s call it—feedback. My partner Dan, who wrote the original, now writes the devastating response to his predictable critics. My only criticism is he is too kind.
Perspective
April 28, 2025
My partner, Antti Ilmanen, is launching a new series, Understanding Return Expectations. The series focuses on how investors actually form their own beliefs about expected returns (which may, or may not, correspond with what he finds reasonable!).
Alternative Investing
March 28, 2025
While uncorrelated alternatives can be beneficial, they often fail to significantly impact the overall portfolio. Here, I argue that adding beta to these alternatives can enhance capital efficiency and improve long-term returns. Ultimately, there is a need for a balanced approach to investing in alternatives, including a combination of aggressive and equitized strategies.
Portfolio Risk and Performance
March 21, 2025
Options-based strategies, often labeled with words like “Buffered,” “Overlay,” and “Defined Outcome” have amassed a sizeable chunk of investors’ money, lured by the promise of market-like returns with less risk. These strategies use options to capture the upside or downside of an asset’s returns, and managers who employ a mix of options can tailor an asset’s risk/return profile to align with an investor’s goals. But can they actually deliver?
Asset Allocation
January 2, 2025
Well, sitting here in the year 2035 and looking back at our endowment’s returns for the last decade is not a pleasant task. World markets have been subpar and our performance relative to world markets has been simply terrible. Hard times are never pleasant. But they have one upside. We can learn from them.
Alternative Investing
September 4, 2024
This note argues that good higher-volatility alternative investments, that are indeed often very hard to stick with, can be important tools in constructing the best overall portfolio. I think if (a big if) investors can stick with them, they are often a more effective tool than their lower-volatility cousins. Basically, I think they are underutilized
Alternative Investing
September 3, 2024
I argue that over the past 30+ years markets have become less informationally efficient in the relative pricing of common stocks, particularly over medium horizons
May 20, 2024
Continuing my occasional foray into sports analytics, in this post I look at the President's Trophy curse. This ubiquitous observation can be summed up as “the winner of the President’s Trophy, awarded for the best record in the regular season, usually doesn’t go on to win the Stanley Cup. Thus, winning the trophy is cursed.” The President’s Trophy winner usually doesn’t win The Cup. It’s true, and yet it’s still really dumb.
Perspective
April 1, 2024
My latest covers a few things I would’ve thought were hard for investors to believe at the same time. Experience has proven me quite wrong.
AQR Capital Management, LLC, (“AQR”) provides links to third-party websites only as a convenience, and the inclusion of such links does not imply any endorsement, approval, investigation, verification or monitoring by us of any content or information contained within or accessible from the linked sites. If you choose to visit the linked sites, you do so at your own risk, and you will be subject to such sites' terms of use and privacy policies, over which AQR.com has no control. In no event will AQR be responsible for any information or content within the linked sites or your use of the linked sites.
You are about to leave AQR.com and are being re-directed to the {siteName}. Please note that {siteName} site may be subject to rules and regulations that may differ significantly from those to which the AQR website is subject and may not be appropriate for use by residents in all jurisdictions. Your access to and use of the {siteName} site will be subject to the applicable Terms of Use posted on the site.