Portfolio Construction

There have been recent incidents of individuals and groups falsely claiming to be associated with AQR on social media platforms. These imposters have engaged in a variety of unauthorized conduct, including soliciting customers to carry out trading activities with them, impersonating AQR using the genuine names of AQR senior executives or employees to offer investment opportunities, claiming to offer investment training courses that are supposedly provided by AQR or claiming that AQR is backing certain initial coin offerings or is otherwise engaged in crypto related trading activity. There have also been fake websites and mobile applications that claim to be AQR (or associated with AQR) when in fact they are not. These are scams and not authorized by AQR in any way.

Please be aware that AQR does not engage in any investment activities, provide training or financial services, or conduct other regulated activities through social media platforms or messaging apps. Similarly, AQR, its executives and employees do not contact prospects, clients or members of the public via social media platforms or messaging apps such as WhatsApp, Discord and Telegram to offer investment opportunities. AQR does not offer direct investments in cryptocurrencies or other digital assets, it does not provide a trading platform to members of the public, it does not have a mobile app, and it does not offer investment training courses to the public.

AQR and its partners, employees, directors, officers, advisors, successors, and agents are not responsible for any conduct by unauthorized parties and channels, nor are they responsible for the services or information provided by such unauthorized parties and channels. If you have any questions or wish to ascertain whether you are communicating with an authorized representative of AQR, please contact us at https://www.aqr.com/Contact-Us. If you believe that you or someone you know has been a victim of fraud, please report the matter to your local law enforcement or other relevant authorities. For India residents, you may lodge a report at the national cybercrime reporting portal (https://cybercrime.gov.in).

Portfolio Construction

Active and Passive Investing — The Long-Run Evidence

May 21, 2018 - AQR Capital Management

More careful thinking is needed to separate facts from fiction in the hotly contested debate between active and passive investing.

Journal Article

Asset Allocation in a Low Yield Environment

August 21, 2017 - John J. Huss Thomas Maloney Zachary T. Mees Michael A. Mendelson

In 2016, bond yields dropped to unprecedented low levels in major developed markets. Even in a low rate environment, we think it’s important to diversify across many return sources.

Journal Article

Craftsmanship Alpha: An Application to Style Investing

December 31, 2017 - Ronen Israel Sarah Jiang Adrienne Ross

What may seem like inconsequential design decisions can actually matter a lot for style portfolios. In fact, the skillful targeting and capturing of style premia may constitute a form of alpha on its own—one we refer to as “craftsmanship alpha.”

Journal Article

Embracing Downside Risk

January 15, 2017 - Roni Israelov Daniel Villalon

This paper shows that downside risk tends to be the main source of long-run returns in equities and other asset classes, and argues that long-term investors may be better off embracing downside risk in certain cases.