September 26, 2018
We use nearly 100 years of data to evaluate the effectiveness of diversifying investments during the worst of times for most portfolios and find that attempting to tactically avoid equity sell-offs is likely to disappoint.
Macroeconomics
January 18, 2019
This week's Wrap-Up looks at the effects of the U.S. government shutdown on the economy and markets.
Macroeconomics
January 11, 2019
In our first Wrap-Up of the New Year, we look at the reasons that Fed expectations have shifted and what these changes are and aren't telling us.
Macroeconomics
December 18, 2018
20 for Twenty commemorates AQR’s anniversary with a collection of 20 papers that have formed the backbone of our investment philosophy.
Fixed Income
December 17, 2018
Do fixed income (FI) managers generate alpha? We take a deep dive into the determinants of excess of benchmark returns for a broad set of popular active FI categories.
Macroeconomics
December 14, 2018
This week we look back on 2018 and try to be optimistic about 2019.
Equities
December 12, 2018
We propose a method for constructing conditional option return distributions.
Macroeconomics
December 7, 2018
This week we look at important changes to the Powell Fed's approach to economic data.
Market Risk and Efficiency
November 7, 2018
We provide a framework for identifying accounting numbers that indicate risk and expected return.
Volatility
October 31, 2018
AQR Principal Roni Israelov answers questions about the volatility risk premium (VRP), including how it is similar to other alternative risk premia and how AQR implements it.
Alternative Investing
October 18, 2018
We explore currency exposures in international equity portfolios by decomposing the optimal currency portfolio into a “hedge portfolio,” which minimizes equity volatility, and an “alpha seeking portfolio” based on the well-documented currency styles of value, momentum and carry.
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