The Tax Benefits of Pre-Tax Alpha
March 18, 2026
This paper shows that pre-tax alpha may enhance tax benefits in tax-aware long-short strategies by accelerating NAV growth and creating new positions that support loss realization. The result is meaningfully higher after-tax wealth—especially at longer horizons and higher levels of leverage.
Tax Aware
Why More Alpha Can Mean More Tax Benefits
March 19, 2026
In this piece, we discuss how, in tax-aware long-short investing, pre-tax alpha not only enhances returns but can also improve tax outcomes and reduce transition costs.
Alternative Investing
An Interview with Jordan Brooks: Multi-Asset Strategies and Asset Allocation
March 10, 2026
In a comprehensive interview, AQR Principal Jordan Brooks outlines his thoughts on building multi-asset portfolios – including investing across a range of assets, incorporating low-correlation strategies, designing portfolios to be resilient, and more.
Asset Allocation
2026 Capital Market Assumptions for Major Asset Classes
January 14, 2026
We update our estimates of medium-term (5- to 10-year) expected returns for major asset classes. We also include a discussion on currency risk and currency hedging, with particular considerations for U.S. and European investors.
ESG Investing
Climate Risk Pricing
December 30, 2025
This paper develops a macro-finance model of how transition and physical climate risks are priced in markets. It shows that brown assets can hedge climate risk when carbon taxes are too low, challenging the view that risk-based investing naturally supports climate goals.
Portfolio Construction
Hold the Dip
December 1, 2025
We examine the popular “Buy the Dip” strategy and find it consistently underperforms a simple buy-and-hold approach. Our research shows that investors seeking to time markets may find greater success following trends rather than fighting them.
Relaxed Constraint
Active Extension
November 24, 2025
This paper explores how Active Extension (AE)—a long-short framework—may enhance portfolio performance. By allowing skilled managers to short unattractive stocks and overweight more attractive ones, AE offers a liquid, capital-efficient path to improved active returns and long-term wealth outcomes.
Alternative Investing
Diversifying Alternatives and the Rearview Mirror
November 3, 2025
Part 10: This paper examines how investor biases and performance-chasing behaviors can undermine the benefits of long/short diversifying alternatives. We explore why such strategies often feel disappointing in bull markets, yet remain vital for long-term portfolio resilience.
Tax Aware
Food for Thought: Tracking Error
October 15, 2025
This piece challenges the notion that all tracking error is bad, comparing it to the idea that all calories are unhealthy. It explains how “rewarded” tracking error—taken in pursuit of alpha—differs from “unrewarded” tracking error, helping investors understand when taking on tracking error can be beneficial for achieving long-term goals.
Fixed Income
Bond Market Focus: Yield Curves and Mean Reverting Rate Expectations
October 7, 2025
Part 9: The yield curve largely reflects investors’ tendency to expect rates to revert toward past norms. This paper highlights how this pattern explains both the predictive power and the persistent forecasting missteps in bond markets.