Alternative Thinking

It Was the Worst of Times: Diversification During a Century of Drawdowns

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.

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Blame the Shutdown

This week's Wrap-Up looks at the effects of the U.S. government shutdown on the economy and markets.


The First Cut Is the Deepest

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.


20 for Twenty: Selected Papers from AQR Capital Management

20 for Twenty commemorates AQR’s anniversary with a collection of 20 papers that have formed the backbone of our investment philosophy.

Fixed Income

The Illusion of Active Fixed Income Alpha

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.


Some Quant Holiday Market Cheer

This week we look back on 2018 and try to be optimistic about 2019.


Forecasting the Distribution of Option Returns

We propose a method for constructing conditional option return distributions.


A Kinder, Gentler Data Dependence

This week we look at important changes to the Powell Fed's approach to economic data.

Market Risk and Efficiency

A Framework for Identifying Accounting Characteristics for Asset Pricing Models, with an Evaluation of Book-to-Price

We provide a framework for identifying accounting numbers that indicate risk and expected return.


Meet the Expert: Roni Israelov on Volatility

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

Optimal Currency Hedging for International Equity Portfolios

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.