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
February 15, 2019
This week’s Wrap-Up looks at carry portfolios and carry trades and why commentators may be avoiding the topic.
Macroeconomics
February 8, 2019
This week we look at why stocks sometimes react positively to strong employment numbers, while other times they don't. We promise it will be more exciting than the Super Bowl half-time show was.
Asset Allocation
February 4, 2019
We update our estimates of medium-term (5- to 10-year) expected returns for major asset classes, including private equity and private real estate.
Macroeconomics
February 1, 2019
After two good years, the economy in Europe faced some setbacks in 2018. This week we look at some of the explanations for this, which include low water levels in rivers and well-dressed French protesters.
Machine Learning
February 1, 2019
In this paper, we present a real example of how multiple testing information can be reported. We use that information to estimate the Deflated Sharpe Ratio of an investment strategy.
Alternative Investing
January 31, 2019
We try to demystify the risk and return of private real estate, considering theoretical arguments, historical average returns, and forward-looking yield-based analysis.
Alternative Investing
January 31, 2019
We lay out a framework for expected returns for private equity that is based on a discounted cashflow framework similar to what we use for public stocks and bonds.
Factor/Style Investing
January 29, 2019
Can individual factors be reliably timed based on their recent performance? This study of 65 widely-studied, characteristic-based equity factors aims to find out.
Macroeconomics
January 25, 2019
Australia has broken some of the “laws” of economics by avoiding recession for thirty years. Now the economy faces some challenges. Find out what they are and what it may mean for the future.
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.
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