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
November 9, 2018
This week we look at the market reaction to the U.S. election on Tuesday.
Market Risk and Efficiency
November 7, 2018
We provide a framework for identifying accounting numbers that indicate risk and expected return.
Macroeconomics
November 2, 2018
It might be hard to believe, but Brexit is still moving markets. This week's Wrap-Up answers all of your questions about the latest events in the negotiations between the U.K. and the EU.
Alternative Investing
October 31, 2018
AQR Managing Director 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.
Macroeconomics
October 26, 2018
Like a detective, this week's summary looks at the one thing that could lead to a prolonged downturn in asset prices.
Macroeconomics
October 19, 2018
In a continuation of last week’s Wrap-Up, we look at the deep philosophical questions facing equity investors.
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.
Equities
October 17, 2018
We show how the field of machine learning can be used to empirically investigate asset premia including momentum, liquidity, and volatility.
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