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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Macroeconomics

Just Happy It’s Over

This week we look at the market reaction to the U.S. election on Tuesday.

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.

Macroeconomics

Yet Another Brexit Q&A

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

Meet the Expert: Roni Israelov

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

There’s Just This One Thing

Like a detective, this week's summary looks at the one thing that could lead to a prolonged downturn in asset prices.

Macroeconomics

Philosophy, Earnings, and Cake

In a continuation of last week’s Wrap-Up, we look at the deep philosophical questions facing equity investors.

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.

Equities

Empirical Asset Pricing via Machine Learning

We show how the field of machine learning can be used to empirically investigate asset premia including momentum, liquidity, and volatility.