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.


Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation

Alternative Investing

Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined

Lasse H. Pedersen demystifies the secret world of active investing by exploring hedge funds' key trading strategies. This book unites research with real-world examples and interviews to reveal how hedge fund strategies work.


Monitoring Leverage

While the interest rate has been regarded as the single key feature of a loan, we argue that leverage is a more important measure of systemic risk. We discuss how leverage can be monitored, and highlight the benefits of doing so.


How to Calculate Systemic Risk Surcharges

Many argue that financial regulation should focus on limiting systemic risk. This chapter examines one proposed regulatory idea: that each institution must face a "surcharge" based on the extent to which it is likely to contribute to systemic risk.