Alternative Risk Premia: Further Reading

 

White Paper

Is Alpha Just Beta Waiting to Be Discovered?

We believe the rise of hedge fund betas will lead not only to the reclassification of alpha but may lead to better diversified portfolios with improved risk control and, therefore, better potential to achieve long-term return targets.

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Journal Article

Investing with Style

Investors are bombarded with a variety of investment strategies and alternatives from an ever-growing and increasingly complex financial industry, each claiming to improve returns and reduce risk.

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Journal Article

Value and Momentum Everywhere

We find consistent value and momentum return premia across eight diverse markets and asset classes, and a strong common factor structure among their returns.

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Journal Article

Carry

An asset’s “carry” is its expected return assuming that market conditions, including its price, stay the same. We find that carry predicts returns both in the cross section and time series for a variety of different asset classes.

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Journal Article

Time Series Momentum

We document an asset pricing anomaly we term “time series momentum,” which is remarkably consistent across very different asset classes and markets.

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Journal Article

Which Trend Is Your Friend?

The academic literature and real-world investors have put forth a whole host of strategies that on the surface appear unique but that are all related to trend-following at a high level.

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This information is for informational purposes only and not intended to, and does not relate specifically to any investment strategy or product that AQR offers. It is being provided merely to provide a framework to assist in the implementation of an investor’s own analysis and an investor’s own view on the topic discussed herein.

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