Value
We Are Not Just Value! Except, You Know, When We Are...
July 12, 2022
Our systematic stock selection process is far from just “value.” And yet from 2018-2020 for the bad and 2021-2022 for the good, our world has indeed been all about value. What gives? This post reviews our correlation to value, delving into a few periods when it became the dominant part of our process. We find that when value dominates, it has usually been in bubble periods of irrational losses for value (and in their more pleasant aftermaths).
Fixed Income
What Drives Bond Yields?
July 26, 2021
In this overview of the various factors that influence government bond yields, we show that both in theory and in the data, non-monetary policy factors drive significant variation in yields, particularly at longer maturities. Despite the exceptionally low yield environments we have witnessed, fundamentals continue to drive bond markets.
Tax Aware
“The Tax Benefits of Separating Alpha from Beta” Wins the 2020 Graham and Dodd Top Paper Award
May 5, 2021
In this paper, we tackle a different practical question: In a world dominated by tax-agnostic managers, how can investors design their tax-agnostic strategy allocations to improve the tax efficiency of their overall investment portfolios?
Value
A Gut Punch
December 22, 2020
Sure, the last nearly three years have hurt, but at least the explanation was straightforward. A core part of our process, value, suffered. So when value rebounds, we will too, right? Well, not necessarily. To be clear, if value makes a prolonged major recovery, we certainly believe we will as well, but over short periods that doesn’t have to happen. Unfortunately, this is what we have experienced since the end of October. Regardless, it does not change my view one drop that going forward multi-factor investing is a darn good bet in a world that needs some darn good bets.
Macroeconomics
It’s Not a Bound; It’s an Opinion
November 20, 2020
In the second paper of our “Bonds Today” series, we review the popular belief that bond yields are too close to zero to fall much further and then explain why we disagree.
Asset Allocation
Don’t Hate the Asset; Hate the Constraint
November 20, 2020
What role do bonds play in a portfolio today? We explain why it all depends on investors’ ability to own them in a capital efficient way.
Asset Allocation
2020 Capital Market Assumptions for Major Asset Classes (Supplemental Estimates as of March 31, 2020)
May 6, 2020
This supplement provides a special update to our estimates of medium-term (5- to 10-year) expected returns for major asset classes. This update reflects the large changes in prices for many asset classes due to the impact of COVID-19 in Q1 2020.
Arbitrage
Meet the Expert: Todd Pulvino on Diversified Arbitrage
November 22, 2019
Todd Pulvino, Principal of CNH Partners, an affiliate of AQR, explains what Diversified Arbitrage strategies are and how they tend do perform during different economic cycles.
Alternative Investing
Banter Is Coming
May 29, 2019
We have a lot of great topics and special guests coming up on season two of The Curious Investor.
Factor/Style Investing
More Superstar Investors: Neil Woodford and Terry Smith
May 28, 2019
We examine the track records of two renowned U.K. fund managers: Neil Woodford and Terry Smith and find that a large part of their long-term success is due to patient exposure to well-rewarded factor premia.