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Alternative Thinking

The Illusion of Active Fixed Income Diversification

December 7, 2017 - AQR Capital Management

We examine popular active fixed income categories and find that a persistent overweight to high yield credit explains the majority of fixed-income managers’ active returns. We then discuss some key implications for asset owners.

Alternative Thinking

The Role of Alternative Beta Premia

3Q 2012 - AQR Capital Management

Alternative beta premia—dynamic long-short strategies—offer effective diversified sources of return. To us, the most useful classifications are hedge fund strategy premia and style premia, two complementary approaches

Alternative Thinking

Why Do Most Investors Choose Concentration Over Leverage?

2Q 2012 - AQR Capital Management

Return-seeking investors must take risks—the question is which to take and to understand the tradeoffs involved. Most investors choose concentration risk, but we present arguments for a different approach.

Alternative Thinking

Tail-Hedging Strategies

4Q 2012 - AQR Capital Management

Tail hedges are one way to potentially limit losses in adverse markets—but at a substantial cost. We discuss alternative approaches, such as trend-following strategies, which are more cost-effective and may offer portfolio protection in market downdrafts

Alternative Thinking

Ideas for a Low-Expected-Return World

1Q 2012 - AQR Capital Management

There are different ways to achieve ambitious real return targets, but we think risk-balanced diversification across well-chosen return sources is the most reliable, strategic approach.

Alternative Thinking

2014 Capital Market Assumptions for Major Asset Classes

1Q 2014 - AQR Capital Management

We present our capital market assumptions for major asset classes and explore justifiable frameworks for estimating multi-year expected returns.

White Paper

Portable Beta?

January 1, 2008 - AQR Capital Management

We believe investors are not optimally diversified across betas. We suggest greater exposure to low-volatility betas (such as fixed income risk premia) and levering this optimal combination of betas to the desired risk level.

White Paper

It's Alpha to You

October 1, 2009 - AQR Capital Management

Many investors think of alpha as excess returns from active management accessed through manager skill in security selection. We discuss a different, more systematic method of increasing expected returns.

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