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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

Challenges of Incorporating Tactical Views

4Q 2014 - AQR Capital Management

Tactical timing is inherently more difficult than it seems. We explore which types of tactical views may be worth taking.

Alternative Thinking

Bad Habits and Good Practices

3Q 2014 - AQR Capital Management

Good investing requires good investments and good investors. We discuss the latter and address bad habits that can affect long-term performance.

Alternative Thinking

Style Premia / Bond Returns

3Q 2013 - AQR Capital Management

We review how style premia have historically generated attractive long-run returns in virtually every place we have studied them, and may help reduce risk through better diversification. We then look at fixed income returns in different environments

Alternative Thinking

Strategic Risk Allocation

2Q 2014 - AQR Capital Management

We believe investors should broadly diversify and risk balance as a starting point to asset allocation, but perhaps then mildly overweight assets with high Sharpe ratios or good diversification benefits if they can identify these.

Alternative Thinking

Relaxed-Constraint Portfolios

2Q 2016 - AQR Capital Management

Active equity investors may increase expected portfolio returns by relaxing the long-only constraint. The investment community has largely turned away from strategies that short bad stocks, but we find that they may want to take a renewed look.

Alternative Thinking

Mapping Investable Return Sources to Macro Environments

4Q 2013 - AQR Capital Management

We explore the empirical relationships between investable strategies (asset classes and style premia) and macroeconomic environments. We find that style premia have meaningfully less macro exposure than do asset classes

Alternative Thinking

2016 Capital Market Assumptions for Major Asset Classes

1Q 2016 - AQR Capital Management

We update our multi-year expected return assumptions for major stock and bond markets, and investigate expected returns for credits and commodities.

Alternative Thinking

Systematic vs. Discretionary

3Q 2017 - AQR Capital Management

Systematic and fundamental investing approaches are not opposites. Both pursue the same objective and can be fundamentally-oriented. They can use similar inputs, but in different ways, to try to improve investment performance. Neither is necessarily better than the other.