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Book
Consistency of Carry Strategies in Europe
September 1, 2003
In this chapter, we focus on strategies in the European bond market that shift money from government bonds to higher-yielding credits. While most carry strategies seem to add value in the long run, some strategies appear more risky than others.
Book
Expected Returns: An Investors Guide to Harvesting Market Rewards
March 1, 2011
Finance theories have changed dramatically over the past 30 years, away from the restrictive theories of the single-factor CAPM, efficient markets, and constant expected returns.
Book
Expected Returns on Major Asset Classes
January 5, 2012
Expected returns are arguably the most important input into investment decisions. By broadening the traditional paradigm of expected return estimation, we think investors have the ability achive better-diversified portfolios and more forward-looking analysis.
Interview
Words From the Wise: Roger Urwin on Addressing the Investment Challenge
October 10, 2016
Roger Urwin, global head of investment content at Willis Towers Watson, discusses in a Q&A how two powerful industry trends— specialization and complexity—will continue to have impact in coming years.
Interview
Words From the Wise: Robert Engle on Portfolio Management
October 2, 2017
This issue of "Words from the Wise" features an interview with Robert Engle, Nobel prize winner and father of risk modeling. Engle discusses his breakthrough research on analyzing economic time series with time-varying volatility.
Interview
Words From the Wise: Martin Leibowitz Interview
March 19, 2015
A question-and-answer session with the first bond quant on Wall Street, Martin (Marty) Leibowitz of Morgan Stanley.
Interview
Words From the Wise: Charley Ellis on Challenges Facing Investors
June 5, 2015
Charles D. Ellis, founder of Greenwich Associates and author of Winning the Loser’s Game and other books on investing, participates in a Q&A with Antti Ilmanen and Rodney N. Sullivan of AQR, discussing a range of contemporary investment challenges.
Interview
Words From the Wise: Jack Bogle on Building a Better Investment Industry
December 11, 2015
An executive summary of the main themes explored in a question-and-answer session with John C. Bogle.
Interview
Words From the Wise: Harry Markowitz on Portfolio Theory and Practice
January 29, 2016
A question-and-answer session with Harry M.
Interview
Words From the Wise: An AQR Interview with Ed Thorp
January 10, 2018
We sat down with Ed Thorp, a pioneer in the mathematical analysis of casino games and investing, to get his insights on an array of topics from casino gambling to quantitative investing.