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Perspective

The Hedgie in Winter

Cliff explains once again why hedge fund returns shouldn’t be compared to 100% long equities, how to do a more proper comparison, and then shares results.

Perspective

Once More, Without Feeling

Cliff discusses why many of the breathless articles and TV headlines we’ve seen lately about the overall U.S. stock market are just not that interesting.

Perspective

Bonds Are Frickin' Expensive

When something as important as the U.S. bond yield hits historical extremes, it’s worth at least a discussion. Cliff examines the long-term relationships between real bond yields, real T-bill yields, the slope of the yield curve, and economic conditions.

Perspective

Quibble Fight!

Cliff takes a look at some of the observations from Arnott et. al., including the idea that prominent factors in modern systematic investing are more effective within small-cap stocks than large-cap, and the impact of controling for quality.

Perspective

Our Hat into the Podcasting Ring

Cliff discusses the launch of the AQR podcast, The Curious Investor.

Perspective

Risk Parity: The Dog That Did Not Bite

Commentators are blaming risk parity as a driving force behind August's equity market volatility. We think this is short-term silliness, and explain why we believe risk parity isn't the cause.

Perspective

Risk Parity Is Even Better Than We Thought

It’s not all or nothing when it comes to risk parity. Investors typically think they should be all 60/40 or all risk parity, but we think there's merit in adding risk parity to an existing 60/40 portfolio.

Perspective

Virtue Is its Own Reward: Or, One Man’s Ceiling Is Another Man’s Floor

We examine negative screening in Environmental, Social, and Governance (ESG) investing, often promoted as virtuous because it avoids “sin stocks” and other assets deemed undesirable. But does it also enhance expected returns?

Perspective

Liquid Alt Ragnarök?

Cliff discusses the recent tough times for quantitative factor-based liquid alts and makes the case for why the painful and difficult times are a big part of why our quantitative factors are real and can improve long-term results for those who can allocate part of their portfolio to them and then stick with it.

Perspective

The Small-Firm Effect Is Real, and It's Spectacular

Many have questioned whether size matters. In our research, we resurrect the size effect and find that it matters as much as such stalwarts as value and momentum.