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Perspective

Response to Thomas Hoenig’s “Why ‘Risk-Based’ Capital Is Far Too Risky”

My colleagues have written a response to Thomas Hoenig's recent WSJ op-ed "Why 'Risk-Based' Capital Is Far Too Risky." Hoenig's recommended approach to managing leverage risk using a "simple" notional leverage limit reminds us of Einstein's famous purported comment to make things as simple as possible, but not simpler. The authors believe that Hoenig's approach fails to meet the Einstein test.

Perspective

Introducing the AQR Data Library

For years, we've admired and been thankful for those who have publically shared their databases. We are now doing the same to allow others to expand on our research. If flaws are found, it’s for the betterment of us all.

Perspective

A Fanatic is One Who Can't Change his Mind and Won't Change the Subject¹

Ciff Asness critiques Rob Arnott’s strong viewpoints that rising valuations are responsible for the past performance of many factors and that their current valuation levels point to their impending doom.

Perspective

A Comment on Cochrane's Recent Blog Post

Even the guys we admire pick on momentum! Here are some of Cliff's quick thoughts to John Cochrane's post on the topic, included in the comments section of his blog.

Perspective

High-Frequency Derangement Syndrome

Commentators are still blaming the wrong strategies for the recent market rout.

Perspective

Fixed Income Fantasies

Active fixed income managers have had a really good run in recent decades, but is this success due to skill? We found that there is less alpha than people think due to long-term overweight to credit. But there is hope, and we explain why.

Perspective

My Factor Philippic

Cliff critiques Arnott, et. al. (2016) and emprically shows why one should be wary of agressive factor timing. Instead, investors should identify factors they believe in, and stay diversified across them, unless valuations get far more extreme

Perspective

Killed This but Forgot to Stuff Garlic in its Mouth

Cliff takes issue with a Wall Street Journal editorial that argues not to expense stock options for employees making less than $100,000 a year.

Perspective

Introducing “Words From the Wise” Interview Series

AQR's “Words From the Wise” interview series shares research and insights from industry leaders, giving us all the opportunity to become better investors.

Perspective

From Momentum to Marvel, a Conversation With Tyler Cowen

Cliff sat down for an interview with economist Tyler Cowen, a professor at George Mason University. Read a transcript that covers a lot of the fundmantals that Cliff believes in, like value and momentum.