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Journal Article

Derivatives Strategies for Endowment and Foundation Portfolios: The Manager Perspective

Many endowment and foundation funds automatically maintain a mix of 60% stocks and 40% bonds, and numerous researchers will tell them they are wrong.

Working Paper

Does Dividend Policy Foretell Earnings Growth?

Many market observers see low dividend payouts as a sign of high future earnings growth to come. However, our evidence suggests that real-world complications can confound the expected relationship between current payouts and future earnings.

White Paper

Seven Thoughts on Running Big Money for the Long-Term

Although there is no silver bullet in asset management, there are several fundamental principals. Taking risk and having a long-term perspective are the keys to investment success and the most important predictors of long-term returns.

White Paper

An Old Friend: The Stock Market's Shiller P/E

Based on the past, the 2012 level of the S&P 500 Shiller P/E —a particularly useful measure of the valuation of the U.S. stock market—suggests that investors should plan for lower average annual stock market returns over the following decade.

Journal Article

The Interaction of Value and Momentum Strategies

Researchers have convincingly demonstrated that value strategies can be used to predict stock returns.

Journal Article

Stocks vs. Bonds: Explaining the Equity Risk Premium

From the 19th century through the mid-20th century, the dividend yield (dividends/price) and earnings yield (earnings/price) on stocks generally exceeded the yield on long-term U.S.

Journal Article

The Future Role of Hedge Funds

Hedge funds represent the future of active management, and that future will consist of two complementary elements.

White Paper

Non-Cap Weighted Indexes

...Presentation by Cliff Asness on fundamental indexing presented at the Institute for Quantitative Finance Spring 2007 Seminar.

White Paper

Avoiding Unintended Country Bets in Global Equity Portfolios

Country risk is a key driver of individual stock returns, especially in emerging markets. We present several approaches to constructing active global stock portfolios as failing to control for country membership in stock returns may lead to significant misallocation of risk.

Interview

Cliff Asness on Bloomberg Television

Cliff Asness was interviewed on Bloomberg Television about AQR’s expansion into fixed income. The segment focused on our diversified, factor-based approach relative to traditional fixed income portfolios.