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Journal Article

How Index Trading Increases Market Vulnerability

Passively managed index funds and exchange-traded funds (ETFs) have experienced accelerating growth in recent decades.

Interview

Words From the Wise: Roger Urwin on Addressing the Investment Challenge

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

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: Charley Ellis on Challenges Facing Investors

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 DB Plans Glossary

This appendix provides some terminology and key concepts as background for AQR's discussion with Martin Leibowitz of Morgan Stanley.

Interview

Words From the Wise: An AQR Interview with Ed Thorp

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.

Journal Article

Low-Volatility Cycles: The Influence of Valuation and Momentum on Low-Volatility Portfolios

In the “low-volatility” anomaly, researchers have shown that measures of prior stock price variability relate to future performance but not necessarily in the way theory suggests.

Journal Article

Measuring Global Systemic Risk: What Are Markets Saying About Risk?

Systemic market events arise with increasing frequency in our complex, adaptive and highly interconnected markets.

Journal Article

Using Investment Consumption Value to Select Asset Classes

For investors, selecting the appropriate asset classes to be included in a portfolio is arguably the most important task, but the traditional analytical frameworks use only historical mean- variance analysis to identify asset classes and fail to look into the future.

Journal Article

The Limits to Arbitrage and the Low-Volatility Anomaly

Researchers have found that a strategy of buying prior low volatility stocks and selling prior high volatility risk stocks has historically generated substantial abnormal returns in the U.S.