Showing 1 - 10 of 33 results

Sort By
  • Relevance
  • Newest
  • Oldest

White Paper

Understanding the Volatility Risk Premium

The volatility risk premium (VRP) represents the compensation that investors earn for providing protection against market losses. We explain the reasons why it may exist and explore its historical performance with a simple option-selling strategy.

Journal Article

Multi-Period After-Tax Reporting: A Practical Solution

We propose an after-tax performance report aimed at enhancing wealth preservation and accumulation for taxable investors.

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.

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.

Journal Article

Defined Contribution Retirement Plans Should Look and Feel More Like Defined Benefit Plans

Defined contribution (DC) plans have, to this point, delivered uneven and sometimes inadequate results.

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.

Journal Article

The Low-Volatility Anomaly: Market Evidence on Systemic Risk vs. Mispricing

Researchers have demonstrated a long-term connection between future stock returns and various measures of prior stock price variability.

Interview

Words From the Wise: Harry Markowitz on Portfolio Theory and Practice

A question-and-answer session with Harry M.

Interview

Words From the Wise: Jack Bogle on Building a Better Investment Industry

An executive summary of the main themes explored in a question-and-answer session with John C. Bogle.

Journal Article

Investing in the Asset-Growth Anomaly Across the Globe

Several studies have show that slow-growing companies return more to stock-market investors than fast-growing companies, based on the growth in the book value of companies’ assets.