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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.

Book

Benjamin Graham: Building a Profession

Benjamin Graham is widely known as the father of value investing and mentor to legendary investor Warren Buffett. This collection of Graham's writings and expert interviews offers valuable perspectives on investing and financial markets.

Book

Bold Thinking on Investment Management

In this anthology, which provides the collective wisdom of some of the best minds in the investment industry, AQR co-founder Cliff Asness recounts what investors learned from the great stock market bubble that popped early in the new millennium.

Book

Challenges and Innovation in Hedge Fund Management

The increasing institutionalization of hedge funds brings with it many challenges. AQR's Cliff Asness provides an assessment of key issues that arise as a consequence, focusing on the areas of benchmarking, transparency, fees, and risk management.

Book

Global Perspectives on Investment Management: Learning From the Leaders

This book features an array of perspectives from financial industry luminaries to cover topics at the forefront of the global asset management industry, including risk management and ethics.

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: 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

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

Taming Global Village Risk

Asset price bubbles have been part of modern capital markets since those markets first evolved some 300 years ago.