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Journal Article

Long Horizon Predictability: A Cautionary Tale

We show there is much less evidence of long-horizon return predictability than existing research suggests, casting doubt over claims about forecasts based on stock market valuations and factor timing.

White Paper

Building a Better Alternatives Portfolio

Alternative strategies are valuable tools for potentially enhancing portfolio returns and are becoming widely accessible in mutual funds. We delve into alternatives and discuss why we beleive multistrategy alternatives should be at the core of an alternatives allocation.

White Paper

Building a Better Core Equity Portfolio

We believe that style-based investing represents a better approach to traditional active equity portfolio management, by focusing on sources of excess returns that may be more pervasive and persistent. These factors include value, momentum and profitability.

White Paper

A New Core Equity Paradigm

Combining successful investing styles to magnify their effects represents a new paradigm in active equity-portfolio management. Core Equities integrates value, momentum and profitability styles to offer a more persistent, systematic approach.

White Paper

The Case for Momentum Investing

Although a powerful investment style, momentum was largely unavailable to many investors. The introduction of the AQR Momentum Indices has been a pivotal development in momentum’s acceptance as an investment strategy.

Journal Article

The Role of Shorting, Firm Size and Time on Market Anomalies

The pervasiveness, robustness and magnitude of return premia associated with size, value and momentum has made them the focal point for discussions of market efficiency, etc.

Trade Publication

Style Investing: The Long and the Long/Short of It

Many investors agree that applying systematic tilts away from a passive, capitalization-weighted portfolio is a good idea; fewer agree on how best to capture these style-based returns.

Trade Publication

Measuring Portfolio Factor Exposures: A Practical Guide

Regression analysis can help investors better understand the risk factors present in their portfolios, which has multiple benefits.

Working Paper

Trading Costs of Asset Pricing Anomalies

We examine the trading costs, net-of-cost returns and break-even fund sizes of equity strategies designed to capture several of the main asset pricing anomalies documented in the literature.

Working Paper

Implementing Momentum: What Have We Learned?

We use seven years of live data to evaluate the implementability of momentum investing.