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White Paper
Is Alpha Just Beta Waiting to Be Discovered?
July 1, 2012
We believe the rise of hedge fund betas will lead not only to the reclassification of alpha but may lead to better diversified portfolios with improved risk control and, therefore, better potential to achieve long-term return targets.
White Paper
Building a Better Core Equity Portfolio
May 1, 2013
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 Better Approach to Alternative Investing
May 1, 2013
The goal of a portfolio is to maximise risk-adjusted return. Adding alternative investments to a traditional portfolio is a way to potentially do this, reducing downside risk while maintaining or even increasing the portfolio's expected return.
White Paper
Building a Better Alternatives Portfolio (European Version)
September 1, 2011
Alternative strategies are valuable tools for potentially enhancing portfolio returns and are becoming widely accessible. We delve into alternatives and discuss why we believe multistrategy alternatives should be at the core of an alternatives allocation.
White Paper
A New Core Equity Paradigm
March 1, 2013
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.
White Paper
Measuring Factor Exposures: Uses and Abuses
July 15, 2017
A growing number of investors have come to view their portfolios (especially equity portfolios) as a collection of exposures to risk factors.
Journal Article
Contrarian Factor Timing is Deceptively Difficult
March 7, 2017
The increasing popularity of factor investing has led to valuation concerns among some contrarian-minded investors and fears of imminent mean-reversion and underperformance.
Working Paper
How Tax Efficient Are Equity Styles?
July 1, 2011
We explore the after-tax performance, tax exposure and tax efficiency of commonly used equity-style portfolios. We focus on equity styles based on size, value, growth and momentum, well known within the cross-sectional return landscape.
Working Paper
Implementing Momentum: What Have We Learned?
December 26, 2017
We use seven years of live data to evaluate the implementability of momentum investing.