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Working Paper

Trading Costs

Using live trade data from a large institutional money manager over a 19-year period, we find actual trading costs to be an order of magnitude smaller than previous studies suggest.

Working Paper

Fact, Fiction and the Size Effect

Despite its long and illustrious history, much confusion about the size effect remains. We examine common claims about the size effect and seek to clarify some of the misunderstanding surrounding it.

Working Paper

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.

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

Size Matters, If You Control Your Junk

When it comes to equity investing, size matters—and in a bigger way than once thought—but only when controlling for junk. We examine seven challenges that have been hurled at the size effect and dismantle each one by controlling for a firm's quality.

Working Paper

Investing with Style in Corporate Bonds

We identify four key style measures (carry, defensive, momentum and value) that explain some of the cross-sectional variation in corporate bond excess returns.

Working Paper

How Tax Efficient Are Equity Styles?

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?

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

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

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.