AQR is committed to helping our clients achieve their ESG goals. We seek to integrate ESG in both our asset selection and our ownership decisions.
Investment Process and Research
Across the firm, Governance signals are actively traded in the majority of our equity and fixed income portfolios.
We also offer dedicated ESG solutions. These include sustainable strategies that focus on broad ESG implications (incorporating both negative screens and positive tilts), low-carbon impact portfolios, and portfolios customized for client-specific ESG priorities.
ESG is an important part of our research agenda. Explore our published research and insights in this area:
Clearing the Air: Responsible Investment
What is ESG? AQR and the UN PRI collaborated to propose a framework of the approaches and terms necessary to have an informed discussion and investment policy on Responsible Investment, grounded in both responsible asset selection and responsible ownership.
Responsible Investing: The ESG-Efficient Frontier
Combining several large data sets, we compute the empirical ESG-efficient frontier and show the costs and benefits of responsible investing.
Hedging Climate Change News
We propose and implement a procedure to dynamically hedge climate change risk and discuss multiple directions for future research on financial approaches to managing climate risk.
Assessing Risk Through Environmental, Social and Governance Exposures
ESG investing may have a role in portfolios that extends beyond ethical considerations, particularly for investors interested in tilting toward safer stocks, and in a way that complements what is captured by traditional statistical risk models.
ESG: The Good, the Bad, and the Fuzzy (podcast)
Is "doing good" good, bad or neutral for an investor’s portfolio? Three experts explain how they approach ESG investing, or the consideration of environmental, social, and governance issues.
Virtue Is its Own Reward: Or, One Man's Ceiling Is Another Man's Floor
We examine negative screening in ESG investing, often promoted as virtuous because it avoids “sin stocks” and other assets deemed undesirable. But does it also enhance expected returns?
Hit 'Em Where it Hurts: ESG Investing 2.0
We suggest a new approach to ESG investing that we believe may be more effective in making negative investor views known to management — while at the same time potentially improving portfolio expected returns.
A Framework for Identifying Environmental, Social, and Governance Considerations in Portfolio Design
We propose a simple framework to consider the impacts of ESG issues with respect to their role in investment decisions.
AQR partners with ISS on ESG-related corporate engagement in the aim of promoting greater transparency and disclosure. We also offer proxy voting via ISS, including ESG-aware voting policies in a variety of commingled funds and separate accounts with the ability to customize for client needs.
AQR has been a signatory with UN PRI since 2014. Our colleagues have participated in or chaired several PRI working groups and committees and we worked with the group to create a framework for Responsible Investing.
We have been a supporter of the Task Force on Climate Related Financial Disclosures since 2018.
AQR is committed to creating a sustainable, responsible workplace. We have a robust internal ESG education effort as well as dedicated sustainability efforts led by our ESG in the Office Initiative. Our programs focus on energy use, waste management, and recycling, transportation, and community engagement.
* Approximate as of September 30, 2019, includes assets managed by AQR and its advisory affiliates. (ESG-related is defined as incorporating ESG exclusions and/or ESG-related signals)