For years I've been an admirer of, and thankful for, those who have created and publicly shared the databases that allow us to do our research far easier and better. Today AQR attempts to join them in making such a contribution by introducing the AQR Data Library.
If you’re still hawking the story that the original results of Fama and French, Jegadeesh and Titman, Lakonishok, Vishny and Shleifer — and even yours truly and others — were the result of data mining, you have been completely defeated on the field of financial battle, and you must stop.
A buzzword in the investment community these days is active share, a specific way to measure how different a portfolio is from its benchmark; some proponents claim it predicts higher excess returns. Does it? No, as we show in a new AQR white paper.
Many of the current articles that are critical of hedge funds may be giving good advice, but for the wrong reasons.