Tax Aware
An Interview with Nathan Sosner: Perspectives on Concentrated Wealth
July 31, 2026
In an interview with Portfolio Management Research, AQR Principal Nathan Sosner discusses managing concentrated wealth, including goals-based diversification, balancing risk with long-term objectives, and integrating investment decisions into a broader wealth management framework.
Alternative Investing
An Interview with Cliff Asness: The Illusion of Safety in Private Assets
March 31, 2026
In an interview with the editor of The Journal of Private Markets Investing, Cliff Asness reiterates his views on the numerous flaws embedded in private assets, and what investors should keep in mind when assessing the role of privates in their own portfolios.
Alternative Investing
An Interview with Jordan Brooks: Multi-Asset Strategies and Asset Allocation
February 28, 2026
In a comprehensive interview, AQR Principal Jordan Brooks outlines his thoughts on building multi-asset portfolios – including investing across a range of assets, incorporating low-correlation strategies, designing portfolios to be resilient, and more.
Portfolio Risk and Performance
Rebuffed: An Empirical Review of Buffer Funds
August 31, 2025
Equity investing is hard: volatility can be high, returns are unpredictable, and drawdowns can be painful. “Defined outcome” strategies such as buffer funds are the latest in a decades-long lineage of products promising equity-like returns with less downside risk. Like their predecessors, a closer look at these strategies reveals they fall short both empirically and theoretically.
Tax Aware
Are Completion Portfolios Effective for Managing Concentrated Stock Risk?
August 31, 2025
This paper investigates the most effective ways to manage the risk of concentrated stock positions.
Derivatives
Credit Implied Volatility
April 26, 2025
This paper introduces the concept of a credit implied volatility surface. The credit implied volatility (CIV) can be interpretable as risk-neutral asset volatility of the underlying firm—the slope of the CIV term structure is negative in downturns and positive during expansions.
Tax Aware
A Brief Guide to the Mathematics and Taxation of Charitable Remainder Unitrusts
June 24, 2026
We provide a practical guide for financial planners and wealth management professionals on charitable remainder unitrusts (CRUTs).
Tax Aware
Combining Charitable Remainder Unitrusts and Tax-Aware Strategies to Diversify Low-Basis Stock
June 26, 2026
We show how combining charitable remainder unitrusts (CRUTs) with tax-aware strategies can help investors diversify low-basis stock and enhance after-tax wealth accumulation. Our findings suggest that investors and their advisors should integrate philanthropy and investment management to optimize wealth preservation and charitable impact.
Tax Aware
A Brief Guide to Pricing and Taxation of Variable Prepaid Forwards
January 31, 2025
Variable prepaid forward (VPF) contracts have been developed as a solution to hedging the risk of concentrated low-basis stock. Using options pricing theory, we develop a VPF pricing model that helps understand the VPF prepayment amount and the cash flows and tax liabilities upon VPF rolls.
Machine Learning
Business News and Business Cycles
August 31, 2024
We propose an approach to measuring the state of the economy via textual analysis of business news. From the full text of 800,000 Wall Street Journal articles for 1984 to 2017, we estimate a topic model that summarizes business news into interpretable topical themes and quantifies the proportion of news attention allocated to each theme over time. News attention closely tracks a wide range of economic activities and can forecast aggregate stock market returns.