AQR Publications

White papers and commentaries explaining our investment strategies.

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  1. In this quarter’s Alternative Thinking, we compare and contrast systematic and discretionary investment approaches.

  2. The year 2016 saw bond yields fall to unprecedented low levels in major developed markets, with nominal yields on 10-year German and Japanese government bonds even turning negative. While yields have risen off their lows in 2017, we are still in a very low rate environment. Does this demand exceptional action from investors – even those who usually maintain a strategic allocation to global bonds?

  3. Macro momentum – a systematic and diversified approach to global macro investing grounded in economic theory – has historically tended to deliver strong returns and may provide useful diversification within an investor’s portfolio.

  4. Diversified growth funds, or DGFs, have generally met their return targets over the past five years, but they’ve too often relied on similar risk exposures as a traditional 50%/50% stock/bond portfolio to drive performance. An issue with this approach is that the next five years are unlikely to be as favorable for traditional portfolios as the last five years have been, which could be a headwind for DGF performance.

  5. This article distinguishes between these two portfolio construction approaches and explains why integrate is superior.

  6. Given Fed tightening, many investors are interested in the risks related to monetary policy, rising yields and inflation.

  7. Market neutral equity strategies can be very tax efficient. Not only can they have low tax burdens, but they can also yield tax benefits.

  8. This paper argues that deep value is best approached by pairing discretionary expertise with a quantitative framework that allows for broad screening of global opportunities and a rigorous approach to risk management. Implementing such a strategy may allow investors to successfully incorporate that elusive opportunistic element into their portfolios.

  9. This paper argues that deep value is best approached by pairing discretionary expertise with a quantitative framework that allows for broad screening of global opportunities and a rigorous approach to risk management. Implementing such a strategy may allow investors to successfully incorporate that elusive opportunistic element into their portfolios.

  10. In this article, we discuss risk and return implications of incorporating ESG considerations in an investment strategy.