AQR Publications

White papers and commentaries explaining our investment strategies.

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

  2. 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.

  3. 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.

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

  5. Conventional wisdom is that put options are effective drawdown protection tools. Unfortunately, in the typical use case, put options are quite ineffective at reducing drawdowns versus the simple alternative of statically reducing exposure to the underlying asset.

  6. Defensive equity seeks to provide the “best of both worlds,” promoting not only wealth accumulation by delivering the equity risk premium but also wealth preservation by investing in less risky equity securities. This paper describes ways to implement defensive equities within a retirement portfolio.

  7. In a prospectively low-return environment, equity investors seeking potential outperformance over benchmark returns should consider Relaxed Constraint (“RC”) strategies (also popularly known as 130/30 strategies).

  8. This issue updates our multi-year expected return assumptions for major asset classes like equity and bond markets, credits and commodities.

  9. Many famous investors are outspoken about their investment philosophies, and carefully apply them to a select number of securities.

  10. This paper aims to increase familiarity of the credit asset class and provide an overview of our approach to systematic credit investing.