AQR Publications

White papers and commentaries explaining our investment strategies.

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  1. 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.

  2. Typical covered call strategies may be decomposed, using a risk and performance attribution methodology, into three components: equity exposure, short volatility exposure, and equity timing.

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

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

  5. 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.

  6. 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.

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

  8. 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.

  9. Decisions relating to portfolio rebalancing, while often considered secondary to deciding on the allocations themselves, can be considered an active investment strategy and have important implications for expected (and realized) portfolio returns and risk. In this article we address common misconceptions about the role and implications of rebalancing, particularly in the context of actively-managed portfolios.

  10. 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.