White papers and commentaries explaining our investment strategies.
We examine the performance of different asset allocations through the recent market meltdown.
This paper presents an overview of AQR’s tax-aware research with particular application for Australian taxed investors investing in global equity portfolios though the framework has broader application.
We describe “relaxed-constraint” strategies that offer many of the benefits of hedge funds and far fewer of its practical impediments.
A whitepaper outlining the ideas and rationale of balanced-beta investing.
Q&A about the "quant crash" of August 2007: causes and the implications for the future of quantitative investing.
A 2007 case study on implementing portable alpha in a pension fund portfolio: board governance, alpha sourcing, ongoing management allocations.
Presentation by Cliff Asness on fundamental indexing presented at the Institute for Quantitative Finance Spring 2007 Seminar.
We find that firms react to cashflow shocks by changing leverage, not by changing investments.
This paper looks at the market in late 2001 and argues that the financial bubble had yet to completely pop.
This paper derives two extensions of the Campbell (1991) return decomposition and decompose contemporaneous returns into revisions in expectations, or news, about future dividends, liquidity, and net discount rates.