AQR Publications

White papers and commentaries explaining our investment strategies.

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

  2. 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.

  3. 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.

  4. 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.

  5. 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).

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

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

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

  9. Systematic style investing is increasingly popular in equity markets but much less frequently applied in fixed income markets.

  10. We contrast two common approaches to long-only style investing: the “portfolio mix” and the “integrated portfolio.”