AQR Publications

White papers and commentaries explaining our investment strategies.

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  1. Risk parity investment strategies are not big enough to have fomented recent market volatility, as some commentators have alleged. AQR researchers explain why.

  2. Real-asset strategies invest in a broad set of inflation-sensitive assets in an effort to achieve strong positive returns in inflationary environments. Used within a Target-Date Fund (TDF), such strategies may address a significant vulnerability of traditional TDFs — inflation risk — and help reduce overall TDF risk through meaningful diversification.

  3. The analysis presented in this paper seeks to determine the long-term efficacy strategic currency hedging for U.S. investors with substantial international assets.

  4. Historically high valuations in major stock and bond markets, and meaningful recent losses across global equities have increased investors’ concerns about downside risk.

  5. This issue discusses strategic portfolio construction, focusing on how to combine traditional asset classes with illiquids or with alternative risk premia and how much illiquidity, leverage and shorting to allow.

  6. This paper tracks the performance of trend following in the context of the historical path of interest rates, comparing performance in a rising interest and falling interest rate environments over a span of nearly seven decades.

  7. This paper describes one approach in building an Equity Market Neutral strategy that seeks to systematically capture positive returns from global stocks, regardless of market direction.

  8. This issue presents our multi-year expected return assumptions for major stock and bond markets.

  9. Climate change gets a lot of attention: warmer temperatures, melting icecaps, rising oceans. . Should investors in the catastrophe-bond market continue to invest? This paper provides evidence that climate change has had no measurable effect on the North Atlantic hurricanes that drive Cat Market losses.

  10. Target-Date Funds (TDFs) have become the most popular investing vehicle for defined-contribution (DC) pension plans, but several shortcomings should be addressed to more reliably maximize retirement outcomes. We believe that implementing Risk Parity as a sleeve within a TDF can help.