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Perspective

An Annual Article About Nothing

Cliff examines a popular front-page New York Times article covering the top hedge fund earners.

Interview

Words From the Wise DB Plans Glossary

This appendix provides some terminology and key concepts as background for AQR's discussion with Martin Leibowitz of Morgan Stanley.

Perspective

Yes, Lever, but With Care

Conventional wisdom holds that sensible investors avoid leverage. Cliff Asness argues that, if prudently employed, portfolio leverage can be beneficial in modest doses, with proper concern for its dangers.

Data Set

Commodities for the Long Run: Index Level Data, Monthly

We have updated the data set for the paper “Commodities for the Long Run”, in which we analyze a novel data set of commodity futures prices going back to 1877, allowing us to show that returns of commodity futures indices have, on average, been positive over the long run. We update the data monthly.

Data Set

Commodities for the Long Run: Original Paper Data

This is the original data set used for our paper “Commodities for the Long Run”, in which we analyze a novel data set of commodity futures prices going back to 1877, allowing us to show that returns of commodity futures indices have, on average, been positive over the long run.

Data Set

An Academic-Quality Data Library for Practitioners

The data library contains historical and updated return series from the increasing roster of papers and indices associated with AQR.

Data Set

About the AQR Data Library

Each data set is associated with a specific paper. Users can view and download all related return series at once, or select a subset of series as an excel file.

Interview

Words From the Wise: An AQR Interview with Ed Thorp

We sat down with Ed Thorp, a pioneer in the mathematical analysis of casino games and investing, to get his insights on an array of topics from casino gambling to quantitative investing.

Journal Article

Reliability of Asset Revaluations: The Impact of Appraiser Independence

In this paper we use a sample of recognized Australian asset revaluations to examine whether there are differences in the reliability of asset revaluations made by boards of directors versus independent (external) appraisers.

Journal Article

Slow-Moving Capital

Unlike textbook arbitrageurs who instantaneously trade when prices deviate from fundamental values, real-world arbitrageurs must overcome various frictions.