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Alternative Thinking

The Role of Alternative Beta Premia

Alternative beta premia—dynamic long-short strategies—offer effective diversified sources of return. To us, the most useful classifications are hedge fund strategy premia and style premia, two complementary approaches

Alternative Thinking

Ideas for a Low-Expected-Return World

There are different ways to achieve ambitious real return targets, but we think risk-balanced diversification across well-chosen return sources is the most reliable, strategic approach.

Trade Publication

Hit 'Em Where It Hurts, ESG Investing 2.0

We suggest a new approach to ESG investing that we believe may be more effective in making negative investor views known to management — while at the same time potentially improving portfolio expected returns.

Trade Publication

Where the Wild Things Aren't: Using Derivatives and Leverage to Improve Portfolio Performance

In the current world of modest risk premia, investors face a choice to limit their investment options, or diversify and build more stable portfolios.

Trade Publication

Alpha Transfer in a Hedge Fund World

In theory, portable alpha is a good idea.

Trade Publication

The 5% Solution

Institutional investors commonly target 5% real annual returns, or 7% to 8% nominal returns.

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.

Alternative Thinking

Strategic Risk Allocation

We believe investors should broadly diversify and risk balance as a starting point to asset allocation, but perhaps then mildly overweight assets with high Sharpe ratios or good diversification benefits if they can identify these.

Trade Publication

The Alpha in Portfolio Construction

We believe that portfolio construction, risk management and cost control are the “low-hanging fruit” of managing a long-term portfolio.