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Tax Matters
Misconceptions about Tax-Aware Long-Short: Misleading Parallels with Direct Indexing, Part II
September 28, 2026
In our previous post, we addressed two misconceptions about the trading and hedging mechanisms of tax-aware long-short strategies. Here, we clarify that unlike direct indexing, the tax benefit of tax-aware long-short strategies comes primarily from gain deferral rather than loss harvesting, and that higher pre-tax alpha may materially enhances the strategy’s tax benefits.
Tax Matters
Misconceptions about Tax-Aware Long-Short: Misleading Parallels with Direct Indexing, Part I
September 21, 2026
Tax-aware long-short (TA LS) investing is often viewed as an extension of direct indexing, but the two approaches have fundamentally different objectives and mechanics. We explain why TA LS strategies trade to pursue alpha rather than simply harvest losses or closely track a benchmark.
Alternative Thinking
Inflation Redux?
September 15, 2026
This article updates AQR’s earlier analysis on inflation sensitivities and inflation protection, highlighting the benefits of commodities and trend following strategies and how to evaluate different implementations. It asks, “How should you prepare for the possibility of another global inflation shock?”
Working Paper
Liquidity without Liquidation
August 28, 2026
This paper shows that investors may be able to access meaningful liquidity from tax-aware strategies while preserving the remaining portfolio’s tracking error, leverage, and pre-tax return potential. An adaptive withdrawal process may also better manage capital-gain realization than a fixed withdrawal schedule.
White Paper
Academic Alpha
August 19, 2026
This paper reintroduces style premia investing—or “academic alpha”—and explains how well-researched, skillfully implemented strategies can provide liquid, transparent, and cost-effective sources of uncorrelated returns. It highlights how continued innovation in signal design, portfolio construction, and multi-asset implementation can strengthen their role as long-term portfolio diversifiers.
Data Set
Time Series Momentum: Factors, Monthly
May 29, 2026
We have updated and extended our data set for “Time Series Momentum" (Moskowitz, Ooi and Pedersen, 2012), in which we document an asset-pricing anomaly that is consistent across different asset classes and markets. We update the returns monthly.
Quick Takes
Active Extension
April 27, 2026
This Quick Take explores Active Extension, a long-short equity approach that maintains full market exposure while allowing managers to express investment ideas more clearly. By relaxing the long-only constraint, the framework may improve diversification, enhance return potential, and increase portfolio efficiency.
Perspectives
A Positive Stock-Bond Correlation Is a Terrible Reason to Add More Equity Risk to Your Portfolio
April 8, 2026
As the correlation between stocks and bonds has turned positive, many investors have questioned whether bonds still provide meaningful diversification and have looked to alternative "replacements." This perspective argues that most popular substitutes add more equity risk, not less, and shows that true diversification still requires strategies with genuinely low or negative equity beta—not simply abandoning bonds.
Journal Article
An Interview with Cliff Asness: The Illusion of Safety in Private Assets
March 31, 2026
In an interview with the editor of The Journal of Private Markets Investing, Cliff Asness reiterates his views on the numerous flaws embedded in private assets, and what investors should keep in mind when assessing the role of privates in their own portfolios.
Perspectives
I Did Not Predict What Is Going on in Privates
March 25, 2026
I push back on claims that I predicted recent turmoil in private markets, clarifying that my prior work focused on long‑term issues like volatility mismeasurement, illiquidity, and expected returns—not short‑term market calls. While privates play a real economic role, I argue investors shouldn’t confuse smoothed valuations and perceived stability with lower risk or superior long‑run performance.