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Perspective

Still (Not) Crazy After All These Years¹

With the FANGs in the news again, for good and bad, we thought it would be a good time to update our analysis. Again, we find less going on than first meets the eye.

Podcast

Taking Stock of Stock Myths

There is risk in every investment. This episode delves into three specific kinds of equity risks that tend to weigh on investors: home bias, market timing and inflation.

Alternative Thinking

Relaxed-Constraint Portfolios

Active equity investors may increase expected portfolio returns by relaxing the long-only constraint. The investment community has largely turned away from strategies that short bad stocks, but we find that they may want to take a renewed look.

White Paper

An Old Friend: The Stock Market's Shiller P/E

Based on the past, the 2012 level of the S&P 500 Shiller P/E —a particularly useful measure of the valuation of the U.S. stock market—suggests that investors should plan for lower average annual stock market returns over the following decade.

White Paper

Property Catastrophes and Equity Markets

Does investing in property catastrophe reinsurance as an asset class help diversify a portfolio from financial market risks? We examined data on the largest global property catastrophes to gain insight.

White Paper

Avoiding Unintended Country Bets in Global Equity Portfolios

Country risk is a key driver of individual stock returns, especially in emerging markets. We present several approaches to constructing active global stock portfolios as failing to control for country membership in stock returns may lead to significant misallocation of risk.

White Paper

Changing Spaces Emerging Markets Investing

Over the past decade, emerging-market equities have become a meaningful portion of global equity markets. We provide some key insights to help investors evaluate their exposure.

White Paper

Understanding Defensive Equity

This paper analyzes the intuition behind defensive equity. We then analyze the empirical evidence, construction and performance of defensive equity portfolios, and discuss the possible explanations for its historical outperformance.

White Paper

Tax-Aware Management of Global Equities

This is an overview of AQR’s tax-aware research, which has resulted in an enhancement to the efficiency of AQR’s existing long-only global equity strategy. Maximizing pre-tax returns over an investment cycle still remains our main objective.

White Paper

Covered Calls and Their Unintended Reversal Bet

Equity index covered calls have historically realized returns not much less than their underlying index with significantly less volatility.