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Trade Publication

The Value of Fundamental Indexing

Proponents of “fundamental indexes” claim that an investment-management revolution is afoot.

Journal Article

Quality Minus Junk

We show that a quality-minus-junk (QMJ) factor that goes long high-quality stocks and shorts low-quality stocks earns significant risk-adjusted returns in the U.S. and globally. Also, controlling for quality resurrects the otherwise moribund size effect.

Journal Article

Factor Momentum Everywhere

Can individual factors be reliably timed based on their recent performance? This study of 65 widely-studied, characteristic-based equity factors aims to find out.

Working Paper

An Accounting-Based Characteristic Model for Asset Pricing

Prior research documents robust correlations between firm characteristics and future stock returns, but provides little insight on why. Our firm characteristic model provides a structure to interpret these observed correlations.

Working Paper

Style Investing: Evidence From Mutual Fund Flows

The number of mutual funds in the U.S. has risen over the past decade and is so large that individual investors are unlikely able to analyze each fund in existence. How do investors choose from such a multitude of funds? We answer this question here.

White Paper

The Case for Momentum Investing

Although a powerful investment style, momentum was largely unavailable to many investors. The introduction of the AQR Momentum Indices has been a pivotal development in momentum’s acceptance as an investment strategy.

Working Paper

Characteristics Are Covariances: A Unified Model of Risk and Return

We propose a new modeling approach for the cross section of returns that helps determine whether excess returns to factors are driven by compensation for risk, or an anomaly effect.

Journal Article

Investing with Style

Investors are bombarded with a variety of investment strategies and alternatives from an ever-growing and increasingly complex financial industry, each claiming to improve returns and reduce risk.

White Paper

Understanding Alternative Risk Premia

With its many potential benefits, including generally low-to-no correlation to a traditional 60/40 or hedge fund portfolio, we believe an ARP strategy may serve as a core alternative solution in investors’ portfolios.