- Filter By.
-
Topic (${ Topics.length })
-
-
Type (${ ContentTypes.length })
-
Contributor (${ Contributors.length })
- Relevance
- Newest
- Oldest
Trade Publication
The Value of Fundamental Indexing
October 16, 2006
Proponents of “fundamental indexes” claim that an investment-management revolution is afoot.
Journal Article
Quality Minus Junk
October 9, 2013
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
January 29, 2019
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
September 2, 2013
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
March 19, 2004
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
October 18, 2018
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
January 2, 2015
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
March 13, 2018
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.