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Perspective
Hedging on Hedge Funds (postscript on correlations, beta, and “alpha”)
May 16, 2016
After Cliff's last piece on hedge funds, there were a lot of questions about “beta” versus “correlation” with the market and, more generally, about “alpha.” He demonstrates why correlation and beta are not the same.
Perspective
Hedge Funds: The (Somewhat Tepid) Defense
October 24, 2014
Some pension plans’ recently deciding to eliminate their hedge fund programs led us to review some of AQR’s long-standing comments on the industry—that they should be more fully hedged, more transparent, and delivered at a lower fee.
Perspective
Response to Miles Johnson
May 16, 2016
Cliff disagrees with the ways certain members of the press have established their annual lists of the top hedge fund earners. In his view, the math was simply bad and intentionally misleading.
Book
Consistency of Carry Strategies in Europe
September 1, 2003
In this chapter, we focus on strategies in the European bond market that shift money from government bonds to higher-yielding credits. While most carry strategies seem to add value in the long run, some strategies appear more risky than others.
Journal Article
Betting Against Beta
January 1, 2014
A basic premise of the capital asset pricing model (CAPM) is that all agents invest in the portfolio with the highest Sharpe ratio, or expected excess return per unit of risk, and leverage or de-leverage this portfolio to suit their risk preferences. However, many investors — such as individuals, pension funds and mutual funds — are constrained in the leverage that they can take, and therefore overweight risky securities instead.
Journal Article
An Alternative Future: Part I
January 1, 2004
Depending on whom you ask, hedge funds are either the wave of the future or a dangerous fad that has been grossly overcapitalized, and all will end in ruin.
Book
Challenges and Innovation in Hedge Fund Management
August 2, 2004
The increasing institutionalization of hedge funds brings with it many challenges. AQR's Cliff Asness provides an assessment of key issues that arise as a consequence, focusing on the areas of benchmarking, transparency, fees, and risk management.
Alternative Thinking
The Role of Alternative Beta Premia
3Q 2012
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
Journal Article
An Alternative Future: Part II
October 1, 2004
In Part 1 of "An Alternative Future," I articulated a vision of hedge funds plus traditional index funds replacing traditional active management as the investing model of the future.
Journal Article
Sources of Change and Risk for Hedge Funds
February 1, 2004
Hedge funds are becoming much more institutionalized.