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White Paper
It's Alpha to You
October 1, 2009
Many investors think of alpha as excess returns from active management accessed through manager skill in security selection. We discuss a different, more systematic method of increasing expected returns.
White Paper
Building a Better Long/Short Equity Portfolio
July 1, 2013
Conventional approaches to long/short equity (LSE) can introduce unintended risks. We propose an alternative approach that may more efficiently harvest the returns underlying LSE investing, while providing greater transparency and better risk control.
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.
White Paper
Is Alpha Just Beta Waiting to Be Discovered?
July 1, 2012
We believe the rise of hedge fund betas will lead not only to the reclassification of alpha but may lead to better diversified portfolios with improved risk control and, therefore, better potential to achieve long-term return targets.
Journal Article
Do Hedge Funds Add Value?
January 1, 2002
If an investor can find an asset that is uncorrelated with his or her portfolio and has a positive expected return, that asset may be very valuable at improving the risk-adjusted return of the entire portfolio.
Journal Article
Do Hedge Funds Hedge?
September 1, 2001
Intentionally or unintentionally, hedge funds appear to price their securities at a lag, we found in a cursory examination of monthly returns from 1994-2000.
Journal Article
The Future Role of Hedge Funds
January 1, 2006
Hedge funds represent the future of active management, and that future will consist of two complementary elements.
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.
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.
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.