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Journal Article

Do Hedge Funds Add Value?

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?

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.

White Paper

Building a Better Alternatives Portfolio

Alternative strategies are valuable tools for potentially enhancing portfolio returns and are becoming widely accessible in mutual funds. We delve into alternatives and discuss why we beleive multistrategy alternatives should be at the core of an alternatives allocation.

White Paper

Building a Better Alternatives Portfolio (European Version)

Alternative strategies are valuable tools for potentially enhancing portfolio returns and are becoming widely accessible. We delve into alternatives and discuss why we believe multistrategy alternatives should be at the core of an alternatives allocation.

Book

AQR's DELTA Strategy

In late 2007, AQR focused its years of research on capturing the classical hedge fund strategies in a systematic way by "creating our own product that would seek to deliver these strategies in a risk-balanced and efficiently implemented way.

Perspective

The Hedgie in Winter

Cliff explains once again why hedge fund returns shouldn’t be compared to 100% long equities, how to do a more proper comparison, and then shares results.

Perspective

Hotel California: You Can Never Leave, Until You Are Asked To

For quite some time, we’ve been arguing that hedge funds are too correlated with equity markets. Given CalPERS’ recent decision to liquidate its hedge fund portfolio, we thought it a good time to review our thoughts on the hedge fund industry.

Perspective

Hedging on Hedge Funds (postscript on correlations, beta, and “alpha”)

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.

Journal Article

Betting Against Beta

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.

Alternative Thinking

The Role of Alternative Beta Premia

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