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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.
White Paper
Building a Better Alternatives Portfolio
October 1, 2011
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)
September 1, 2011
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
October 1, 2011
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
May 31, 2018
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
September 16, 2014
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”)
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.
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.
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