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Perspective

Liquid Alt Ragnarök?

Cliff discusses the recent tough times for quantitative factor-based liquid alts and makes the case for why the painful and difficult times are a big part of why our quantitative factors are real and can improve long-term results for those who can allocate part of their portfolio to them and then stick with it.

Perspective

Introducing the New AQR S.M.O.O.T.H. Fund

Cliff offers some insights into the world of smoothed returns with a healthy dose of satire.

Perspective

Looking for the Intuition Underlying Multi-Factor Stock Selection

Cliff points out that although the benefits of combining factors into a diversified portfolio are large and well understood, one obstacle for many is gaining intuition about results. He tries to help.

Perspective

But What About October?

This year of pain in liquid alternatives has continued. Cliff shows the results of an AQR representative liquid alts portfolio and based on an analysis of it, discusses how our investment process and our long-term liquid alts record remains sound, how October was disappointing but not a particularly abnormal outcome, and how our process has been well-behaved over time, particularly compared with the market portfolio.

Journal Article

Deactivating Active Share

The authors investigate Active Share, a measure meant to determine the level of active management in investment portfolios, and find it wanting.

Alternative Thinking

Portfolio Protection? It’s a Long (Term) Story…

Investors have a natural urge to protect their portfolios from sudden crashes, even though bad outcomes that unfold over longer periods are more detrimental to reaching long-term goals. We show risk-mitigating and diversifying strategies have added value more consistently than options-based hedging over the more important, longer drawdowns.

Alternative Thinking

The Illusion of Active Fixed Income Diversification

We examine popular active fixed income categories and find that a persistent overweight to high yield credit explains the majority of fixed-income managers’ active returns. We then discuss some key implications for asset owners.

Journal Article

A Historical Perspective on Time-Varying Expected Returns

Investors naturally think about the expected returns of bonds based on their market yields, thus assuming time-varying expected returns.

Journal Article

Accruals and Future Performance: Can It Be Attributed to Risk?

We decompose broad based measures of accruals into firm specific and related firm components.

Podcast

Taking Stock of Stock Myths

There is risk in every investment. This episode delves into three specific kinds of equity risks that tend to weigh on investors: home bias, market timing and inflation.