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Perspective
The George Costanza Portfolio
October 22, 2018
In a follow-up to Liquid Alt Ragnarök?, Cliff shows the results of an illustrative portfolio that does the opposite of what we’d normally do in the spirit of George Costanza, who in one episode of Seinfeld decided he must, in all things, do the opposite of what he’d normally do.
Perspective
Factor Investing Explicitly Tries to Look Lousy on Active Share
November 10, 2016
There has been much ink, and maybe even some blood, spilled debating the merits of “Active Share” for judging an investment fund. Cliff reviews the frequent misueses of active share, especially related to applying it factor investing
Perspective
Active Share: Different Does Not Equal Better
April 10, 2015
A buzzword in the investment community these days is active share, a specific way to measure how different a portfolio is from its benchmark. But does it predict higher excess returns? Our AQR white paper, “Deactivating Active Share,” takes a look.
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
Once More, Without Feeling
December 19, 2018
Cliff discusses why many of the breathless articles and TV headlines we’ve seen lately about the overall U.S. stock market are just not that interesting.
Alternative Thinking
It Was the Worst of Times: Diversification During a Century of Drawdowns
September 26, 2018
We use nearly 100 years of data to evaluate the effectiveness of diversifying investments during the worst of times for most portfolios and find that attempting to tactically avoid equity sell-offs is likely to disappoint.
Trade Publication
Taking Control of Your Risk Allocation
June 3, 2015
Investors who choose risk parity are able to more fully realize the benefits of that strategy by targeting diversification and consistent total portfolio risk at each point in time.
Perspective
Introducing the New AQR S.M.O.O.T.H. Fund
February 25, 2019
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
February 8, 2019
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?
November 23, 2018
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.