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Podcast
Taking Stock of Stock Myths
September 19, 2018
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.
Journal Article
Which Risks Have Been Best Rewarded?
December 1, 2004
An empirical study examines the consistency of rewards for bearing various types of risks in U.S.
Journal Article
Working Your Tail Off: Active Strategies vs. Direct Hedging
June 1, 2015
Economic theory and empirical evidence support the idea that investors should, over the long term, be compensated for bearing risk.
Perspective
Response to Thomas Hoenig’s “Why ‘Risk-Based’ Capital Is Far Too Risky”
August 18, 2016
My colleagues have written a response to Thomas Hoenig's recent WSJ op-ed "Why 'Risk-Based' Capital Is Far Too Risky." Hoenig's recommended approach to managing leverage risk using a "simple" notional leverage limit reminds us of Einstein's famous purported comment to make things as simple as possible, but not simpler. The authors believe that Hoenig's approach fails to meet the Einstein test.
Perspective
Liquid Alt Ragnarök?
September 7, 2018
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.
Journal Article
The Small World of Investing: Board Connections and Mutual Fund Returns
May 1, 2007
Information moves security prices.
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
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.
Perspective
Quant Cassandra
July 2, 2019
If all of us, as investors, can persevere, we believe the long-term benefits are great. But even knowing all this in advance doesn’t make it easy. Hopefully, this reminder of what we all knew sixteen long months ago is helpful.
Perspective
Serenity Now
June 20, 2019
What can you do when you are going through a very tough time? You continue to invest in the business including building the highest quality teams in the industry.