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Data Set
How Do Factor Premia Vary Over Time? A Century of Evidence, Factor Data Monthly
June 30, 2023
This is the updated data set related to the paper “How Do Factor Premia Vary Over Time? A Century of Evidence,” in which we examine four prominent factor premia – value, momentum, carry, and defensive – over a century from six asset classes.
Data Set
The Devil in HML's Details: Factors, Daily
June 30, 2023
We have updated and extended our data set for “The Devil in HML’s Details” (Asness and Frazzini, 2013). We include long/short HML Devil returns for the U.S. and 23 international equity markets updated monthly.
Data Set
Value and Momentum Everywhere: Portfolios, Monthly
May 31, 2023
We have updated our data set for our paper “Value and Momentum Everywhere,” in which we find consistent value and momentum return premia across eight diverse markets and asset classes, and a common factor structure among their returns.
AQR Wins ‘Quantitative Hedge Fund Manager of the Year’ Award from Institutional Investor
May 15, 2023
AQR was awarded “Quantitative Hedge Fund Manager of the Year” at the Institutional Investor 20th Annual Hedge Fund Industry Awards. The awards were presented at a ceremony in New York City on May 11, 2023.
White Paper
Re-Emerging Equities
March 28, 2023
The expected premium for investing in emerging versus developed equity markets is on the upper end of its past 25-year range. At the same time, many of the risks historically associated with emerging markets have secularly declined. We believe there is a strong case for investors to “re-up” their emerging allocations.
Bloomberg TV Interviews Cliff Asness
February 23, 2023
In a Bloomberg TV interview, AQR Managing Principal Cliff Asness discussed value’s continued outperformance, the still low expected returns for traditional assets, the benefits of liquid alternatives and more.
Quick Takes
Top Three Investment Ideas to Consider for 2023
Q1 2023
Watch a Quick Take on our Portfolio Solutions Group’s top three investment ideas for 2023.
Perspective
Holding Our Breadth
February 6, 2023
Regular readers probably noticed I’ve been talking a lot about value lately. While I’m all for shining the spotlight onto the value dislocation, my colleagues also continue to produce a great breadth of research worth adding to your non-value-reading-list. I preview some of my recent favorites.
White Paper
Value: Why Now? Capturing the Comeback in Its Early Innings
Q1 2023
Value has delivered attractive long-term returns but has also weathered difficult short-term periods. While these times are painful for investors, the subsequent recoveries are lucrative for those that stick with the factor. We summarize the evidence for why we believe long/short value continues to be an exceptional go-forward opportunity and how investors can adapt their portfolios accordingly.
Perspective
The Bubble Has Not Popped
January 4, 2023
This post updates our value spread with data through the end of 2022. The fourth quarter of 2022 saw value recover from the bout of temporary insanity that gripped some portion of the market over the summer, but the spread ends 2022 very much still in rarified territory – at the 94th percentile, to be precise. More excitingly for 2023, value’s returns in 2022 were extremely strong, and the spread only moved from roughly the 100th percentile to the 94th, which makes us very optimistic about the prospects of continued normalization in 2023 and beyond.