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AQR Named a P&I Best Place to Work in Money Management for Eighth Consecutive Year

AQR has been recognized as one of Pensions & Investments’ Best Places to Work in Money Management for 2024, marking the eighth consecutive year that the firm has received this distinction.

Data Set

How Do Factor Premia Vary Over Time? A Century of Evidence, Factor Data Monthly

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, Monthly

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

The Devil in HML's Details: Factors, Daily

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: Factors, Monthly

We have updated and extended the data set for the paper, “Value and Momentum Everywhere.” Our research shows consistent value and momentum return premia in eight diverse markets and asset classes, and a common factor structure among their returns.

Data Set

Value and Momentum Everywhere: Portfolios, Monthly

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.

CNBC Interviews AQR’s Jordan Brooks, Co-Head of the Macro Strategies Group

Jordan Brooks, AQR Principal and Co-Head of the Macro Strategies Group, recently was interviewed on CNBC. In the wide-ranging discussion, Jordan talked about the elevated level of macroeconomic certainty, why it may lead to more market volatility ahead, and how diversifying liquid alternatives can help investors’ build portfolios that are more resilient to macro risks.

Perspective

The Less-Efficient Market Hypothesis

I argue that over the past 30+ years markets have become less informationally efficient in the relative pricing of common stocks, particularly over medium horizons

Financial Times Interviews Cliff Asness

AQR Managing Principal Cliff Asness was interviewed for a Q&A feature in the Financial Times’ Unhedged column.

AQR Paper Wins Best Article in the 25th Annual Bernstein Fabozzi/Jacobs Levy Awards

AQR’s “Fact, Fiction, and Factor Investing” was awarded the 25th Annual Bernstein Fabozzi/Jacobs Levy Award for Best Article published in The Journal of Portfolio Management during the volume year 2023.