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Perspective
Still Crazy After All This YTD
May 9, 2022
Over these additional three months, value’s returns, as we measure them, have continued apace. Since February, the value spread has fallen slightly, though it remains near its tech bubble peak, at around a 95th percentile. Reminder — a massive valuation dislocation says very little about the timing of when it falls back to earth. But it’s nice to see it start and still leave the spread incredibly high.
2022 AQR Top Finance Graduate Award Winners Announced
May 5, 2022
AQR Capital Management and Copenhagen Business School are pleased to announce the winners of the 2022 AQR Top Finance Graduate Award at Copenhagen Business School.
Data Set
How Do Factor Premia Vary Over Time? A Century of Evidence, Factor Data Monthly
April 30, 2022
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
March 31, 2022
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, Monthly
March 31, 2022
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
March 31, 2022
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
March 31, 2022
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.
Perspective
That’s It, That’s the Update
February 4, 2022
Over these past two months, value’s returns, as we measure them, have been incredibly strong. This has killed the value spread. That is, it’s about as high as it was in the tech bubble. Just not as high as a few months ago. Yes, “killed” was sarcasm.
AQR Research Papers Win Four Prestigious Awards
February 1, 2022
AQR-authored research recognized in annual awards from the Financial Analysts Journal, Journal of Portfolio Management and Journal of Investment Management
AQR Named a Best Place to Work for LGBTQ+ Equality for the Fourth Year in a Row
January 27, 2022
AQR has again earned a perfect score in the Human Rights Campaign’s Corporate Equality Index (CEI), making the firm one of the “Best Places to Work for LGBTQ+ Equality” for the fourth consecutive year.