Investment innovation at the intersection of technology, data and behavioral finance.
It's in our DNA.

Explore Our Firm
Perspective

The Replication Crisis That Wasn’t

Factor investing has long faced criticisms of data mining, and more recently faced another criticism – some backtests might never have been right to begin with. A growing body of mostly well-done papers examine these issues, generally concluding that factors have been disappointing since their “discovery.” We’ve long addressed these concerns through robust out-of-sample evidence and a compelling theory for why a factor should work. What we’ve lacked, until now, is a formal test. My colleagues’ new paper tests brilliantly, what we have argued, largely anecdotally, for years. Their results are rather startlingly (even to me) positive for the field in general.

Read more
Journal Article

Can Machines "Learn" Finance?

Can Machines “Learn” Finance?” was named the winner of the 2020 Harry M. Markowitz Award. Machine learning for asset management faces a unique set of challenges that differ markedly from other domains where machine learning has excelled. We discuss a variety of beneficial use cases and potential pitfalls for machine learning in asset management, and emphasize the importance of economic theory and human expertise for achieving success through financial machine learning.

Read more
Quick Clips

Quick Clips: Estate Tax Planning and GRATs

Grantor Retained Annuity Trusts (GRATs) are a popular way for U.S. taxable investors to transfer wealth to the next generation. Hear from AQR’s Portfolio Solutions Group and Specialized Investments Group on the benefits of these estate planning tools, as well as potential ways to maximize their efficiency.

Read more

Our Approach

How we invest

Cliff's Perspectives

“Let's all be nicer to financial theory. If we stick with it long enough, it will probably be nice to us.”

Cliff Asness, Managing and Founding Principal

The Replication Crisis That Wasn’t

Factor investing has long faced criticisms of data mining, and more recently faced another criticism – some backtests might never have been right to begin with. A growing body of mostly well-done papers examine these issues, generally concluding that factors have been disappointing since their “discovery.” We’ve long addressed these concerns through robust out-of-sample evidence and a compelling theory for why a factor should work. What we’ve lacked, until now, is a formal test. My colleagues’ new paper tests brilliantly, what we have argued, largely anecdotally, for years. Their results are rather startlingly (even to me) positive for the field in general.

Read more
More from Cliff's Perspectives

Our History

From academia to industry leaders—AQR’s evolution over two decades

${cards[currentCard].year}
${year}
${tooltip.year} - ${tooltip.text}

${milestones[0].typeDisplayText}

${innovations[0].typeDisplayText}

${awards[0].typeDisplayText}

Strategies

We offer a broad range of diversified strategies based on a unified set of underlying principles.

AQR is at the nexus of economics, behavioral finance, data, and technology. Our evolution has been a continuous exploration of what drives markets and how it can be applied to client portfolios.

Investors should conduct their own analysis and consult with professional advisors prior to making any investment decisions. Diversification does not eliminate the risk of experiencing investment loss. Past performance is not a guarantee of future results. Investment process is subject to change.