themes

CHIEF INVESTMENT QUARTERLY
Chief Investment Quarterly

The CIQ newsletter focuses on a wide array of themes such as retirement policy, macroeconomic insights, and investment ideas for this community.

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Systematic Investing

Systematic investing requires a rigorous, clear and consistent process for making investment decisions. Here,we delve into how this approach works in practice—and more importantly, why?

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Macro Wrap-Up

The AQR Macro Wrap-Up is a biweekly summary distributed to clients focusing on macroeconomic themes. This piece looks at current events and how they affect market movements and reactions.

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Portfolio Construction

Diversification. Craftsmanship. What goes into building an effective portfolio? We’ve rounded up our best thinking on the topic.

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Cliff's Perspectives

Value  

Is (Systematic) Value Investing Dead?

When value has underperformed for so long, it’s natural and proper that people wonder if it’s ever going to work again. To test the popular explanations for why value investing is “broken,” Cliff tweaks the value factor’s construction to remove the stocks that best fit these stories. He finds no “this time is different” explanation holds water, affirming our belief that the medium-term odds are rather dramatically on value’s side.

Cliff Asness, AQR

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Value  

The Valuesburg Address

Value  

Never Has a Venial Sin Been Punished This Quickly and Violently!

Alternative Investing  

The Illiquidity Discount?

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data Sets

Simulated returns from published articles (or working papers) by researchers associated with AQR, and returns from the AQR Momentum Indexes.

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Learning Center

Systematic Equities Investing

Rigorous, transparent and repeatable. We explain how and why a scientific approach to equity investing works, and delve deeper into several techniques.

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Risk Management

The risk management function in asset management is central to the investment process. We outline the framework of an enterprise risk management system and explain how it should fit in the business.

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Tax-Aware Investing

A tax-aware investment approach can help taxable investors achieve their financial goals. Here we explain what tax-aware investing strategies are and how they may fit into an investor’s portfolio.

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All Insights

Macroeconomics

It's Not Me, It's EU

Macroeconomics

Celebrating the Entire Catalog of Economic Data

Factor/Style Investing

Value and Momentum Everywhere: Portfolios, Monthly

Factor/Style Investing

Value and Momentum Everywhere: Factors, Monthly

Macroeconomics

This One is on the House

Alternative Investing

Commodities for the Long Run: Index Level Data, Monthly

Value

Value and Interest Rates: Are Rates to Blame for Value’s Torments?

Macroeconomics

Conflict of Interest Rates

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