Perspective

But What About October?

This year of pain in liquid alternatives has continued. Cliff shows the results of an AQR representative liquid alts portfolio and based on an analysis of it, discusses how our investment process and our long-term liquid alts record remains sound, how October was disappointing but not a particularly abnormal outcome, and how our process has been well-behaved over time, particularly compared with the market portfolio.

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Alternative Investing

The George Costanza Portfolio

In a follow-up to Liquid Alt Ragnarök?, Cliff shows the results of an illustrative portfolio that does the opposite of what we’d normally do in the spirit of George Costanza, who in one episode of Seinfeld decided he must, in all things, do the opposite of what he’d normally do.

Alternative Investing

Liquid Alt Ragnarök?

Cliff discusses the recent tough times for quantitative factor-based liquid alts and makes the case for why the painful and difficult times are a big part of why our quantitative factors are real and can improve long-term results for those who can allocate part of their portfolio to them and then stick with it.

Alternative Investing

Our Hat into the Podcasting Ring

Cliff discusses the launch of the AQR podcast, The Curious Investor.

Asset Allocation

It Ain't What You Don't Know That Gets You Into Trouble

My colleagues have written two papers questioning things we thought we knew. The first questions what we really know about current stock market valuations forecasting long-horizon future returns and the second explores whether or not the size effect really exists.

Alternative Investing

AQR Insight Award 2018

Cliff discusses the winners of the 2018 AQR Insight Award.

Alternative Investing

The Hedgie in Winter

Cliff explains once again why hedge fund returns shouldn’t be compared to 100% long equities, how to do a more proper comparison, and then shares results.

Behavioral Finance

Perhaps the Most Important Essay I Will Ever Co-Author

We model when a hockey coach should pull the goalie when trailing and then discuss how our results relate to key lessons for portfolio and risk management, and business in general.

Market Risk and Efficiency

Wild but Not Crazy

Just how volatile was the recent market ride? Cliff Asness puts the volatility into perspective in terms of both its absolute and surprise levels.

Trading

High-Frequency Derangement Syndrome

Commentators are still blaming the wrong strategies for the recent market rout.

Risk Parity

Risk Parity Derangement Syndrome

Cliff Asness explains why risk parity and trend-following strategies are not to blame for the recent market volatility.