September 26, 2018
We use nearly 100 years of data to evaluate the effectiveness of diversifying investments during the worst of times for most portfolios and find that attempting to tactically avoid equity sell-offs is likely to disappoint.
Fixed Income
December 17, 2018
Do fixed income (FI) managers generate alpha? We take a deep dive into the determinants of excess of benchmark returns for a broad set of popular active FI categories.
Macroeconomics
December 14, 2018
This week we look back on 2018 and try to be optimistic about 2019.
Retirement
December 12, 2018
We examine the rate of return needed to deliver a comfortable retirement based on current savings rates as well as intelligent ways to construct portfolios to achieve this rate of return.
Equities
December 12, 2018
We propose a method for constructing conditional option return distributions.
Macroeconomics
December 7, 2018
This week we look at important changes to the Powell Fed's approach to economic data.
Macroeconomics
November 30, 2018
This week we look at surprises in economic data and try not to play favorites with the releases.
Macroeconomics
November 16, 2018
This week's Wrap-Up looks beneath the headlines as to what's going on in the Chinese economy.
Market Risk and Efficiency
November 7, 2018
We provide a framework for identifying accounting numbers that indicate risk and expected return.
Volatility
October 31, 2018
AQR Principal Roni Israelov answers questions about the volatility risk premium (VRP), including how it is similar to other alternative risk premia and how AQR implements it.
Alternative Investing
October 18, 2018
We explore currency exposures in international equity portfolios by decomposing the optimal currency portfolio into a “hedge portfolio,” which minimizes equity volatility, and an “alpha seeking portfolio” based on the well-documented currency styles of value, momentum and carry.
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