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Macro Wrap-Up

It's Not Me, It's EU

When domestic markets are up double digits on the quarter, it’s easy to forget that there are others out there. This week we look at why European equities are having a good quarter, but still lag their counterparts in the US on the year.

Macro Wrap-Up

Celebrating the Entire Catalog of Economic Data

If you think recent economic data has been confusing, you are not alone. This week we look at the employment report and give you some "pro tips" to help understand the data in a volatile world.


AQR’s Response to Recent Events and Views on Diversity

The tragic events that have unfolded over the past few weeks are unimaginably senseless and deeply concerning. They have further brought to light inequality, exclusion and bias across our country. Given this, we wanted to take a moment to share how this has impacted our firm, summarize our ongoing efforts and outline our continued commitment to diversity and inclusion.

Data Set

Value and Momentum Everywhere: Portfolios, Monthly

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.

Data Set

Value and Momentum Everywhere: Factors, Monthly

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.

Macro Wrap-Up

This One is on the House

This week we look at the state of the U.S. housing market and the role it may play in the economic recovery.

Data Set

Commodities for the Long Run: Index Level Data, Monthly

We have updated the data set for the paper “Commodities for the Long Run”, in which we analyze a novel data set of commodity futures prices going back to 1877, allowing us to show that returns of commodity futures indices have, on average, been positive over the long run. We update the data monthly.

White Paper

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

Some have blamed the interest rate environment for value stocks’ underperformance of growth stocks from 2017 to early 2020, as well as the stretch of lackluster performance for some value factors since Global Financial Crisis. We find the performance of value is not easily assessed based on the interest rate environment, and that factor timing strategies based on interest rate-related signals are likely to perform poorly.

Macro Wrap-Up

Conflict of Interest Rates

The last Wrap-Up looked at negative prices in oil. This week we look at how the trend has now spread to Fed Funds Futures. Is no market safe from all of this negativity?


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.