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Macro Wrap-Up
Dollar Signs
September 18, 2020
Stocks are up, but the U.S. dollar is down against many other currencies. Does it feel like the dollar does all of the work but gets none of the credit? This week we look at the unbalanced relationship between U.S. equity markets and the dollar.
Perspective
There Is No Size Effect: Daily Edition
September 18, 2020
We have written several pieces on the famous small-firm or size effect, the two most important being our study of the interaction of size and quality and a fairly comprehensive survey of all things size. This note focuses on daily instead of the longer-horizon data studied in these other papers and, while not changing the overall story, this leads to a powerful illustration of what’s going on in small stocks.
Macro Wrap-Up
Celebrating the Entire Catalog of Economic Data
June 12, 2020
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.
News
AQR’s Response to Recent Events and Views on Diversity
June 12, 2020
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.
Macro Wrap-Up
This One is on the House
May 29, 2020
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
May 29, 2020
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.
Macro Wrap-Up
Conflict of Interest Rates
May 15, 2020
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?
Perspective
Is (Systematic) Value Investing Dead?
May 8, 2020
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.
Alternative Thinking
2020 Capital Market Assumptions for Major Asset Classes (Supplemental Estimates as of March 31, 2020)
May 6, 2020
This supplement provides a special update to our estimates of medium-term (5- to 10-year) expected returns for major asset classes. This update reflects the large changes in prices for many asset classes due to the impact of COVID-19 in Q1 2020.