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Perspective
The George Costanza Portfolio
October 22, 2018
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.
Perspective
Liquid Alt Ragnarök?
September 7, 2018
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.
Perspective
But What About October?
November 23, 2018
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.
Perspective
Once More, Without Feeling
December 19, 2018
Cliff discusses why many of the breathless articles and TV headlines we’ve seen lately about the overall U.S. stock market are just not that interesting.
Perspective
Introducing the New AQR S.M.O.O.T.H. Fund
February 25, 2019
Cliff offers some insights into the world of smoothed returns with a healthy dose of satire.
Journal Article
Do Hedge Funds Add Value?
January 1, 2002
If an investor can find an asset that is uncorrelated with his or her portfolio and has a positive expected return, that asset may be very valuable at improving the risk-adjusted return of the entire portfolio.
Journal Article
Theoretical Foundations II
January 1, 2002
Historically, high price-to-earnings ratios (P/Es) have led to low returns in the stock market, and low P/Es have led to high returns.
Journal Article
Surprise! Higher Dividends = Higher Earnings Growth
January 2, 2003
Marketwide dividend-payout ratios in the U.S.
Journal Article
Rubble Logic: What Did We Learn From the Great Stock Market Bubble?
January 11, 2005
On the face of it, using historical stock returns to forecast for the future seems unimpeachable.
Journal Article
OAS Models, Expected Returns and a Steep Yield Curve
January 1, 1993
An upward-sloping yield curve indicates that either investors expect rates to rise or they require a higher expected return on longer-term securities.