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Book

The Valuation of PAC Bonds Without Complex Models

Using static yields on mortgage securities is insufficient to make good investment choices. We present a simple model that can be useful in identifying value across at least one popular class of CMO securities: the Planned Amortization Class bond.

Book

Fundamental Differences Between Agency and Non-Agency Mortgage-Backed Securities

There are many differences between agency and non-agency mortgage-backed securities, which can affect our opinion about their relative value and risk. This chapter explains and illustrates these differences using a simple example.

Book

Forward Rates and CMO Portfolio Management

Forward rates, because of their perceived role in forecasting future interest rates, occupy a special place in fixed-income analysis. We focus on how forward rates are used in analyzing CMOs and discuss when usage is warranted and misguided.

Interview

Cliff Asness on Bloomberg Television

Cliff Asness was interviewed on Bloomberg Television about AQR’s expansion into fixed income. The segment focused on our diversified, factor-based approach relative to traditional fixed income portfolios.

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.

Perspective

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.

Perspective

Resisting the Siren Song of Factor Timing

It seems that now everyone wants to time factors. In his JPM editorial piece, Cliff argues that investors should resist this siren song.

Perspective

Caveat Investor?

We delve into the ins and outs of the Department of Labor’s Fiduciary Rule which extends a fiduciary duty to a broad set of investment advisors who provide recommendations to certain retirement plans.

Perspective

Cliff's Perspective

AQR has launched Cliff’s Perspective—a running commentary written by Managing and Founding Principal Cliff Asness that will provide insight on investment topics and possibly spearhead further research.

Perspective

Lies, Damned Lies, and Data Mining

Data mining, finding in-sample returns that are not real, but random, is a real problem in our field, with plenty of dangers. Cliff Asness discusses the issue and the recent accusation that the industry has data mined factors