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Journal Article
Investing with Style
January 2, 2015
Investors are bombarded with a variety of investment strategies and alternatives from an ever-growing and increasingly complex financial industry, each claiming to improve returns and reduce risk.
Journal Article
Common Factors in Corporate Bond and Bond Fund Returns
March 1, 2018
This paper undertakes a comprehensive analysis of cross-sectional determinants of corporate bond excess returns. We find strong evidence of positive risk-adjusted returns to measures of carry, defensive, momentum and value.
Journal Article
Fact, Fiction, and the Size Effect
May 14, 2018
Despite its long and illustrious history, much confusion about the size effect remains. We examine common claims about the size effect and seek to clarify some of the misunderstanding surrounding it.
Working Paper
Implementing Momentum: What Have We Learned?
December 26, 2017
We use seven years of live data to evaluate the implementability of momentum investing.
White Paper
Building a Better Alternatives Portfolio (European Version)
September 1, 2011
Alternative strategies are valuable tools for potentially enhancing portfolio returns and are becoming widely accessible. We delve into alternatives and discuss why we believe multistrategy alternatives should be at the core of an alternatives allocation.
White Paper
Building a Better Core Equity Portfolio
May 1, 2013
We believe that style-based investing represents a better approach to traditional active equity portfolio management, by focusing on sources of excess returns that may be more pervasive and persistent. These factors include value, momentum and profitability.
White Paper
A Better Approach to Alternative Investing
May 1, 2013
The goal of a portfolio is to maximise risk-adjusted return. Adding alternative investments to a traditional portfolio is a way to potentially do this, reducing downside risk while maintaining or even increasing the portfolio's expected return.
White Paper
A New Core Equity Paradigm
March 1, 2013
Combining successful investing styles to magnify their effects represents a new paradigm in active equity-portfolio management. Core Equities integrates value, momentum and profitability styles to offer a more persistent, systematic approach.
White Paper
The Case for Momentum Investing
Although a powerful investment style, momentum was largely unavailable to many investors. The introduction of the AQR Momentum Indices has been a pivotal development in momentum’s acceptance as an investment strategy.
White Paper
Measuring Factor Exposures: Uses and Abuses
July 15, 2017
A growing number of investors have come to view their portfolios (especially equity portfolios) as a collection of exposures to risk factors.