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Perspective
Response to Miles Johnson
May 16, 2016
Cliff disagrees with the ways certain members of the press have established their annual lists of the top hedge fund earners. In his view, the math was simply bad and intentionally misleading.
Perspective
An Annual Article About Nothing
May 5, 2015
Cliff examines a popular front-page New York Times article covering the top hedge fund earners.
Perspective
Risk Parity: Why We Lever
September 24, 2014
The role of leverage in risk parity is often misunderstood. For risk parity investors, there may be benefits to using modest leverage—it helps them build a more diversified, more balanced, and potentially higher-return-for-the-risk-taken portfolio.
Perspective
Putting Parity Performance Into Perspective
December 3, 2015
Cliff discusses the blame placed on risk parity for having caused the market’s August sell-off. Critics made a silly choice to go all tin-foil-hat instead of just doing what people usually do—attack recent performance.
Perspective
Risk Parity: The Dog That Did Not Bite
September 21, 2015
Commentators are blaming risk parity as a driving force behind August's equity market volatility. We think this is short-term silliness, and explain why we believe risk parity isn't the cause.
Perspective
Risk Parity Is Even Better Than We Thought
June 1, 2015
It’s not all or nothing when it comes to risk parity. Investors typically think they should be all 60/40 or all risk parity, but we think there's merit in adding risk parity to an existing 60/40 portfolio.
Perspective
Hotel California: You Can Never Leave, Until You Are Asked To
September 16, 2014
For quite some time, we’ve been arguing that hedge funds are too correlated with equity markets. Given CalPERS’ recent decision to liquidate its hedge fund portfolio, we thought it a good time to review our thoughts on the hedge fund industry.
Perspective
Hedge Funds: The (Somewhat Tepid) Defense
October 24, 2014
Some pension plans’ recently deciding to eliminate their hedge fund programs led us to review some of AQR’s long-standing comments on the industry—that they should be more fully hedged, more transparent, and delivered at a lower fee.
Bibliography
Trend Following
January 8, 2015
Here is a selected list of books, journal articles and working papers that we found helpful in developing our research around Trend Following strategies.
DC Solutions
Risk Parity in Target-Date Funds
December 2, 2014
Target-date funds (TDF) have a few shortcomings, but we believe that implementing risk parity as a sleeve within a TDF can help—by potentially enhancing returns, mitigating risk and reducing portfolio drawdowns.