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Working Paper
The Tax Benefits of Direct Indexing
May 7, 2021
An investor holding a direct indexing portfolio can obtain tax benefits by harvesting losses on individual stock positions. We show that investors with allocations to hedge funds and derivatives are the most likely category of investors to have systematic short-term capital gains in their portfolios and, therefore, benefit the most from losses harvested by direct-indexing strategies. We show how tax benefits are affected by equalizing the tax rate applicable to long-term and short-term capital gains.
Data Set
Time Series Momentum: Factors, Monthly
April 30, 2021
We have updated and extended our data set for “Time Series Momentum" (Moskowitz, Ooi and Pedersen, 2012), in which we document an asset-pricing anomaly that is consistent across different asset classes and markets. We update the returns monthly.
Working Paper
Limitation on Trader Fund Losses under the CARES Act of 2020
March 3, 2021
We explain how hedge fund investors might be affected by a limitation on excess business losses codified in recent tax legislation. In order to allocate business losses a hedge fund now must be a trader fund. After explaining the relationship between hedge fund losses and business losses, we illustrate with simple examples how the new provisions may affect hedge fund investors.
Data Set
Commodities for the Long Run: Index Level Data, Monthly
December 31, 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.
Sic Transit Gloria Mundi
February 25, 2020
To quote Kipling, it’s crucial to “meet with Triumph and Disaster and treat those two imposters just the same.” Cliff explains that throughout the good and bad times, we’ve stressed that long-term investment success is about sticking with real but modest edges.
White Paper
Market Crashes and Merger Completions
February 24, 2020
A primary concern in mergers and acquisitions is the risk that the deal may be cancelled before completion. We document that this "interim risk" varies asymmetrically with the aggregate stock market: When the market falls sharply, cash deals are more than twice as likely to be cancelled.
Perspective
The Illiquidity Discount?
December 19, 2019
Conventional wisdom is you get an expected return premium for bearing illiquidity. But what if this is backwards? What if investors will actually pay a higher price and accept a lower expected return for very illiquid assets?
Interview
Meet the Expert: Todd Pulvino on Diversified Arbitrage
November 22, 2019
Todd Pulvino, Principal of CNH Partners, an affiliate of AQR, explains what Diversified Arbitrage strategies are and how they tend do perform during different economic cycles.
White Paper
Chasing Your Own Tail (Risk), Revisited
November 19, 2019
As investors turn to addressing the risk of a severely declining market, we summarize five approaches to building a more resilient portfolio.
Journal Article
Lot Layering: The New Frontier for Hedge Fund Partnership Allocations
October 11, 2019
Despite its unavoidable deficiency caused by current regulations, we believe that lot layering aligns tax and economics more closely than any of the “aggregation” methods presently used by most hedge funds.