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Perspective

Response to Miles Johnson

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

Cliff examines a popular front-page New York Times article covering the top hedge fund earners.

Perspective

Risk Parity: Why We Lever

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

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

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

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

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

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

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

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.