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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.
Interview
Words From the Wise DB Plans Glossary
March 18, 2015
This appendix provides some terminology and key concepts as background for AQR's discussion with Martin Leibowitz of Morgan Stanley.
Perspective
Yes, Lever, but With Care
February 13, 2015
Conventional wisdom holds that sensible investors avoid leverage. Cliff Asness argues that, if prudently employed, portfolio leverage can be beneficial in modest doses, with proper concern for its dangers.
Data Set
Commodities for the Long Run: Index Level Data, Monthly
October 3, 2018
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.
Data Set
Commodities for the Long Run: Original Paper Data
October 3, 2018
This is the original data set used for our 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.
Data Set
An Academic-Quality Data Library for Practitioners
October 5, 2017
The data library contains historical and updated return series from the increasing roster of papers and indices associated with AQR.
Data Set
About the AQR Data Library
October 5, 2017
Each data set is associated with a specific paper. Users can view and download all related return series at once, or select a subset of series as an excel file.
Interview
Words From the Wise: An AQR Interview with Ed Thorp
January 10, 2018
We sat down with Ed Thorp, a pioneer in the mathematical analysis of casino games and investing, to get his insights on an array of topics from casino gambling to quantitative investing.
Journal Article
Reliability of Asset Revaluations: The Impact of Appraiser Independence
December 2, 2002
In this paper we use a sample of recognized Australian asset revaluations to examine whether there are differences in the reliability of asset revaluations made by boards of directors versus independent (external) appraisers.
Journal Article
Slow-Moving Capital
May 1, 2007
Unlike textbook arbitrageurs who instantaneously trade when prices deviate from fundamental values, real-world arbitrageurs must overcome various frictions.