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Perspective

Banter Is Coming

We have a lot of great topics and special guests coming up on season two of The Curious Investor.

Perspective

Our Hat into the Podcasting Ring

Cliff discusses the launch of the AQR podcast, The Curious Investor.

Perspective

Efficient Frontier “Theory” for the Long Run

Financial theory has taken a lot of abuse recently, specifically some of the basic tenets of modern portfolio theory. We think it's better to step back and judge ideas over the long-term and we show why.

Perspective

It Ain't What You Don't Know That Gets You Into Trouble

My colleagues have written two papers questioning things we thought we knew. The first questions what we really know about current stock market valuations forecasting long-horizon future returns and the second explores whether or not the size effect really exists.

Perspective

Sin a Little

We apply value and momentum investing—which we believe to be the strongest empirical regularities in finance—to the age-old task of market timing, long been regarded by many as an investing sin. We find that investors may benefit from a modest amount of marketing timing.

Perspective

The Illiquidity Discount?

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?

Perspective

AQR Insight Award 2018

Cliff discusses the winners of the 2018 AQR Insight Award.

Perspective

Never Has a Venial Sin Been Punished This Quickly and Violently!

Three months ago in “It’s Time for a Venial Value-Timing Sin,” Cliff demonstrated the value factor’s historic cheapness, suggesting it’s time to “sin a little” and modestly overweight value. While portfolio tilts are seldom promptly rewarded, it’s also rare they are instantly punished. In this piece, Cliff shows how 2020 has been the exception to the rule, as value has begun this year with its worst loss in its decade-long drawdown.

Perspective

Going Deep on Contrarian Factor Timing

We studied all the interesting things that happen when some stocks, or other assets, get deeply cheap while others get deeply expensive, and learn more about value investing and how timing works when increasing breadth of comparisons.

Alternative Thinking

Ideas for a Low-Expected-Return World

There are different ways to achieve ambitious real return targets, but we think risk-balanced diversification across well-chosen return sources is the most reliable, strategic approach.