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Perspective

The George Costanza Portfolio

In a follow-up to Liquid Alt Ragnarök?, Cliff shows the results of an illustrative portfolio that does the opposite of what we’d normally do in the spirit of George Costanza, who in one episode of Seinfeld decided he must, in all things, do the opposite of what he’d normally do.

Perspective

Liquid Alt Ragnarök?

Cliff discusses the recent tough times for quantitative factor-based liquid alts and makes the case for why the painful and difficult times are a big part of why our quantitative factors are real and can improve long-term results for those who can allocate part of their portfolio to them and then stick with it.

Perspective

But What About October?

This year of pain in liquid alternatives has continued. Cliff shows the results of an AQR representative liquid alts portfolio and based on an analysis of it, discusses how our investment process and our long-term liquid alts record remains sound, how October was disappointing but not a particularly abnormal outcome, and how our process has been well-behaved over time, particularly compared with the market portfolio.

Perspective

Once More, Without Feeling

Cliff discusses why many of the breathless articles and TV headlines we’ve seen lately about the overall U.S. stock market are just not that interesting.

Perspective

Introducing the New AQR S.M.O.O.T.H. Fund

Cliff offers some insights into the world of smoothed returns with a healthy dose of satire.

Podcast

Taking Stock of Stock Myths

There is risk in every investment. This episode delves into three specific kinds of equity risks that tend to weigh on investors: home bias, market timing and inflation.

Alternative Thinking

It Was the Worst of Times: Diversification During a Century of Drawdowns

We use nearly 100 years of data to evaluate the effectiveness of diversifying investments during the worst of times for most portfolios and find that attempting to tactically avoid equity sell-offs is likely to disappoint.

White Paper

Transactions Costs: Practical Application

We offer guidance on understanding transactions costs, including a discussion of the practical aspects of measuring them and the pitfalls one might face when trying to compare costs across managers.

White Paper

Understanding the Volatility Risk Premium

The volatility risk premium (VRP) represents the compensation that investors earn for providing protection against market losses. We explain the reasons why it may exist and explore its historical performance with a simple option-selling strategy.