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Trade Publication

Taking Control of Your Risk Allocation

Investors who choose risk parity are able to more fully realize the benefits of that strategy by targeting diversification and consistent total portfolio risk at each point in time.

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.

White Paper

Avoiding Unintended Country Bets in Global Equity Portfolios

Country risk is a key driver of individual stock returns, especially in emerging markets. We present several approaches to constructing active global stock portfolios as failing to control for country membership in stock returns may lead to significant misallocation of risk.

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

Chasing Your Own Tail (Risk)

The financial crisis of 2008 made investors painfully aware of tail risk. We present several approaches, when used in combination, may be effective in reducing tail risk.

White Paper

Portfolio Rebalancing, Part 1: Strategic Asset Allocation

We discuss the main considerations when designing a rebalancing process, and use a simple empirical analysis to demonstrate the drivers of relative performance over four decades.

White Paper

Risk Parity, Risk Management and the Real World

At its core, risk parity is an argument about the importance of diversification. Long term, we think the best risk parity portfolios will be those that both adopt a dynamic approach to risk management and have a plan to preserve capital in a crisis.

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.

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.