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AQR CAPITAL MANAGEMENTFEATURED THINKINGRESEARCHCLIFF'S PERSPECTIVESDATA SETSLEARNING CENTERPODCASTS AQR is at the nexus of economics, behavioral finance, data, and technology. Our evolution has been a continuous exploration of what drives markets and how it can be applied to client portfolios. Investors should conduct their own analysis and consult with professional advisors prior to 2021 CAPITAL MARKET ASSUMPTIONS FOR MAJOR ASSET CLASSES 2021 Capital Market Assumptions for Major Asset Classes. This article updates our estimates of medium-term (5- to 10-year) expected returns for major asset classes. It also includes a section on the stock-bond correlation. Selected estimates are summarized in Exhibit 1. After a volatile 2020, both equity and bond expected returns ended the year
CAREERS AT AQR
AQR is a global investment management firm built at the intersection of financial theory and practical application. We strive to deliver superior, long-term results for our clients by looking past market noise to identify and isolate what matters most, and by developing ideas that stand up to rigorous testing. Our focus on practicalinsights
TAIL-HEDGING STRATEGIES Tail-Hedging Strategies. Tail hedges are one way to potentially limit losses in adverse markets. They may better enable investors to stick with their positions through bad times and thus be long-term. Tail hedges may even create potential for investors to opportunistically pick up risky assets in times of market distress (often at fire-saleCLIFF ASNESS
Cliff's Bio. Cliff is a Founder, Managing Principal and Chief Investment Officer at AQR Capital Management. He is an active researcher and has authored articles on a variety of financial topics for many publications, including The Journal of Portfolio Management, Financial Analysts Journal, The Journal of Finance and The Journal of Financial Economics. CAN MACHINES "LEARN" FINANCE? Can Machines “Learn” Finance?” was named the winner of the 2020 Harry M. Markowitz Award. Machine learning for asset management faces a unique set of challenges that differ markedly from other domains where machine learning has excelled. We discuss a variety of beneficial use cases and potential pitfalls for machine learning in asset management, and emphasize the importance ofJOHN B HOWARD
12 years at AQR. B.S., Lehigh University. John Howard is a Principal, Chief Financial Officer and Co-Chief Operating Officer at AQR Capital Management. In this role, he is responsible for overseeing the firm’s finance and infrastructure functions globally. Previously, John was Chief Financial Officer of AllianceBernstein. Prior to that,John
ENHANCED PORTFOLIO OPTIMIZATION We show how to identify the portfolios that cause problems in standard mean-variance optimization (MVO) and develop an enhanced portfolio optimization (EPO) method that addresses the problems. Applying EPO on several realistic datasets, we find significant gains relative toTOBIAS MOSKOWITZ
He currently holds the Dean Takahashi Chaired Professorship in Finance at Yale University, is a research associate at the National Bureau of Economic Research, and was formerly the Fama Family Professor of Finance at the University of Chicago Booth School of Business from 1998 to 2016. He has won numerous awards for his academic research HOW DO FACTOR PREMIA VARY OVER TIME? A CENTURY OF EVIDENCE We examine four prominent factor premia – value, momentum, carry, and defensive – over a century from six asset classes. The results offer support for time-varying risk premia models with important implications for theory seeking to explain the sources of factorreturns.
AQR CAPITAL MANAGEMENTFEATURED THINKINGRESEARCHCLIFF'S PERSPECTIVESDATA SETSLEARNING CENTERPODCASTS AQR is at the nexus of economics, behavioral finance, data, and technology. Our evolution has been a continuous exploration of what drives markets and how it can be applied to client portfolios. Investors should conduct their own analysis and consult with professional advisors prior to 2021 CAPITAL MARKET ASSUMPTIONS FOR MAJOR ASSET CLASSES 2021 Capital Market Assumptions for Major Asset Classes. This article updates our estimates of medium-term (5- to 10-year) expected returns for major asset classes. It also includes a section on the stock-bond correlation. Selected estimates are summarized in Exhibit 1. After a volatile 2020, both equity and bond expected returns ended the yearCAREERS AT AQR
AQR is a global investment management firm built at the intersection of financial theory and practical application. We strive to deliver superior, long-term results for our clients by looking past market noise to identify and isolate what matters most, and by developing ideas that stand up to rigorous testing. Our focus on practicalinsights
TAIL-HEDGING STRATEGIES Tail-Hedging Strategies. Tail hedges are one way to potentially limit losses in adverse markets. They may better enable investors to stick with their positions through bad times and thus be long-term. Tail hedges may even create potential for investors to opportunistically pick up risky assets in times of market distress (often at fire-saleCLIFF ASNESS
Cliff's Bio. Cliff is a Founder, Managing Principal and Chief Investment Officer at AQR Capital Management. He is an active researcher and has authored articles on a variety of financial topics for many publications, including The Journal of Portfolio Management, Financial Analysts Journal, The Journal of Finance and The Journal of Financial Economics. CAN MACHINES "LEARN" FINANCE? Can Machines “Learn” Finance?” was named the winner of the 2020 Harry M. Markowitz Award. Machine learning for asset management faces a unique set of challenges that differ markedly from other domains where machine learning has excelled. We discuss a variety of beneficial use cases and potential pitfalls for machine learning in asset management, and emphasize the importance ofJOHN B HOWARD
12 years at AQR. B.S., Lehigh University. John Howard is a Principal, Chief Financial Officer and Co-Chief Operating Officer at AQR Capital Management. In this role, he is responsible for overseeing the firm’s finance and infrastructure functions globally. Previously, John was Chief Financial Officer of AllianceBernstein. Prior to that,John
ENHANCED PORTFOLIO OPTIMIZATION We show how to identify the portfolios that cause problems in standard mean-variance optimization (MVO) and develop an enhanced portfolio optimization (EPO) method that addresses the problems. Applying EPO on several realistic datasets, we find significant gains relative toTOBIAS MOSKOWITZ
He currently holds the Dean Takahashi Chaired Professorship in Finance at Yale University, is a research associate at the National Bureau of Economic Research, and was formerly the Fama Family Professor of Finance at the University of Chicago Booth School of Business from 1998 to 2016. He has won numerous awards for his academic research HOW DO FACTOR PREMIA VARY OVER TIME? A CENTURY OF EVIDENCE We examine four prominent factor premia – value, momentum, carry, and defensive – over a century from six asset classes. The results offer support for time-varying risk premia models with important implications for theory seeking to explain the sources of factorreturns.
RESEARCH - AQR
The sharp deleveraging across arbitrage markets in March 2020 was followed by very strong performance in 2H 2020. In our recent webinar and summary, we review what drove last year’s returns in SPACs, convertibles and mergers, and discuss why we are optimistic about the outlook for 2021 and beyond. Asset Allocation.CLIFF ASNESS
Cliff's Bio. Cliff is a Founder, Managing Principal and Chief Investment Officer at AQR Capital Management. He is an active researcher and has authored articles on a variety of financial topics for many publications, including The Journal of Portfolio Management, Financial Analysts Journal, The Journal of Finance and The Journal of Financial Economics. IS (SYSTEMATIC) VALUE INVESTING DEAD? When value has underperformed for so long, it’s natural and proper that people wonder if it’s ever going to work again. To test the popular explanations for why value investing is “broken,” Cliff tweaks the value factor’s construction to remove the stocks that best fit these stories. He finds no “this time is different” explanation holds water, affirming our belief that the CAN MACHINES "LEARN" FINANCE? Can Machines “Learn” Finance?” was named the winner of the 2020 Harry M. Markowitz Award. Machine learning for asset management faces a unique set of challenges that differ markedly from other domains where machine learning has excelled. We discuss a variety of beneficial use cases and potential pitfalls for machine learning in asset management, and emphasize the importance of OUR INTERNSHIP PROGRAM Enjoy an exceptional learning experience. Each summer, we welcome undergraduate, graduate and doctoral students to a 10-week summer internship program designed to provide an exceptional learning experience. As an intern, you will work alongside AQR professionals, be immersed in AQR values, learn through our Quanta Academy,collaborate with
AQR DYNAMIQ ALLOCATION INDEX The AQR DynamiQ Allocation Index SM (the “Index”) is designed to maximize returns by delivering efficient and well-diversified exposure to global equity and fixed income markets. The Index utilizes a styles-based methodology designed to systematically identify securities and other investment instruments expected to perform well in changing markets. THE DEVIL IN HML'S DETAILS: FACTORS, MONTHLY April 30, 2021. Topics - Factor/Style Investing Value. This data set is related to “The Devil in HML’s Details” (Asness and Frazzini, 2013). This paper challenges the standard method for measuring “value” used in academic work on factor pricing and behavioral finance. The standard method calculates book-to-price (B/P) atportfolio
AQR LONG-SHORT EQUITY FUND The Fund seeks to deliver positive returns by taking long and short positions in equity and equity-related instruments that are deemed to be relatively attractive or unattractive, respectively, based on AQR's investment models. The Fund is designed to have a net long exposure to the equity markets. The portfolio is constructed based on AQR'sTODD PULVINO
19 years at AQR. Ph.D., A.M., Harvard University. Todd Pulvino is a Principal and co-founder of CNH Partners, an affiliate of AQR that trades merger arbitrage, convertible arbitrage and other strategies related to corporate events. Prior to co-founding CNH in 2001, Todd was a tenured Associate Professor of Finance at NorthwesternUniversity’s
TOBIAS MOSKOWITZ
He currently holds the Dean Takahashi Chaired Professorship in Finance at Yale University, is a research associate at the National Bureau of Economic Research, and was formerly the Fama Family Professor of Finance at the University of Chicago Booth School of Business from 1998 to 2016. He has won numerous awards for his academic research AQR CAPITAL MANAGEMENTFEATURED THINKINGRESEARCHCLIFF'S PERSPECTIVESDATA SETSLEARNING CENTERPODCASTS AQR is at the nexus of economics, behavioral finance, data, and technology. Our evolution has been a continuous exploration of what drives markets and how it can be applied to client portfolios. Investors should conduct their own analysis and consult with professional advisors prior to 2021 CAPITAL MARKET ASSUMPTIONS FOR MAJOR ASSET CLASSES 2021 Capital Market Assumptions for Major Asset Classes. This article updates our estimates of medium-term (5- to 10-year) expected returns for major asset classes. It also includes a section on the stock-bond correlation. Selected estimates are summarized in Exhibit 1. After a volatile 2020, both equity and bond expected returns ended the year TAIL-HEDGING STRATEGIES Tail-Hedging Strategies. Tail hedges are one way to potentially limit losses in adverse markets. They may better enable investors to stick with their positions through bad times and thus be long-term. Tail hedges may even create potential for investors to opportunistically pick up risky assets in times of market distress (often at fire-saleCLIFF ASNESS
Cliff's Bio. Cliff is a Founder, Managing Principal and Chief Investment Officer at AQR Capital Management. He is an active researcher and has authored articles on a variety of financial topics for many publications, including The Journal of Portfolio Management, Financial Analysts Journal, The Journal of Finance and The Journal of Financial Economics. CAN MACHINES "LEARN" FINANCE? Can Machines “Learn” Finance?” was named the winner of the 2020 Harry M. Markowitz Award. Machine learning for asset management faces a unique set of challenges that differ markedly from other domains where machine learning has excelled. We discuss a variety of beneficial use cases and potential pitfalls for machine learning in asset management, and emphasize the importance ofJOHN B HOWARD
12 years at AQR. B.S., Lehigh University. John Howard is a Principal, Chief Financial Officer and Co-Chief Operating Officer at AQR Capital Management. In this role, he is responsible for overseeing the firm’s finance and infrastructure functions globally. Previously, John was Chief Financial Officer of AllianceBernstein. Prior to that,John
TOBIAS MOSKOWITZ
He currently holds the Dean Takahashi Chaired Professorship in Finance at Yale University, is a research associate at the National Bureau of Economic Research, and was formerly the Fama Family Professor of Finance at the University of Chicago Booth School of Business from 1998 to 2016. He has won numerous awards for his academic research ENHANCED PORTFOLIO OPTIMIZATION We show how to identify the portfolios that cause problems in standard mean-variance optimization (MVO) and develop an enhanced portfolio optimization (EPO) method that addresses the problems. Applying EPO on several realistic datasets, we find significant gains relative toRONEN ISRAEL
Ronen Israel is a Principal and a member of the Executive Committee at AQR Capital Management. During his tenure at AQR, he has led a number of portfolio management teams, and most recently was the Co-Head of Portfolio Management, Research, Risk and Trading. Ronen received an Outstanding Article award as part of the 17th Annual Bernstein HOW DO FACTOR PREMIA VARY OVER TIME? A CENTURY OF EVIDENCE We examine four prominent factor premia – value, momentum, carry, and defensive – over a century from six asset classes. The results offer support for time-varying risk premia models with important implications for theory seeking to explain the sources of factorreturns.
AQR CAPITAL MANAGEMENTFEATURED THINKINGRESEARCHCLIFF'S PERSPECTIVESDATA SETSLEARNING CENTERPODCASTS AQR is at the nexus of economics, behavioral finance, data, and technology. Our evolution has been a continuous exploration of what drives markets and how it can be applied to client portfolios. Investors should conduct their own analysis and consult with professional advisors prior to 2021 CAPITAL MARKET ASSUMPTIONS FOR MAJOR ASSET CLASSES 2021 Capital Market Assumptions for Major Asset Classes. This article updates our estimates of medium-term (5- to 10-year) expected returns for major asset classes. It also includes a section on the stock-bond correlation. Selected estimates are summarized in Exhibit 1. After a volatile 2020, both equity and bond expected returns ended the year TAIL-HEDGING STRATEGIES Tail-Hedging Strategies. Tail hedges are one way to potentially limit losses in adverse markets. They may better enable investors to stick with their positions through bad times and thus be long-term. Tail hedges may even create potential for investors to opportunistically pick up risky assets in times of market distress (often at fire-saleCLIFF ASNESS
Cliff's Bio. Cliff is a Founder, Managing Principal and Chief Investment Officer at AQR Capital Management. He is an active researcher and has authored articles on a variety of financial topics for many publications, including The Journal of Portfolio Management, Financial Analysts Journal, The Journal of Finance and The Journal of Financial Economics. CAN MACHINES "LEARN" FINANCE? Can Machines “Learn” Finance?” was named the winner of the 2020 Harry M. Markowitz Award. Machine learning for asset management faces a unique set of challenges that differ markedly from other domains where machine learning has excelled. We discuss a variety of beneficial use cases and potential pitfalls for machine learning in asset management, and emphasize the importance ofJOHN B HOWARD
12 years at AQR. B.S., Lehigh University. John Howard is a Principal, Chief Financial Officer and Co-Chief Operating Officer at AQR Capital Management. In this role, he is responsible for overseeing the firm’s finance and infrastructure functions globally. Previously, John was Chief Financial Officer of AllianceBernstein. Prior to that,John
TOBIAS MOSKOWITZ
He currently holds the Dean Takahashi Chaired Professorship in Finance at Yale University, is a research associate at the National Bureau of Economic Research, and was formerly the Fama Family Professor of Finance at the University of Chicago Booth School of Business from 1998 to 2016. He has won numerous awards for his academic research ENHANCED PORTFOLIO OPTIMIZATION We show how to identify the portfolios that cause problems in standard mean-variance optimization (MVO) and develop an enhanced portfolio optimization (EPO) method that addresses the problems. Applying EPO on several realistic datasets, we find significant gains relative toRONEN ISRAEL
Ronen Israel is a Principal and a member of the Executive Committee at AQR Capital Management. During his tenure at AQR, he has led a number of portfolio management teams, and most recently was the Co-Head of Portfolio Management, Research, Risk and Trading. Ronen received an Outstanding Article award as part of the 17th Annual Bernstein HOW DO FACTOR PREMIA VARY OVER TIME? A CENTURY OF EVIDENCE We examine four prominent factor premia – value, momentum, carry, and defensive – over a century from six asset classes. The results offer support for time-varying risk premia models with important implications for theory seeking to explain the sources of factorreturns.
RESEARCH - AQR
The sharp deleveraging across arbitrage markets in March 2020 was followed by very strong performance in 2H 2020. In our recent webinar and summary, we review what drove last year’s returns in SPACs, convertibles and mergers, and discuss why we are optimistic about the outlook for 2021 and beyond. Asset Allocation.CAREERS AT AQR
AQR is a global investment management firm built at the intersection of financial theory and practical application. We strive to deliver superior, long-term results for our clients by looking past market noise to identify and isolate what matters most, and by developing ideas that stand up to rigorous testing. Our focus on practicalinsights
CLIFF ASNESS
Cliff's Bio. Cliff is a Founder, Managing Principal and Chief Investment Officer at AQR Capital Management. He is an active researcher and has authored articles on a variety of financial topics for many publications, including The Journal of Portfolio Management, Financial Analysts Journal, The Journal of Finance and The Journal of Financial Economics.AQR INSIGHT AWARD
AQR Insight Award. The AQR Insight Award recognizes and rewards exceptional academic working papers that offer original, intelligent approaches to practical issues in the investment world. Up to three papers share a $100,000 annual prize. AQR will consider papers on any investment-related topic as long as they deliver clear, significantinsights.
IS (SYSTEMATIC) VALUE INVESTING DEAD? When value has underperformed for so long, it’s natural and proper that people wonder if it’s ever going to work again. To test the popular explanations for why value investing is “broken,” Cliff tweaks the value factor’s construction to remove the stocks that best fit these stories. He finds no “this time is different” explanation holds water, affirming our belief that the THE DEVIL IN HML'S DETAILS: FACTORS, MONTHLY April 30, 2021. Topics - Factor/Style Investing Value. This data set is related to “The Devil in HML’s Details” (Asness and Frazzini, 2013). This paper challenges the standard method for measuring “value” used in academic work on factor pricing and behavioral finance. The standard method calculates book-to-price (B/P) atportfolio
QUICK CLIPS: LONG-SHORT TAX-LOSS HARVESTING STRATEGIES Quick Clips: Long-Short Tax-Loss Harvesting Strategies. Taxable investors in the United States use tax-loss harvesting strategies to gain long equity exposure to an index while taking advantage of opportunities to harvest losses along the way. These strategies can be effective, but their long-only nature presents major limitations.YAO HUA OOI
Yao Hua Ooi is a Principal at AQR Capital Management, where he is the Head of our Macro and Multi-Strategy team. In this role, he leads the Research and Portfolio Management teams focused on AQR’s macro and multi-strategy funds, including the firm’s Managed Futures, Risk Parity, Alternative Risk Premia, Multi-Strategy, Multi-Asset and Global Macro products. HOW DO FACTOR PREMIA VARY OVER TIME? A CENTURY OF EVIDENCE We examine four prominent factor premia – value, momentum, carry, and defensive – over a century from six asset classes. The results offer support for time-varying risk premia models with important implications for theory seeking to explain the sources of factorreturns.
THE CASE FOR MOMENTUM INVESTING 2 | FOR INVESTMENT PROFESSIONAL USE ONLY Please read important disclosures at the end PART I – WHAT IS MOMENTUM? Momentum is the tendency of investments, in every market and asset class, to exhibit persistence in their AQR CAPITAL MANAGEMENTFEATURED THINKINGRESEARCHCLIFF'S PERSPECTIVESDATA SETSLEARNING CENTERPODCASTS You are now leaving AQR.com. AQR Capital Management, LLC, (“AQR”) provides links to third-party websites only as a convenience, and the inclusion of such links does not imply any endorsement, approval, investigation, verification or monitoring by us of any content or information contained within or accessible from the linked sites.JOHN B HOWARD
12 years at AQR. B.S., Lehigh University. John Howard is a Principal, Chief Financial Officer and Co-Chief Operating Officer at AQR Capital Management. In this role, he is responsible for overseeing the firm’s finance and infrastructure functions globally. Previously, John was Chief Financial Officer of AllianceBernstein. Prior to that,John
TODD PULVINO
19 years at AQR. Ph.D., A.M., Harvard University. Todd Pulvino is a Principal and co-founder of CNH Partners, an affiliate of AQR that trades merger arbitrage, convertible arbitrage and other strategies related to corporate events. Prior to co-founding CNH in 2001, Todd was a tenured Associate Professor of Finance at NorthwesternUniversity’s
TOBIAS MOSKOWITZ
He currently holds the Dean Takahashi Chaired Professorship in Finance at Yale University, is a research associate at the National Bureau of Economic Research, and was formerly the Fama Family Professor of Finance at the University of Chicago Booth School of Business from 1998 to 2016. He has won numerous awards for his academic research TAIL-HEDGING STRATEGIES Tail-Hedging Strategies. Tail hedges are one way to potentially limit losses in adverse markets. They may better enable investors to stick with their positions through bad times and thus be long-term. Tail hedges may even create potential for investors to opportunistically pick up risky assets in times of market distress (often at fire-sale CAN MACHINES "LEARN" FINANCE? Can Machines “Learn” Finance?” was named the winner of the 2020 Harry M. Markowitz Award. Machine learning for asset management faces a unique set of challenges that differ markedly from other domains where machine learning has excelled. We discuss a variety of beneficial use cases and potential pitfalls for machine learning in asset management, and emphasize the importance ofHJ WILLCOX - AQR
7 years at AQR. J.D., Brooklyn Law School. B.A., Bucknell University. H.J. Willcox is a Principal, Chief Legal Officer and Global Head of Compliance at AQR Capital Management. In this role, H.J. oversees the firm’s Legal and Compliance programs globally. Prior to joining AQR, he was the Global Head of Compliance and Counsel at KKR & Co., andVMWARE HORIZON
Check here to skip this screen and always use Native Client. HOW DO FACTOR PREMIA VARY OVER TIME? A CENTURY OF EVIDENCE We examine four prominent factor premia – value, momentum, carry, and defensive – over a century from six asset classes. The results offer support for time-varying risk premia models with important implications for theory seeking to explain the sources of factorreturns.
THE PAST AND FUTURE OF QUANTITATIVE ASSET MANAGEMENT 2008 CFA Institute xcfapubs.org DECEMBER 2008 x49 The Past and Future of Quantitative Asset Management I cannot add much about the arguments for risk and mispricing, but I AQR CAPITAL MANAGEMENTFEATURED THINKINGRESEARCHCLIFF'S PERSPECTIVESDATA SETSLEARNING CENTERPODCASTS You are now leaving AQR.com. AQR Capital Management, LLC, (“AQR”) provides links to third-party websites only as a convenience, and the inclusion of such links does not imply any endorsement, approval, investigation, verification or monitoring by us of any content or information contained within or accessible from the linked sites.JOHN B HOWARD
12 years at AQR. B.S., Lehigh University. John Howard is a Principal, Chief Financial Officer and Co-Chief Operating Officer at AQR Capital Management. In this role, he is responsible for overseeing the firm’s finance and infrastructure functions globally. Previously, John was Chief Financial Officer of AllianceBernstein. Prior to that,John
TODD PULVINO
19 years at AQR. Ph.D., A.M., Harvard University. Todd Pulvino is a Principal and co-founder of CNH Partners, an affiliate of AQR that trades merger arbitrage, convertible arbitrage and other strategies related to corporate events. Prior to co-founding CNH in 2001, Todd was a tenured Associate Professor of Finance at NorthwesternUniversity’s
TOBIAS MOSKOWITZ
He currently holds the Dean Takahashi Chaired Professorship in Finance at Yale University, is a research associate at the National Bureau of Economic Research, and was formerly the Fama Family Professor of Finance at the University of Chicago Booth School of Business from 1998 to 2016. He has won numerous awards for his academic research TAIL-HEDGING STRATEGIES Tail-Hedging Strategies. Tail hedges are one way to potentially limit losses in adverse markets. They may better enable investors to stick with their positions through bad times and thus be long-term. Tail hedges may even create potential for investors to opportunistically pick up risky assets in times of market distress (often at fire-sale CAN MACHINES "LEARN" FINANCE? Can Machines “Learn” Finance?” was named the winner of the 2020 Harry M. Markowitz Award. Machine learning for asset management faces a unique set of challenges that differ markedly from other domains where machine learning has excelled. We discuss a variety of beneficial use cases and potential pitfalls for machine learning in asset management, and emphasize the importance ofHJ WILLCOX - AQR
7 years at AQR. J.D., Brooklyn Law School. B.A., Bucknell University. H.J. Willcox is a Principal, Chief Legal Officer and Global Head of Compliance at AQR Capital Management. In this role, H.J. oversees the firm’s Legal and Compliance programs globally. Prior to joining AQR, he was the Global Head of Compliance and Counsel at KKR & Co., andVMWARE HORIZON
Check here to skip this screen and always use Native Client. HOW DO FACTOR PREMIA VARY OVER TIME? A CENTURY OF EVIDENCE We examine four prominent factor premia – value, momentum, carry, and defensive – over a century from six asset classes. The results offer support for time-varying risk premia models with important implications for theory seeking to explain the sources of factorreturns.
THE PAST AND FUTURE OF QUANTITATIVE ASSET MANAGEMENT 2008 CFA Institute xcfapubs.org DECEMBER 2008 x49 The Past and Future of Quantitative Asset Management I cannot add much about the arguments for risk and mispricing, but IAQR FUNDS
The AQR Diversified Arbitrage Fund won a 2021 Lipper Fund Award in the Alternative Event Driven Category. This award is based on the Fund’s risk-adjusted performance over the five-year period ending December 31, 2020. A total of 14 portfolios were considered in the category wonby AQR.
CAREERS - AQR
Plugged into NYC and the World. Our proximity puts everything New York City has to offer within easy reach. And, while the heart of AQR is in Greenwich, many of our best minds live in Manhattan and commute together on Metro North—sharing experiences,CLIFF ASNESS
Cliff's Bio. Cliff is a Founder, Managing Principal and Chief Investment Officer at AQR Capital Management. He is an active researcher and has authored articles on a variety of financial topics for many publications, including The Journal of Portfolio Management, Financial Analysts Journal, The Journal of Finance and The Journal of Financial Economics. TAIL-HEDGING STRATEGIES Tail-Hedging Strategies. Tail hedges are one way to potentially limit losses in adverse markets. They may better enable investors to stick with their positions through bad times and thus be long-term. Tail hedges may even create potential for investors to opportunistically pick up risky assets in times of market distress (often at fire-sale CAN MACHINES "LEARN" FINANCE? Can Machines “Learn” Finance?” was named the winner of the 2020 Harry M. Markowitz Award. Machine learning for asset management faces a unique set of challenges that differ markedly from other domains where machine learning has excelled. We discuss a variety of beneficial use cases and potential pitfalls for machine learning in asset management, and emphasize the importance ofHJ WILLCOX - AQR
7 years at AQR. J.D., Brooklyn Law School. B.A., Bucknell University. H.J. Willcox is a Principal, Chief Legal Officer and Global Head of Compliance at AQR Capital Management. In this role, H.J. oversees the firm’s Legal and Compliance programs globally. Prior to joining AQR, he was the Global Head of Compliance and Counsel at KKR & Co., and IT’S NOT A BOUND; IT’S AN OPINION In the second paper of our “Bonds Today” series, we review the popular assumption that bond yields are too close to zero to fall much further and then explain why we disagree. We show why there is no mechanical limit for yields at, or even below zero, and illustrate plausible policy and economic scenarios that could drive yields evenlower.
A WINNER IN THE PRESTIGIOUS FAMA-DFA PRIZES: BETTING “Betting Against Correlation: Testing Theories of the Low-Risk Effect” won second place in the Journal of Financial Economics’ 2020 Fama-DFA Prizes for Capital Markets and Asset Pricing. We test whether it's driven by leverage constraints (and thus risk should be measured using beta) or behavioral effects (and thus risk should be measured by idiosyncratic risk).TRENDS EVERYWHERE
Trends Everywhere. We provide new out-of-sample evidence on trend-following investing by studying its performance for 82 securities not previously examined and 16 long-short equity factors. Specifically, we study the performance of time series momentum for emerging market equity index futures, fixed income swaps, emergingmarket currencies
RONEN ISRAEL
Ronen Israel is a Principal and a member of the Executive Committee at AQR Capital Management. During his tenure at AQR, he has led a number of portfolio management teams, and most recently was the Co-Head of Portfolio Management, Research, Risk and Trading. Ronen received an Outstanding Article award as part of the 17th Annual Bernstein AQR CAPITAL MANAGEMENTFEATURED THINKINGRESEARCHCLIFF'S PERSPECTIVESDATA SETSLEARNING CENTERPODCASTS AQR is at the nexus of economics, behavioral finance, data, and technology. Our evolution has been a continuous exploration of what drives markets and how it can be applied to client portfolios. Investors should conduct their own analysis and consult with professional advisors prior to 2021 CAPITAL MARKET ASSUMPTIONS FOR MAJOR ASSET CLASSESJPMORGAN CAPITAL MARKET ASSUMPTIONS 2020MAJOR ASSET CLASSES16 ASSET CLASSESFIXED ASSET CLASSESFINANCIAL ASSET CLASSESINVESTMENT ASSETCLASSES LIST
2021 Capital Market Assumptions for Major Asset Classes. This article updates our estimates of medium-term (5- to 10-year) expected returns for major asset classes. It also includes a section on the stock-bond correlation. Selected estimates are summarized in Exhibit 1. After a volatile 2020, both equity and bond expected returns ended the year OUR INTERNSHIP PROGRAM Enjoy an exceptional learning experience. Each summer, we welcome undergraduate, graduate and doctoral students to a 10-week summer internship program designed to provide an exceptional learning experience. As an intern, you will work alongside AQR professionals, be immersed in AQR values, learn through our Quanta Academy,collaborate with
CAN MACHINES "LEARN" FINANCE? Can Machines “Learn” Finance?” was named the winner of the 2020 Harry M. Markowitz Award. Machine learning for asset management faces a unique set of challenges that differ markedly from other domains where machine learning has excelled. We discuss a variety of beneficial use cases and potential pitfalls for machine learning in asset management, and emphasize the importance ofJOHN B HOWARD
12 years at AQR. B.S., Lehigh University. John Howard is a Principal, Chief Financial Officer and Co-Chief Operating Officer at AQR Capital Management. In this role, he is responsible for overseeing the firm’s finance and infrastructure functions globally. Previously, John was Chief Financial Officer of AllianceBernstein. Prior to that,John
ENHANCED PORTFOLIO OPTIMIZATION We show how to identify the portfolios that cause problems in standard mean-variance optimization (MVO) and develop an enhanced portfolio optimization (EPO) method that addresses the problems. Applying EPO on several realistic datasets, we find significant gains relative to TAIL-HEDGING STRATEGIES Tail-Hedging Strategies. Tail hedges are one way to potentially limit losses in adverse markets. They may better enable investors to stick with their positions through bad times and thus be long-term. Tail hedges may even create potential for investors to opportunistically pick up risky assets in times of market distress (often at fire-saleHJ WILLCOX - AQR
7 years at AQR. J.D., Brooklyn Law School. B.A., Bucknell University. H.J. Willcox is a Principal, Chief Legal Officer and Global Head of Compliance at AQR Capital Management. In this role, H.J. oversees the firm’s Legal and Compliance programs globally. Prior to joining AQR, he was the Global Head of Compliance and Counsel at KKR & Co., andTOBIAS MOSKOWITZ
He currently holds the Dean Takahashi Chaired Professorship in Finance at Yale University, is a research associate at the National Bureau of Economic Research, and was formerly the Fama Family Professor of Finance at the University of Chicago Booth School of Business from 1998 to 2016. He has won numerous awards for his academic researchTODD PULVINO
19 years at AQR. Ph.D., A.M., Harvard University. Todd Pulvino is a Principal and co-founder of CNH Partners, an affiliate of AQR that trades merger arbitrage, convertible arbitrage and other strategies related to corporate events. Prior to co-founding CNH in 2001, Todd was a tenured Associate Professor of Finance at NorthwesternUniversity’s
AQR CAPITAL MANAGEMENTFEATURED THINKINGRESEARCHCLIFF'S PERSPECTIVESDATA SETSLEARNING CENTERPODCASTS AQR is at the nexus of economics, behavioral finance, data, and technology. Our evolution has been a continuous exploration of what drives markets and how it can be applied to client portfolios. Investors should conduct their own analysis and consult with professional advisors prior to 2021 CAPITAL MARKET ASSUMPTIONS FOR MAJOR ASSET CLASSESJPMORGAN CAPITAL MARKET ASSUMPTIONS 2020MAJOR ASSET CLASSES16 ASSET CLASSESFIXED ASSET CLASSESFINANCIAL ASSET CLASSESINVESTMENT ASSETCLASSES LIST
2021 Capital Market Assumptions for Major Asset Classes. This article updates our estimates of medium-term (5- to 10-year) expected returns for major asset classes. It also includes a section on the stock-bond correlation. Selected estimates are summarized in Exhibit 1. After a volatile 2020, both equity and bond expected returns ended the year OUR INTERNSHIP PROGRAM Enjoy an exceptional learning experience. Each summer, we welcome undergraduate, graduate and doctoral students to a 10-week summer internship program designed to provide an exceptional learning experience. As an intern, you will work alongside AQR professionals, be immersed in AQR values, learn through our Quanta Academy,collaborate with
CAN MACHINES "LEARN" FINANCE? Can Machines “Learn” Finance?” was named the winner of the 2020 Harry M. Markowitz Award. Machine learning for asset management faces a unique set of challenges that differ markedly from other domains where machine learning has excelled. We discuss a variety of beneficial use cases and potential pitfalls for machine learning in asset management, and emphasize the importance ofJOHN B HOWARD
12 years at AQR. B.S., Lehigh University. John Howard is a Principal, Chief Financial Officer and Co-Chief Operating Officer at AQR Capital Management. In this role, he is responsible for overseeing the firm’s finance and infrastructure functions globally. Previously, John was Chief Financial Officer of AllianceBernstein. Prior to that,John
ENHANCED PORTFOLIO OPTIMIZATION We show how to identify the portfolios that cause problems in standard mean-variance optimization (MVO) and develop an enhanced portfolio optimization (EPO) method that addresses the problems. Applying EPO on several realistic datasets, we find significant gains relative to TAIL-HEDGING STRATEGIES Tail-Hedging Strategies. Tail hedges are one way to potentially limit losses in adverse markets. They may better enable investors to stick with their positions through bad times and thus be long-term. Tail hedges may even create potential for investors to opportunistically pick up risky assets in times of market distress (often at fire-saleHJ WILLCOX - AQR
7 years at AQR. J.D., Brooklyn Law School. B.A., Bucknell University. H.J. Willcox is a Principal, Chief Legal Officer and Global Head of Compliance at AQR Capital Management. In this role, H.J. oversees the firm’s Legal and Compliance programs globally. Prior to joining AQR, he was the Global Head of Compliance and Counsel at KKR & Co., andTOBIAS MOSKOWITZ
He currently holds the Dean Takahashi Chaired Professorship in Finance at Yale University, is a research associate at the National Bureau of Economic Research, and was formerly the Fama Family Professor of Finance at the University of Chicago Booth School of Business from 1998 to 2016. He has won numerous awards for his academic researchTODD PULVINO
19 years at AQR. Ph.D., A.M., Harvard University. Todd Pulvino is a Principal and co-founder of CNH Partners, an affiliate of AQR that trades merger arbitrage, convertible arbitrage and other strategies related to corporate events. Prior to co-founding CNH in 2001, Todd was a tenured Associate Professor of Finance at NorthwesternUniversity’s
HJ WILLCOX - AQR
7 years at AQR. J.D., Brooklyn Law School. B.A., Bucknell University. H.J. Willcox is a Principal, Chief Legal Officer and Global Head of Compliance at AQR Capital Management. In this role, H.J. oversees the firm’s Legal and Compliance programs globally. Prior to joining AQR, he was the Global Head of Compliance and Counsel at KKR & Co., and A WINNER IN THE PRESTIGIOUS FAMA-DFA PRIZES: BETTING “Betting Against Correlation: Testing Theories of the Low-Risk Effect” won second place in the Journal of Financial Economics’ 2020 Fama-DFA Prizes for Capital Markets and Asset Pricing. We test whether it's driven by leverage constraints (and thus risk should be measured using beta) or behavioral effects (and thus risk should be measured by idiosyncratic risk). TAIL-HEDGING STRATEGIES Tail-Hedging Strategies. Tail hedges are one way to potentially limit losses in adverse markets. They may better enable investors to stick with their positions through bad times and thus be long-term. Tail hedges may even create potential for investors to opportunistically pick up risky assets in times of market distress (often at fire-sale IT’S NOT A BOUND; IT’S AN OPINION AQR Capital Management, LLC, (“AQR”) provide links to third-party websites only as a convenience, and the inclusion of such links does not imply any endorsement, approval, investigation, verification or monitoring by us of any content or information contained within or QUICK CLIPS: YIELD FLOORS AND ASSET ALLOCATION Quick Clips: Yield Floors and Asset Allocation - When Is the Role of Bonds Impaired? May 27, 2021 QU I C K C L I PS Over the past few years, yield levels have sparkedRONEN ISRAEL
Ronen Israel is a Principal and a member of the Executive Committee at AQR Capital Management. During his tenure at AQR, he has led a number of portfolio management teams, and most recently was the Co-Head of Portfolio Management, Research, Risk and Trading. Ronen received an Outstanding Article award as part of the 17th Annual Bernstein (CAR)BON VOYAGE: THE ROAD TO LOW CARBON INVESTMENT PORTFOLIOS We discuss how an investment portfolio could dramatically reduce its carbon footprint, potentially even achieving a ‘net zero’ carbon footprint. We discuss the pros and cons of techniques to achieve carbon reduction goals, including security selection, shorting high carbon footprint companies, and trading instruments such as carbon offsets and carbon permits.VMWARE HORIZON
Check here to skip this screen and always use Native Client. TREND FOLLOWING AND RISING RATES The data demonstrates that trend followers would not have required declining rates to generate meaningful returns, and trend following’s attractive portfolio diversification properties would not be diminished during rising rate regimes. The authors conclude that the data indicate that while trend followers may have generated asignificant
MICHELE L. AGHASSI
Michele Aghassi is a Principal at AQR Capital Management, where she serves as a portfolio manager for the firm's equity strategies. Throughout her tenure at AQR, she has been a leader in research and strategy development, contributing to the advancement of the stock selection investment process. AQR CAPITAL MANAGEMENTFEATURED THINKINGRESEARCHCLIFF'S PERSPECTIVESDATA SETSLEARNING CENTERPODCASTS You are now leaving AQR.com. AQR Capital Management, LLC, (“AQR”) provides links to third-party websites only as a convenience, and the inclusion of such links does not imply any endorsement, approval, investigation, verification or monitoring by us of any content or information contained within or accessible from the linked sites.JOHN B HOWARD
12 years at AQR. B.S., Lehigh University. John Howard is a Principal, Chief Financial Officer and Co-Chief Operating Officer at AQR Capital Management. In this role, he is responsible for overseeing the firm’s finance and infrastructure functions globally. Previously, John was Chief Financial Officer of AllianceBernstein. Prior to that,John
TODD PULVINO
19 years at AQR. Ph.D., A.M., Harvard University. Todd Pulvino is a Principal and co-founder of CNH Partners, an affiliate of AQR that trades merger arbitrage, convertible arbitrage and other strategies related to corporate events. Prior to co-founding CNH in 2001, Todd was a tenured Associate Professor of Finance at NorthwesternUniversity’s
TOBIAS MOSKOWITZ
He currently holds the Dean Takahashi Chaired Professorship in Finance at Yale University, is a research associate at the National Bureau of Economic Research, and was formerly the Fama Family Professor of Finance at the University of Chicago Booth School of Business from 1998 to 2016. He has won numerous awards for his academic research TAIL-HEDGING STRATEGIES Tail-Hedging Strategies. Tail hedges are one way to potentially limit losses in adverse markets. They may better enable investors to stick with their positions through bad times and thus be long-term. Tail hedges may even create potential for investors to opportunistically pick up risky assets in times of market distress (often at fire-sale CAN MACHINES "LEARN" FINANCE? Can Machines “Learn” Finance?” was named the winner of the 2020 Harry M. Markowitz Award. Machine learning for asset management faces a unique set of challenges that differ markedly from other domains where machine learning has excelled. We discuss a variety of beneficial use cases and potential pitfalls for machine learning in asset management, and emphasize the importance ofHJ WILLCOX - AQR
7 years at AQR. J.D., Brooklyn Law School. B.A., Bucknell University. H.J. Willcox is a Principal, Chief Legal Officer and Global Head of Compliance at AQR Capital Management. In this role, H.J. oversees the firm’s Legal and Compliance programs globally. Prior to joining AQR, he was the Global Head of Compliance and Counsel at KKR & Co., andVMWARE HORIZON
Check here to skip this screen and always use Native Client. HOW DO FACTOR PREMIA VARY OVER TIME? A CENTURY OF EVIDENCE We examine four prominent factor premia – value, momentum, carry, and defensive – over a century from six asset classes. The results offer support for time-varying risk premia models with important implications for theory seeking to explain the sources of factorreturns.
THE PAST AND FUTURE OF QUANTITATIVE ASSET MANAGEMENT 2008 CFA Institute xcfapubs.org DECEMBER 2008 x49 The Past and Future of Quantitative Asset Management I cannot add much about the arguments for risk and mispricing, but I AQR CAPITAL MANAGEMENTFEATURED THINKINGRESEARCHCLIFF'S PERSPECTIVESDATA SETSLEARNING CENTERPODCASTS You are now leaving AQR.com. AQR Capital Management, LLC, (“AQR”) provides links to third-party websites only as a convenience, and the inclusion of such links does not imply any endorsement, approval, investigation, verification or monitoring by us of any content or information contained within or accessible from the linked sites.JOHN B HOWARD
12 years at AQR. B.S., Lehigh University. John Howard is a Principal, Chief Financial Officer and Co-Chief Operating Officer at AQR Capital Management. In this role, he is responsible for overseeing the firm’s finance and infrastructure functions globally. Previously, John was Chief Financial Officer of AllianceBernstein. Prior to that,John
TODD PULVINO
19 years at AQR. Ph.D., A.M., Harvard University. Todd Pulvino is a Principal and co-founder of CNH Partners, an affiliate of AQR that trades merger arbitrage, convertible arbitrage and other strategies related to corporate events. Prior to co-founding CNH in 2001, Todd was a tenured Associate Professor of Finance at NorthwesternUniversity’s
TOBIAS MOSKOWITZ
He currently holds the Dean Takahashi Chaired Professorship in Finance at Yale University, is a research associate at the National Bureau of Economic Research, and was formerly the Fama Family Professor of Finance at the University of Chicago Booth School of Business from 1998 to 2016. He has won numerous awards for his academic research TAIL-HEDGING STRATEGIES Tail-Hedging Strategies. Tail hedges are one way to potentially limit losses in adverse markets. They may better enable investors to stick with their positions through bad times and thus be long-term. Tail hedges may even create potential for investors to opportunistically pick up risky assets in times of market distress (often at fire-sale CAN MACHINES "LEARN" FINANCE? Can Machines “Learn” Finance?” was named the winner of the 2020 Harry M. Markowitz Award. Machine learning for asset management faces a unique set of challenges that differ markedly from other domains where machine learning has excelled. We discuss a variety of beneficial use cases and potential pitfalls for machine learning in asset management, and emphasize the importance ofHJ WILLCOX - AQR
7 years at AQR. J.D., Brooklyn Law School. B.A., Bucknell University. H.J. Willcox is a Principal, Chief Legal Officer and Global Head of Compliance at AQR Capital Management. In this role, H.J. oversees the firm’s Legal and Compliance programs globally. Prior to joining AQR, he was the Global Head of Compliance and Counsel at KKR & Co., andVMWARE HORIZON
Check here to skip this screen and always use Native Client. HOW DO FACTOR PREMIA VARY OVER TIME? A CENTURY OF EVIDENCE We examine four prominent factor premia – value, momentum, carry, and defensive – over a century from six asset classes. The results offer support for time-varying risk premia models with important implications for theory seeking to explain the sources of factorreturns.
THE PAST AND FUTURE OF QUANTITATIVE ASSET MANAGEMENT 2008 CFA Institute xcfapubs.org DECEMBER 2008 x49 The Past and Future of Quantitative Asset Management I cannot add much about the arguments for risk and mispricing, but IAQR FUNDS
The AQR Diversified Arbitrage Fund won a 2021 Lipper Fund Award in the Alternative Event Driven Category. This award is based on the Fund’s risk-adjusted performance over the five-year period ending December 31, 2020. A total of 14 portfolios were considered in the category wonby AQR.
CAREERS - AQR
Plugged into NYC and the World. Our proximity puts everything New York City has to offer within easy reach. And, while the heart of AQR is in Greenwich, many of our best minds live in Manhattan and commute together on Metro North—sharing experiences,CLIFF ASNESS
Cliff's Bio. Cliff is a Founder, Managing Principal and Chief Investment Officer at AQR Capital Management. He is an active researcher and has authored articles on a variety of financial topics for many publications, including The Journal of Portfolio Management, Financial Analysts Journal, The Journal of Finance and The Journal of Financial Economics. CAN MACHINES "LEARN" FINANCE? Can Machines “Learn” Finance?” was named the winner of the 2020 Harry M. Markowitz Award. Machine learning for asset management faces a unique set of challenges that differ markedly from other domains where machine learning has excelled. We discuss a variety of beneficial use cases and potential pitfalls for machine learning in asset management, and emphasize the importance of TAIL-HEDGING STRATEGIES Tail-Hedging Strategies. Tail hedges are one way to potentially limit losses in adverse markets. They may better enable investors to stick with their positions through bad times and thus be long-term. Tail hedges may even create potential for investors to opportunistically pick up risky assets in times of market distress (often at fire-saleHJ WILLCOX - AQR
7 years at AQR. J.D., Brooklyn Law School. B.A., Bucknell University. H.J. Willcox is a Principal, Chief Legal Officer and Global Head of Compliance at AQR Capital Management. In this role, H.J. oversees the firm’s Legal and Compliance programs globally. Prior to joining AQR, he was the Global Head of Compliance and Counsel at KKR & Co., and IT’S NOT A BOUND; IT’S AN OPINION In the second paper of our “Bonds Today” series, we review the popular assumption that bond yields are too close to zero to fall much further and then explain why we disagree. We show why there is no mechanical limit for yields at, or even below zero, and illustrate plausible policy and economic scenarios that could drive yields evenlower.
A WINNER IN THE PRESTIGIOUS FAMA-DFA PRIZES: BETTING “Betting Against Correlation: Testing Theories of the Low-Risk Effect” won second place in the Journal of Financial Economics’ 2020 Fama-DFA Prizes for Capital Markets and Asset Pricing. We test whether it's driven by leverage constraints (and thus risk should be measured using beta) or behavioral effects (and thus risk should be measured by idiosyncratic risk).TRENDS EVERYWHERE
Trends Everywhere. We provide new out-of-sample evidence on trend-following investing by studying its performance for 82 securities not previously examined and 16 long-short equity factors. Specifically, we study the performance of time series momentum for emerging market equity index futures, fixed income swaps, emergingmarket currencies
RONEN ISRAEL
Ronen Israel is a Principal and a member of the Executive Committee at AQR Capital Management. During his tenure at AQR, he has led a number of portfolio management teams, and most recently was the Co-Head of Portfolio Management, Research, Risk and Trading. Ronen received an Outstanding Article award as part of the 17th Annual BernsteinMyAQR __
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AN INNOVATIVE APPROACH TO SYSTEMATIC INVESTING BACKED BY RESEARCH INSIGHT AND ECONOMIC INTUITION.Explore Our Firm
Chief Investment QuarterlyLATE CYCLE SYNDROME
September 18, 2019 - Jonathan FaderZachary T. Mees
The concern that the economy is nearing the end of its expansion phase has important implications for investors. We take a look at the data on “late cycle” indicators to see what they really tell us.Read more
Alternative Thinking INVERSION ANXIETY: YIELD CURVES, ECONOMIC GROWTH, AND ASSET PRICES September 12, 2019 - Portfolio Solutions Group We evaluate the ability of the yield curve slope to forecast future economic conditions, as well as returns on stocks and bonds, using over 50 years of data across six countries.Read more
Podcast
IMPLEMENTATION: FOOD FOR THOUGHTSeptember 18, 2019
Craftsmanship can be just as challenging for investors as it is for restaurateurs. Tom Colicchio, Chef and Owner of Crafted Hospitality, and AQR’s Adrienne Ross talk about how to build a system that works.Read more
Our Approach
HOW WE INVEST
FUNDAMENTAL INVESTING We rely on sound economic theory and analysis to help us deliver long-term, repeatable results.Related Content
The 5% Solution
Fact, Fiction and Value Investing SYSTEMATICALLY APPLIED A disciplined methodology underlies everything we do. Our models, built over 20 years, are based on a continuous process of design, refine, test, repeat.Related Content
Understanding Style Premia Systematic vs. Discretionary THOUGHTFULLY DESIGNED In portfolio construction, risk management and trading, we seek additional value for our clients. Using both qualitative and quantitative tools, we’re meticulous in every detail of theinvestment process.
Related Content
Long-Only Style Investing: Don't Just Mix, Integrate Can Risk Parity Outperform If Yields Rise? Cliff's Perspectives “LET'S ALL BE NICER TO FINANCIAL THEORY. IF WE STICK WITH IT LONG ENOUGH, IT WILL PROBABLY BE NICE TO US.” _Cliff Asness, Managing and Founding Principal_ BONDS ARE FRICKIN' EXPENSIVE August 13, 2019 - Cliff Asness When something as important as the U.S. bond yield hits historical extremes, it’s worth at least a discussion. Cliff examines the long-term relationships between real bond yields, real T-bill yields, the slope of the yield curve, and economic conditions.Read more More
from Cliff's PerspectivesOur History
FROM ACADEMIA TO INDUSTRY LEADERS—AQR’S EVOLUTION OVER TWO DECADES__
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2019
AQR expands its global presence with a new office in Frankfurt,Germany.
Read More
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2018
AQR named one of Pensions and Investments’ Best Places to Work in Money Management for 2018.Read More
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2018
AQR expands its global presence with a new office in Tokyo, Japan.__
2018
AQR establishes an engineering center in Bangalore, India.__
2017
AQR surpasses $224 billion in assets under management and 900 employees in seven offices around the globe. (as of December 31, 2017)__
2017
AQR is named one of Pensions and Investments’ Best Places to Work in Money Management for 2017.Read More
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2016
AQR wins “Smart Beta Manager of the Year” in the Financial News’ Excellence in Asset Management Awards and in the Institutional Investor European Awards.__
2016
AQR is named one of Connecticut’s “Great Places to Work” by Connecticut Magazine.__
2016
AQR expands in Asia with the opening of an office in Hong Kong.__
2016
AQR pioneers systematic fixed income investing, publishing research that shows the same four styles known in the equities markets also perform well in the fixed income markets.__
2015
“Fact, Fiction, and Value Investing,” published in the Journal of Portfolio Management, wins the Bernstein Fabozzi/Jacobs Levy Outstanding Article Award.Read the Article
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2015
QU∀NTA Academy, AQR’s signature learning and development program,is founded.
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2015
AQR provides intuition and evidence for value, momentum, carry and defensive styles in “Investing with Style,” which goes on to win special distinction from the Journal of Investment Management.Read the Article
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2015
The AQR Asset Management Institute at The London Business School is founded to advance asset management research, study and recruitment.__
2014
AQR reaches $100 billion in assets under management and has more than 400 employees. (as of 3/31/14)__
2014
AQR is named the “Most Innovative Hedge Fund” by Chief Investment Officer magazine and the “Hedge Fund Manager of the Year” by Pensions Expert magazine.__
2014
"Betting Against Beta,” which explains why low-beta assets offer higher risk-adjusted returns than high-beta assets, wins First Place from the Journal of Financial Economics.Read the Article
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2013
The AQR Managed Futures Fund wins Morningstar’s Alternatives Fund Manager of the Year.Read More
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2013
“The Devil in HML’s Details,” which challenges the standard method for measuring value, wins a Bernstein Fabozzi/Jacobs Levy Awardfor best article.
Read the Article
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2012
The AQR UCITS Funds are launched, bringing AQR’s mutual fund offering to European investors.__
2011
The AQR Insight Award, which honors exceptional academic papers with a $100,000 prize, is founded. Founding Principal David Kabiller at the AQR Insight Awardpresentations.
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2011
AQR continues to expand globally with the opening of the UK office.__
2010
AQR launches the Managed Futures Fund, bringing the diversification of trend-following strategies to mutual fund investors.__
2009
AQR becomes one of the first investment managers to introduce alternative strategies in mutual fund format.__
2006
AQR launches its first risk parity strategy, a strategy that goes on to become one of the firm’s largest.__
2005
AQR opens its first international office in Australia.__
2004
The firm moves its headquarters to Greenwich, Connecticut, and surpasses $12 billion in AUM in both hedge funds and long-only products (as of 9/30/04).__
2000
AQR launches its first long-only strategy, an international equity strategy. The firm also publishes “Do Hedge Funds Hedge?” which wins a Bernstein Fabozzi/Jacobs Levy Best Article Award.Read the Article
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1998
AQR is founded by Cliff Asness, David Kabiller, Robert Krail, John Liew and 10 employees in New York City. The firm’s first product isa hedge fund.
From left to right, Founding Principals Robert Krail, David Kabiller, Cliff Asness and John Liew.__
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2019201820172016201520142013201220112010200920062005200420001998__
Firm Milestones
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Our Team
WE BELIEVE IN THE POWER OF COLLECTIVE INTELLIGENCE. stats Created with Sketch. 54 Awards granted for our research 45% Of employees have advanced degrees ~ 1,000 Passionate people searchingfor the truth
Learn more about us Careers at AQR 54 Awards granted for our research 45% Of employees have advanced degrees ~ 1,000 Passionate people searching for the truth David G. Kabiller, Founding Principal*
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as of June 30, 2019
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EDUCATION
* Featured Thinking
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* Cliff's Perspectives* Data Sets
* Learning Center
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STRATEGIES
* Overview
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ABOUT US
* Our Firm
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MYAQR
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