AQR Capital Management
Quant and factor research from AQR Capital Management.
United States5 articles
Multi-AssetEquitiesAlternatives
Research
AQR Capital ManagementEquities
Relaxed-Constraint Portfolios
AQR examines how active equity managers can enhance expected returns by relaxing the long-only constraint to allow short positions in low-conviction stocks, freeing capital to increase exposure to favored names. Using simulations and historical evidence, the paper validates the return improvement offered by 120/20 and 130/30 strategies and argues the investment community should take a renewed look at these approaches.
AQR Capital ManagementEquities
Craftsmanship Alpha: An Application to Style Investing
This AQR journal article introduces the concept of "craftsmanship alpha," arguing that skillful implementation decisions—spanning portfolio construction and execution—can meaningfully differentiate the performance of two managers targeting the same style factor. Using style investing as the primary context, the paper demonstrates that seemingly minor design choices can explain a significant portion of return dispersion across factor managers.
AQR Capital ManagementEquities
Risk and Return of Equity Index Collar Strategies
This AQR journal article challenges the common perception that equity index collar strategies provide downside protection at little to no cost, arguing that collars impose a significant drag on returns by earning less equity-risk premium and, when net long volatility, also paying out volatility risk premium. The authors compare collars to alternative approaches for achieving equity exposure with reduced downside risk, concluding that collars have historically underperformed these alternatives and are expected to continue doing so.
AQR Capital ManagementMulti-Asset
How Do Investors Form Long-Run Return Expectations?
This AQR white paper contrasts "objective" yield-based expected returns, which have historically shown predictive ability, with "subjective" extrapolative expectations that rely excessively on past 3–10 year returns or growth. It finds that rearview-mirror expectations have made investors overly optimistic on risky and private assets post-GFC and overly cautious on liquid diversifiers, with the distortion most pronounced for US equities versus the rest of the world.
AQR Capital ManagementEquities
International Diversification—Still Not Crazy after All These Years
AQR argues that despite over 30 years of underperformance relative to US equities, the long-run case for international diversification remains intact, supported by financial theory, empirical evidence at longer horizons, and active strategies. The paper warns that US equity outperformance since 1990 is largely attributable to rising relative valuations rather than fundamentals, suggesting prospective underperformance given current elevated US valuations.