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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
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 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 theTODD 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 researchRONEN 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 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.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
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 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 theTODD 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 researchRONEN 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 - 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,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-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 of DIRECT INDEXING AND THE PROPOSED BIDEN TAX PLAN There are two basic ways to invest in a stock market index: you can buy an index fund, or you can directly buy a stock portfolio that tracks the index. If you are a taxable investor, a benefit of the direct approach is that you can harvest losses on individual positions. But how high are those benefits—and what happens to them under the proposed Biden Tax Plan? RESPONSIBLE INVESTING: THE ESG-EFFICIENT FRONTIER This is the original data set used in “Responsible Investing: The ESG-Efficient Frontier” (Pedersen, Fitzgibbons and Pomorski). The paper proposes a theory in which each stock’s environmental, social, and governance (ESG) score plays two roles: 1) providing information about firm fundamentals and 2) affecting investor preferences.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 THE REPLICATION CRISIS THAT WASN’T A more basic problem is that a backtest might never have been right to begin with. A “replication” crisis is most specifically about this – not being able to even replicate the original work. 13 13 Close An erroneous backtest probably won’t hold up out-of-sample for a somewhat more direct reason than just data mining.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 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.
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 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
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
CRAFTSMANSHIP ALPHA: AN APPLICATION TO STYLE INVESTING Craftsmanship Alpha: An Application to Style Investing. The Journal of Portfolio Management. Successful investing requires translating sound investment concepts into actual trading strategies. We study many of the implementation details that portfolio managers need to pay attention to; such choices range from portfolio construction toexecution.
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 UNDERSTANDING STYLE PREMIA Understanding Style Premia. Four investment “styles” — Value, Momentum, Carry and Defensive — have emerged as compelling sources of alternative returns, backed by economic theory and decades of data across geographies and asset groups. When applied as long/short strategies, these styles have delivered positive long-term returnsacross
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 theirMyAQR __
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INVESTMENT INNOVATION AT THE INTERSECTION OF TECHNOLOGY, DATA ANDBEHAVIORAL FINANCE.
IT'S IN OUR DNA.
Explore Our Firm
Macro Wrap-Up
TIME AFTER TIME
March 13, 2020
This week we look at why some markets, which are normally more long-term in their outlook, are reacting so much to short-term news.Read more
Alternative Thinking 2020 CAPITAL MARKET ASSUMPTIONS FOR MAJOR ASSET CLASSESJanuary 29, 2020
We update our estimates of medium-term (5- to 10-year) expected returns for major asset classes, and introduce a method for quantifying the expected return on cash.Read more
Working Paper
ACTIVE FIXED INCOME ILLUSIONS December 17, 2019 - Jordan Brooks Tony Gould Scott A. Richardson Across a broad set of popular active fixed income categories, we find that passive exposures to traditional risk premia (especially exposure to credit risk) explain the majority of fixed income manager activereturns.
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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.
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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_ THE VALUESBURG ADDRESS February 27, 2020 - Cliff Asness One score and eight years ago Fama and French brought forth on this world, a new factor, conceived in either risk or behavioral effects, and dedicated to the proposition that all portfolios are not created equal. Now we are engaged in a great drawdown, testing whether investors in that factor, or any factor so conceived and so dedicated,can long endure…
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
Best Places to Work in Money Management__
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 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__
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WE OFFER A BROAD RANGE OF DIVERSIFIED STRATEGIES BASED ON A UNIFIED SET OF UNDERLYING PRINCIPLES. 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. Alternatives EquitiesFixed Income
ESG
Investors should conduct their own analysis and consult with professional advisors prior to making any investment decisions. Diversification does not eliminate the risk of experiencing investment loss. Past performance is not a guarantee of future results. Investment process is subject to change.*
EDUCATION
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