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Posts From AQR

A Gut Punch

A Gut Punch

🕔11:45, 4.Jan 2021

Cliff’s Perspective  Sure, the last nearly three years have hurt, but at least the explanation was straightforward. A core part of our process, value, suffered. So when value rebounds, we will too, right? Well, not necessarily. To be clear, if

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Value and Interest Rates

Value and Interest Rates

🕔15:22, 14.Aug 2020

Are Rates to Blame for Value's Torments? Value stocks sharply underperformed growth stocks from 2017 to early 2020, exacerbating a longer period of lackluster performance that dates back to the Global Financial Crisis for some value factors. Some have blamed …

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Tail Risk Hedging: Contrasting Put and Trend Strategies

Tail Risk Hedging: Contrasting Put and Trend Strategies

🕔13:33, 31.Jul 2020

The sharp market fall and speedy recovery during the eventful first half of 2020 has kept tail risk hedging topical: investors have both fresh memories of a painful loss and renewed fears of a repeat. In this paper we summarize

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Capital Market Assumptions

Capital Market Assumptions

🕔16:33, 10.Jul 2020

Expected real returns for major asset classes as of March 31, 2020  Volatile Q1 2020 Followed an Exceptionally Benign Decade The 2010s were exceptional for stock/bond portfolios

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Capital Market Assumptions for Major Asset Classes

Capital Market Assumptions for Major Asset Classes

🕔15:53, 20.Mar 2020

This article updates our estimates of medium-term (5- to 10-year) expected returns for major asset classes. It also includes a section on estimating expected returns for cash. Selected estimates are summarized in Exhibit 1. The year 2019 saw a reverse

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Chasing Your Own Tail (Risk), Revisited

Chasing Your Own Tail (Risk), Revisited

🕔17:00, 24.Feb 2020

AQR White Paper  One of the most important topics on investors’ minds following the Global Financial Crisis was how to protect their portfolios from the next crisis. Our paper "Chasing Your Own Tail (Risk)" was our response.1 In it, we

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It’s Time for a Venial Value-Timing Sin

It’s Time for a Venial Value-Timing Sin

🕔16:58, 24.Feb 2020

Cliff’s Perspective  Early in the classic movie Young Frankenstein, when the villagers’ suspicions have begun to rise, inspector Kemp cautions them against going too far and starting a dangerous riot. Later in the movie he relents and announces that this

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Featured Events & Webinars

Events & Webinars

Twitter

#HighYield – #Research Highlights by http://OpinioPro.com -> https://www.opiniopro.com/2021/01/editorteam/highyield-research-highlights/

Chief Investment Strategist @hanswstegeman advocates a paradigm shift to restore the balance between nature, society, and the economy.

Listen to this podcast of @trends_be (Dutch), in which he lays out his vision: "A sustainable society does not have to be a socialist paradise."

Municipal bonds have rebounded from their meltdown, but there's still value — if you know where to look. See where we’re uncovering the most attractive #AfterTax yields. https://bit.ly/2LXKEO0

In a context where active risk management remains key, alternative assets can add some asymmetry to traditional equity and fixed income portfolios. What assets do you think investors should consider in 2021? #UBPInvestmentOutlook http://Bit.ly/InvestmentOutlook_2021

Are there better risk strategies than diversification? Sébastien Page, Head of Global Multi Asset, answers this question and more as part of our Beyond Disruption series with the CNBC Brand Studio. Watch the full interview: https://cnb.cx/35D3mlm

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