Browsing: AQR

Posts Tagged ‘ AQR ’

For Practitioners of Risk Parity: Don’t Panic

Dec 6th, 2015 | Filed under: Newly Added, Hedge Fund Operations and Risk Management, Risk management, Risk Management Strategies & Processes, Allocating to A.I.

A new paper by Cliff Asness puts the recent relative weakness of Risk Parity Portfolio performance into a broader context. The cumulative excess return from what he calls "simple risk parity" continues to rise steadily though undramatically. Read More


For Practitioners of Risk Parity: Don’t Panic

Oct 6th, 2015 | Filed under: Newly Added, Risk management, Asset allocation, Benchmarking & Performance Attribution, Asset Allocation Models, Risk Management Strategies & Processes, Allocating to A.I.

A new paper by Cliff Asness puts the recent relative weakness of Risk Parity Portfolio performance into a broader context. The cumulative excess return from what he calls "simple risk parity" continues to rise steadily though undramatically. Read More


The Skorina Report: Wall Street Pay & CEO Performance: Who got their money’s worth?

Jun 4th, 2015 | Filed under: Alpha-centric Companies, Asset Managers, Institutional Investing, Alpha Hunters, High-net-worth investors

Charles Skorina presents his annual CEO compensation report and a little bit more.Read More


Time Flies and Statistics Lag: Thoughts on Factors

Aug 14th, 2012 | Filed under: Behavioral finance

Clifford Asness and Andrea Frazzini show that an important detail in the way scholars go about studying factor pricing and behavioral finance is seriously flawed. The detail in question dates to an influential paper by Eugene Fama and Kenneth French, "The Cross-Section of Expected Stock Returns," (1992). Read More