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AQR Latest Activity

AQR's factor and asset-allocation research, plus Cliff Asness's views and debates.

9 related activitiesLast 30 days 3 itemsFeatured among them 0 items

Updated

AQRrelated activities

12 OctMonIssue 1–9 items
  1. AQR: Research38

    Misconceptions About Tax-Aware Long-Short Strategies: The Misleading Analogy to Direct Indexing (Part 3)

    AQR has released the third part of its research series on tax-aware long-short (TA LS) strategies, clarifying two common misconceptions. As an active investment strategy, TA LS deliberately retains tracking error to express alpha models and capture excess returns and tax deferral benefits, rather than minimizing tracking error like direct indexing. Portfolio construction for TA LS requires balancing expected returns, risk, costs, and taxes, rather than simply realizing capital losses or deferring capital gains.

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28 SeptMon
  1. AQR: Research50

    AQR: Common Misconceptions About Tax-Aware Long-Short Investing (Part 2) — The Misleading Analogy to Direct Indexing

    AQR has published the second installment of its research series on tax-aware long-short (TA LS) investing, clarifying two misconceptions arising from analogies to direct indexing. First, the tax benefits of TA LS come primarily from deferred capital gains rather than active loss harvesting: its loss realization pace is similar to ordinary tax-insensitive strategies, and tax-aware optimization is mainly used to avoid selling positions with existing unrealized gains, especially short-term gains.

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21 SeptMon
15 SeptTue
  1. AQR: Research42

    Will Inflation Make a Comeback? AQR Updates Inflation Sensitivity and Inflation Hedging Analysis

    AQR has updated its previous analysis of inflation sensitivity and inflation hedging, based on over 50 years of market data. While global inflation has fallen rapidly from its 2022 peak, inflation uncertainty persists in major markets, stock-bond correlations are at multi-decade highs, and traditional stock-bond portfolios are vulnerable to simultaneous losses during inflation shocks. Commodities and trend-following strategies perform strongly during inflation upcycles and can serve as inflation diversification tools, with implementation methods significantly affecting long-term returns and macro diversification outcomes.

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10 SeptThu
  1. AQR: Research29

    The core competitiveness of quantitative investment in the AI era lies in human creativity and emotional intelligence

    AQR co-founder and dean of Northwestern University’s Kellogg School of Management co-authored an article pointing out that AI can automate most analytical and technical capabilities in quantitative investment, making creativity and emotional intelligence enduring competitive advantages that are difficult to replace. AQR is leveraging the Quanta Academy, launched in 2015, to expand relevant capability development, while Kellogg School of Management also promotes students’ simultaneous development of analytical skills and soft skills through programs such as MBAi. Research shows that the impact of AI on empathy is not fixed, and depends on tool design choices and organizational culture building.

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8 SeptTue
1 SeptTue
  1. AQR: Research44

    AQR Research on Investing in a Warming World: Analysis of Differences Between Mainstream Portfolio Carbon Metrics and Financed Emissions

    AQR has released the research Investing in a Warming World, noting that mainstream portfolio carbon metrics such as carbon footprint and carbon intensity are easily affected by rising stock market valuations, and may show improvement even when corporate emissions change little, potentially overestimating decarbonization progress when used as time-series measures of decarbonization. Financed emissions are more directly linked to real-world emissions outcomes. The study also explores approaches to constructing climate-oriented portfolios, noting that combining multiple metrics can provide a more comprehensive assessment of climate-related investment progress.

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28 AugFri
  1. AQR: Research38

    AQR Research: Accessing Liquidity Without Liquidating

    AQR research explores whether tax-aware equity strategies can provide sufficient liquidity without full liquidation, while preserving investment objectives. The study finds that substantial capital can be extracted while maintaining tracking error, leverage, and pre-tax information ratio. The tax-efficient extraction capability of long-short strategies is generally superior to that of direct indexing strategies, and improves with higher strategy tracking error and leverage levels.

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15 AugSat
  1. EDGAR 13F：AQR14

    AQR Files 13F-HR Quarterly Holdings Report

    AQR filed its 13F-HR quarterly holdings report on 2026-08-14, with a reporting period ending 2026-06-30, accepted by the SEC on the same day. This filing includes the main document and the holdings information table. The complete submission text file number is 0001167557-26-000226.txt, and AQR's contact address is ONE GREENWICH PLAZA SUITE 130 GREENWICH CT 06830.

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