Andrea Frazzini is a principal at AQR Capital Management and a leading researcher at the intersection of academic finance and quantitative investing.
Key contributions
- Betting Against Beta (2014, with Pedersen): formalized the leverage-constraint explanation for the flat security market line and constructed the BAB factor across multiple asset classes
- The Devil is in the Details (2013): showed that HML’s construction using lagged book values reduces its effectiveness; a “timely” value factor (HML-Devil) using current prices for B/M substantially improves performance
- Trading costs of asset pricing anomalies: demonstrated that transaction costs for well-constructed factor strategies are much lower than commonly assumed, with AQR’s live trading data showing costs of 5-20 bps vs. academic estimates of 100+ bps
- Quality Minus Junk (2019, with Asness and Pedersen): co-developed the QMJ factor
Affiliations
- AQR Capital Management (Principal)
- Previously: University of Chicago Booth School of Business