AQR Capital Management is a quantitative investment firm founded in 1998 by clifford-asness, David Kabiller, John Liew, and Robert Krail. Based in Greenwich, CT, AQR is one of the largest systematic asset managers globally.
Research contributions
AQR researchers have authored or co-authored several foundational papers in the factor investing literature. In this collection:
- Value and Momentum Everywhere (Asness, Moskowitz, Pedersen 2013)
- Fact, Fiction, and Momentum Investing (Asness, Frazzini, Israel, Moskowitz 2014)
- Quality Minus Junk (Asness, Frazzini, Pedersen 2019)
- Betting Against Beta (Frazzini, Pedersen 2014)
- There Is No Size Effect: Daily Edition (Asness 2020)
- Is Value Just an Interest Rate Bet? (Asness 2022)
Investment approach
AQR’s strategies are built directly on the academic factor literature, systematically harvesting premia from value, momentum, quality, and other factors across multiple asset classes and geographies. The firm’s live trading data has been used to demonstrate that momentum strategies survive real-world transaction costs (Asness et al. 2014: $1 trillion+ in trades showing per-dollar costs roughly one-tenth of academic estimates).
Key personnel in this collection
- Clifford S. Asness (managing principal)
- Andrea Frazzini (principal)
- Ronen Israel (principal)
- Tobias J. Moskowitz (consultant, U. Chicago professor)
- Lasse Heje Pedersen (NYU/CBS professor)