The following is a list of selected research papers published by AQR personnel:


Aghassi, M., D. Bertsimas, and G. Perakis, Solving Asymmetric Variational Inequalities via Convex Optimization, Operations Research Letters, 2005.

Aghassi, M., D. Bertsimas, Robust Game Theory, Mathematical Programming, Series B, Special Issue on Robust Optimization, 2005.

Aghassi, M., Robust Optimization, Game Theory, and Variational Inequalities, Operations Research Center MIT, 2005.

Arnott, Robert D. and Cliff Asness,  Surprise!  Higher Dividends = Higher Earnings Growth, Financial Analysts Journal, 2003 AIMR Graham and Dodd Award.

Asness, Cliff, Changing Equity Risk Premia and Changing Betas over the Business Cycle and January, University of Chicago, 1992.

Asness, Cliff, Negative Expected Equity Returns and the Business Cycle, University of Chicago, 1992.

Asness, Cliff, The Term Structure of Expected Equity Returns and the Business Cycle, University of Chicago, 1992.

Asness, Cliff, The Power of Past Stock Returns to Explain Future Stock Returns,  Goldman Sachs Asset Management, 1995.

Asness, Cliff, One Reason not to Avoid Market Timing, AQR Capital Management working paper, 1996.

Asness, Cliff, The Interaction Between Value and Momentum Strategies, Financial Analysts Journal, 1997.

Asness, Cliff, Jacques Friedman, Robert Krail and John Liew,  Style Timing: Value vs. Growth, Journal of Portfolio Management, 2000.

Asness, Cliff, John Liew and Ross Stevens, Parallels Between the Cross-sectional Predictability of Stock and Country Returns, Journal of Portfolio Management, 1997.

Asness, Cliff, R. Burt Porter and Ross Stevens, Predicting Stock Returns Using Industry-Relative Firm Characteristics, On Review with the Journal of Finance, 2000.

Asness, Cliff, Tobias Moskowitz and Lasse Pedersen, Value and Momentum Everywhere, AQR Capital Management working paper, 2008.  

Carhart, Mark, Robert Krail, Ross Stevens and Kelly Welch, Testing the Conditional CAPM, University of Chicago, 1996.

Corrigan, Gerald, and David Kabiller, Derivatives: Improved Asset Management or Risk Creation?, Goldman Sachs Pension and Endowment Forum, 1994.

Diamonte, Robin, John Liew and Ross Stevens, Political Risk in Emerging and Developed Markets, Financial Analysts Journal, 1996.

Ehrlich, Alex, David Kabiller, Ken Miller, Kaysie Uniacke, Securities Lending: Minimizing Risk, Maximizing Return, Goldman Sachs Pension & Endowment Forum, 1996.

Frazzini, Andrea, The Disposition Effect and Under-reaction to News, Journal of Finance, 2006. Winner of First Prize, Chicago Quantitative Alliance Academic Paper Competition 2004, Winner of First Prize, PanAgora Asset Management Crowell Memorial Prize Competition, 2004-5

Frazzini, Andrea, Owen Lamont, Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns, Journal of Financial Economics, 2006.

Frazzini, Andrea, Lauren Cohen, Economic Links and Predictable Returns, Journal of Finance, 2008. Smith Breeden Distinguished paper prize 2008, Winner of First Prize, Chicago Quantitative Alliance Academic Paper Competition 2006 

Frazzini, Andrea, Owen Lamont, The Earnings Announcement Premium and Trading Volume, NBER Working paper w13090, 2006.  

Greenwood, Robin M., Nathan Sosner, Trading Patterns and Excess Comovement of Stock Returns, Financial Analysts Journal, 2007. 

Hamada, Takehiro, and John Liew, An Anomaly in the Topix-Nikkei Spread, AQR Capital Management working paper, 2000.

Jones, Bob, David Kabiller and Larry Kohn, Enhanced Indexation, Goldman Sachs Pension and Endowment Forum, 1995.

Kim, Hoon, Dynamic Relation Between Stock Returns and Key Financial Ratios: A Variance Decomposition Approach, Carnegie Mellon University, 2001.

Krail, Robert, Bivariate GARCH Hedging, University of Chicago, 1992.

Krail, Robert, Global Momentum Strategies, University of Chicago working paper, 1996.

Liew, John, Stock Returns, Inflation, and Real Money Supply: Evidence from Emerging Markets, University of Chicago, 1993.

Liew, John, Stock Returns and the Real Money Supply, University of Chicago, 1994.

Liew, John, Global Return Variation, University of Chicago, 1995.

Pedersen, Lasse and Markus Brunnermeier, Market Liquidity and Funding Liquidity, The Review of Financial Studies,22, 2201-2238.

Pedersen, Lasse, Markus Brunnermeier and Stefan Nagel, Carry Trades and Currency Crashes, NBER Macroeconomics Annual, 23, 313-348. 

Pedersen, Lasse and Nicolae Garleanu,  Liquidity and Risk Management, American Economic Review, 2007.   

Pedersen, Lasse, Darrell Duffie and Nicolae Garleanu, Valuation in Over-the-Counter Markets, The Review of Financial Studies, 2007.  

Pedersen, Lasse, Yakov Amihud, and Haim Mendelson, Liquidity and Assets Prices, Foundations and Trends in  Finance, 2005    

Pedersen, Lasse and Viral Acharya, Asset Pricing with Liquidity Risk, Journal of Financial Economics, 2005. Fama/DFA First Prize for best paper in Journal of Financial Economics 2005, NYSE Award for best paper Western Finance Association 2003, Glucksman First Place Award for best research paper, 2002-2003

Pedersen, Lasse and Markus Brunnermeier, Predatory Trading, Journal of Finance, 2005. Nominated for Smith-Breeden Prize for best paper, Barclays Global Investors Award for best paper at the European Finance Association, 2003 

Pedersen, Lasse, Darrell Duffie and Nicolae Garleanu, Over-the-Counter Markets, Econometrica, 2005. 

Pedersen, Lasse, Darrell Duffie and Nicolae Garleanu, Securities Lending, Shorting, and Pricing, Journal of Financial Economics, 2002.


The opinions and views expressed in the above research papers and/or articles do not necessarily reflect those of ALPS Distributors, Inc. and are subject to change at any time based on market and other conditions. These views may not be relied on as investment advice. Additionally, any references to specific company securities should not be construed as a recommendation or investment advice.


Global Equity Fund. The Fund uses derivatives to manage its country and currency exposures. The use of derivatives exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund's initial investment as well as increased transaction costs. Foreign investing involves special risks such as currency fluctuations and political uncertainty.

 


All AQR Funds. An investment in any of the AQR Funds involves risk, including loss of principal. The value of the Funds’ portfolio holdings may fluctuate in response to events specific to the companies in which the Fund invests, as well as economic, political or social events in the United States or abroad. Please refer to the prospectus for complete information regarding all risks associated with the Funds.

An investor considering the Funds should be able to tolerate potentially wide price fluctuations. The Funds are subject to high portfolio turnover risk as a result of frequent trading, and thus, will incur a higher level of brokerage fees and commissions, and cause a higher level of tax liability to shareholders in the Funds. The Funds may attempt to increase its income or total return through the use of securities lending, and they may be subject to the possibility of additional loss as a result of this investment technique.