Foundational Research
The cornerstones of AQR's research that established the core factors in quantitative investing and transformed academic theory into institutional practice.
Value and Momentum Everywhere
Asness, Moskowitz, Pedersen
Value and momentum premia are pervasive across global markets and asset classes, are negatively correlated, and share a common global factor structure.
Impact: Established the theoretical foundation for multi-asset factor investing
Betting Against Beta
Frazzini, Pedersen
Leverage constraints cause investors to bid up high-beta assets, creating an anomaly where a portfolio long low-beta assets and short high-beta assets generates significant alpha.
Impact: Revolutionized understanding of risk-return relationships in equity markets
Quality Minus Junk
Asness, Frazzini, Pedersen
High-quality (safe, profitable, growing) stocks are not fully priced, allowing a 'Quality-Minus-Junk' factor to earn high risk-adjusted returns and act as a diversifier.
Impact: Formalized quality as a systematic investment factor with measurable alpha