In addition to attractive returns, many hedge funds claim to provide significant diversification
for traditional portfolios. This paper empirically examines the return and diversification …

Political risk represents a more important determinant of stock returns in emerging than in
developed markets. Using analyst estimates of political risk, we show that average returns in …

Book-to-market ratio (BE/ME), market equity (ME), and 1-year past return (momentum)(MOM)
help explain the cross-section of expected individual stock returns within the US and other …

Clifford S. Asness, Jacques A. Friedman, Robert J. Krail, and John M. Liew si m fo ea po ve
w st re o st le de an po an ti va w gr th fir va E m to gr w ar sp tion for the value spread, we …

Critics of international diversification observe that it does not protect investors against short-term
market crashes because markets become more correlated during downturns. Although …

We define “deep value” as episodes where the valuation spread between cheap and expensive
securities is wide relative to its history. Examining deep value across global individual …

Jusvin Dhillon, Antti Ilmanen, and John Liew of AQR Capital Management examine life-cycle
funds, which have become an enormous industry in recent years. Such funds offer retail …

Using analyst estimates of political risk, we show that political risk represents a more important
determinant of stock returns in emerging than developed markets. Average returns in …

A large body of work documents a negative relation between expected nominal stock returns
and expected inflation in the US and other developed countries. This paper argues that the …

In 2020, approximately all universities worldwide abruptly closed due to an urgent public
health issue to stop the COVID-19 epidemic from spreading. Unfortunately, even though some …