What Is AQR?

AQR Capital Management is a quantitative asset manager co-founded by Cliff Asness, John Liew and others in 1998, known for academically grounded factor investing research. Beyond managing money, AQR publishes a widely cited public data library of refined factor returns that improve on the classic Fama-French factors.

AQR’s signature factors include QMJ (quality), HML-Devil (an improved value factor), UMD (momentum) and BAB (low-beta). These often dominate the raw Fama-French versions in portfolio construction because of cleaner construction and better risk-adjusted returns.

Example: a mean-variance Sharpe-optimal long-only portfolio of ten beta-hedged Fama-French and AQR factors allocated entirely to AQR factors — QMJ 37%, HML-Devil 31%, UMD 25%, BAB 7% — reaching Sharpe 1.50 versus 1.00 for an equal-weight blend.

Literature and references:

• AQR Data Sets and Factor Library.

See also

• Fama-French factors

• Quality Minus Junk (QMJ)

• HML-Devil

• Betting Against Beta (BAB)