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Andrea frazzini betting against beta

Journal Article - November 1, Journal Article - January 1, Journal Article - August 21, If you choose to visit the linked sites, you do so at your own risk, and you will be subject to such sites' terms of use and privacy policies, over which AQR.

In no event will AQR be responsible for any information or content within the linked sites or your use of the linked sites. The information contained herein is only as current as of the date indicated, and may be superseded by subsequent market events or for other reasons. The views and opinions expressed herein are those of the author and do not necessarily reflect the views of AQR Capital Management, LLC, its affiliates or its employees.

This information is not intended to, and does not relate specifically to any investment strategy or product that AQR offers. Past performance is not a guarantee of future results. Hypothetical performance results have many inherent limitations, some of which, but not all, are described herein. The hypothetical performance shown was derived from the retroactive application of a model developed with the benefit of hindsight.

Hypothetical performance results are presented for illustrative purposes only. Diversification does not eliminate the risk of experiencing investment loss. Certain publications may have been written prior to the author being an employee of AQR. This material is intended for informational purposes only and should not be construed as legal or tax advice, nor is it intended to replace the advice of a qualified attorney or tax advisor.

AQR Capital Management is a global investment management firm, which may or may not apply similar investment techniques or methods of analysis as described herein. The views expressed here are those of the authors and not necessarily those of AQR.

You are about to leave AQR. Back to Learning Center. Betting Against Beta. Murray Prize Third Place We test the model's predictions within U. Consistent with the model, we find in each asset class that a betting-against-beta BAB factor which is long a leveraged portfolio of low-beta assets and short a portfolio of high-beta assets produces significant risk-adjusted returns.

When funding constraints tighten, betas are compressed towards one, and the return of the BAB factor is low. The authors are affiliated with AQR Capital Management, a global asset management firm that may apply some of the principles discussed in this research in some of its investment products. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. Download Citation Data.

Roger F. Murray Prize, Featured in The Economist, the Financial Times. Share Twitter LinkedIn Email. Working Paper

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Murray Prize, Featured in The Economist, the Financial Times. Share Twitter LinkedIn Email. Working Paper DOI Issue Date December Revision Date December Other Versions December 5, Programs Asset Pricing. Working Groups Behavioral Finance. The Economics of Digitization. This information is not intended to, and does not relate specifically to any investment strategy or product that AQR offers.

Past performance is not a guarantee of future results. Hypothetical performance results have many inherent limitations, some of which, but not all, are described herein. The hypothetical performance shown was derived from the retroactive application of a model developed with the benefit of hindsight.

Hypothetical performance results are presented for illustrative purposes only. Diversification does not eliminate the risk of experiencing investment loss. Certain publications may have been written prior to the author being an employee of AQR. This material is intended for informational purposes only and should not be construed as legal or tax advice, nor is it intended to replace the advice of a qualified attorney or tax advisor. AQR Capital Management is a global investment management firm, which may or may not apply similar investment techniques or methods of analysis as described herein.

The views expressed here are those of the authors and not necessarily those of AQR. You are about to leave AQR. Back to Learning Center. Betting Against Beta. Murray Prize Third Place Research Journal Article. Related Thinking Buffett's Alpha. Leverage Aversion and Risk Parity. December 31, February 27, You are now leaving AQR. Cancel Proceed.

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