AQR Capital Management is an investment management firm employing a disciplined multi-asset, global research process. AQR's investment products are provided through a limited set of collective investment vehicles and separate accounts that utilize all or a subset of AQR's investment strategies. These investment products span from aggressive high volatility market-neutral hedge funds, to low volatility benchmark-driven traditional products. Investment decisions are made using a series of global asset allocation, arbitrage, and security selection models, and implemented using proprietary trading and risk-management systems. AQR believes that a systematic and disciplined process is essential to achieve long-term success in investment and risk management. In addition, models must be based on solid economic principles, not simply built to fit the past, and must contain as much common sense as they do statistical firepower. The principals of the firm have been pursuing this research since the late 1980s, and have been implementing this research in one form or another since 1993. The research of AQR's principals is internationally renowned and has resulted in numerous published papers in a variety of professional journals since 1991.

INVESTMENT PHILOSOPHY
Our investment philosophy is based on the fundamental concepts of value and momentum. Value investing is simply buying cheap securities and selling expensive ones. Momentum investing is simply buying securities that are getting better and selling ones getting worse. We express both concepts through numerous proprietary indicators across many markets. We consider ourselves fundamental investors who use quantitative tools to maintain a diversified portfolio that is long cheap securities with good momentum and short expensive securities with poor momentum. Applying this basic valuation and momentum philosophy across a wide variety of strategies and markets, putting tremendous effort into minimizing transactions costs, and incorporating disciplined risk-control will, we believe, lead to attractive long-term results.

Value and momentum make a powerful combination, as the two strategies are significantly negatively correlated to one another. Value strategies tend to be long assets that have done poorly and short assets that have done well (over the long-term). Momentum strategies tend to be long assets that have done well and short assets that have done poorly (over the short to medium term). This tendency induces a strong negative correlation between the two strategies. Rarely in finance can one find two investment strategies that both have positive expected returns, but significant negative correlation. The combination produces an investment that preserves the expected return of both assets but has dramatically lower volatility.

AQR Capital Management