New Research Wins First Annual AQR Insight Award

Tue May 29, 2012 10:00am EDT

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New Research Wins First Annual AQR Insight Award

First Annual AQR Insight Award Presented for Innovative Technique to Predict Market Returns More Accurately

AQR Capital Management, LLC today presented its first annual AQR Insight Award to Bryan Kelly, Ph.D., of the University of Chicago and Seth Pruitt, Ph.D., of the Federal Reserve Board of Governors for their innovative and practical unpublished research in predicting market returns more accurately over one-month and one-year time horizons.

AQR Insight Award first prize winner, Bryan Kelly, Ph.D., of the University of Chicago, presents to  ...

AQR Insight Award first prize winner, Bryan Kelly, Ph.D., of the University of Chicago, presents to the AQR Insight Award Committee on Apr. 27, 2012 in Greenwich, Conn. Photo by C.M. Glover.

The AQR Insight Award is designed to encourage and honor academics who are impacting the world of investing. Among hundreds of submissions from 24 countries, the AQR Insight Award Committee chose five finalists, who presented their research on Apr. 27, 2012 in Greenwich, Conn.

“It was a privilege to host these talented academics, and the interactive exchange was compelling and productive,” said David Kabiller, founding principal at AQR. “We were inspired by the innovation and insights of the work. It is our hope that this engagement will also make us better investors.”

Kelly and Pruitt’s research, “Market Expectations in the Cross Section of Present Values,” uses disaggregated valuation ratios to predict market returns more accurately. “While aggregate measures such as the market’s overall book-to-market ratio can contain predictive information, we find significantly more predictability when using price ratios of individual stocks,” Kelly explained. “It was great to be invited to present and to exchange ideas with such an important financial institution as AQR.”

Two papers were recognized as AQR Insight Award Distinguished Papers. “The Other Side of Value: The Gross Profitability Premium by Robert Novy-Marx, Ph.D., of the University of Rochester quantified how stocks’ profitability can be used to enhance the performance of value portfolios. “The Recovery Theorem” by Steve Ross, Ph.D., of MIT uncovered a new approach to determine the market’s forecasts of risk and return using option data.

The following authors earned honorable mentions for their research:

“Countercyclical Currency Risk Premia”
Hanno Lustig, Ph.D., of UCLA Anderson
Nikolai Roussanov, Ph.D., of University of Pennsylvania
Adrien Verdelhan, Ph.D., of MIT
 
“The Short of It: Investor Sentiment and Anomalies”
Robert Stambaugh, Ph.D., of University of Pennsylvania
Jianfeng Yu, Ph.D., of University of Minnesota
Yu Yuan, Ph.D., of University of Pennsylvania

For more information about the 2012 AQR Insight Award winners, please visit www.aqr.com/insightaward.

Contact: insightaward@aqr.com

About The AQR Insight Award

To honor and encourage applied innovation in academic research, the AQR Insight Award, sponsored by AQR Capital Management, recognizes important, unpublished papers that provide the most significant new practical insights for tax-exempt institutional or taxable investor portfolios. Up to three papers share a $100,000 prize.

The Second Annual AQR Insight Award submission deadline is January 15, 2013.

About AQR

AQR Capital Management is a global investment management firm employing a disciplined and analytical research process to macroeconomic and fundamental data. AQR’s diversified offerings range from traditional benchmark-oriented long-only strategies to absolute return alternative strategies. As of March 31, 2012, AQR manages approximately $51.8 billion worldwide for institutional investors, including pensions, insurance companies, endowments, foundations and sovereign wealth funds, as well as registered investment advisors. Founded in 1998, AQR is based in Greenwich, Connecticut, with offices in Chicago, London and Sydney.

This is being provided solely for information purposes and does not constitute an offer or solicitation of an offer, or any advice or recommendation, to purchase securities or financial instruments, and may not be construed as such or serve as the basis of any investment decision.

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AQR Capital Management, LLC
Margaret E. Wyrwas, 203-742-3608
Marge.Wyrwas@aqr.com

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