Do Value and Momentum Work Outside of Stocks

As we move toward introducing AQR’s Style Premia fund in the alternatives portion of our model portfolios, one basic question has been, “Why?” Speci cally, what is the basis for the strategy AQR Style Premia is pursuing, and does it jive with an evidence-based approach to investing? The basis for the fund’s strategy primarily relies on the evidence that both value and momentum styles have worked in a multitude of asset classes, not just individual stocks. In this piece, we review that evidence and why it makes a compelling case for including a style premium approach within an overall portfolio. We also discuss how style premium strategies help diversify traditional stock and bond portfolios.