Understanding Style Premia

Four investment “styles” – Value, Momentum, Carry, and Defensive – have emerged as compelling sources of alternative returns, backed by economic theory and decades of data across geographies and asset groups. When applied as long-short strategies, these styles have delivered positive long-term returns across multiple asset groups and markets, with low correlations to other investments.

In this paper, AQR Capital Management, LLC, describes “style investing,” discusses the intuition and evidence underlying styles, and describes a strategy designed to access these sources of returns in a liquid, market-neutral framework.