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Style Premia Investing: Overview and Performance Review Prepared Exclusively for Clare College Style Premia Investing: Overview and Performance Review Prepared exclusively for Clare College Private and Confidential Presented by Antti Ilmanen Principal, Global Head of Portfolio Solutions, AQR August 2019 For Institutional Investor Use Only Disclosures The information set forth herein has been obtained or derived from sources believed by AQR Capital Management, LLC (“AQR”) to be reliable. However, AQR does not make any representation or warranty, express or implied, as to the information’s accuracy or completeness, nor does AQR recommend that the attached information serve as the basis of any investment decision. This document has been provided to you solely for information purposes and does not constitute an offer or solicitation of an offer, or any advice or recommendation, to purchase any securities or other financial instruments, and may not be construed as such. This document is intended exclusively for the use of the person to whom it has been delivered by AQR and it is not to be reproduced or redistributed to any other person. Please refer to the Appendix for more information on risks and fees. Past performance is not a guarantee of future performance. This presentation is not research and should not be treated as research. This presentation does not represent valuation judgments with respect to any financial instrument, issuer, security or sector that may be described or referenced herein and does not represent a formal or official view of AQR. The views expressed reflect the current views as of the date hereof and neither the speaker nor AQR undertakes to advise you of any changes in the views expressed herein. It should not be assumed that the speaker will make investment recommendations in the future that are consistent with the views expressed herein, or use any or all of the techniques or methods of analysis described herein in managing client accounts. AQR and its affiliates may have positions (long or short) or engage in securities transactions that are not consistent with the information and views expressed in this presentation. The information contained herein is only as current as of the date indicated, and may be superseded by subsequent market events or for other reasons. Charts and graphs provided herein are for illustrative purposes only. The information in this presentation has been developed internally and/or obtained from sources believed to be reliable; however, neither AQR nor the speaker guarantees the accuracy, adequacy or completeness of such information. Nothing contained herein constitutes investment, legal, tax or other advice nor is it to be relied on in making an investment or other decision. There can be no assurance that an investment strategy will be successful. Historic market trends are not reliable indicators of actual future market behavior or future performance of any particular investment which may differ materially, and should not be relied upon as such. Target allocations contained herein are subject to change. There is no assurance that the target allocations will be achieved, and actual allocations may be significantly different than that shown here. This presentation should not be viewed as a current or past recommendation or a solicitation of an offer to buy or sell any securities or to adopt any investment strategy. The information in this presentation may contain projections or other forward‐looking statements regarding future events, targets, forecasts or expectations regarding the strategies described herein, and is only current as of the date indicated. There is no assurance that such events or targets will be achieved, and may be significantly different from that shown here. The information in this presentation, including statements concerning financial market trends, is based on current market conditions, which will fluctuate and may be superseded by subsequent market events or for other reasons. Performance of all cited indices is calculated on a total return basis with dividends reinvested. The investment strategy and themes discussed herein may be unsuitable for investors depending on their specific investment objectives and financial situation. Please note that changes in the rate of exchange of a currency may affect the value, price or income of an investment adversely. Neither AQR nor the speaker assumes any duty to, nor undertakes to update forward looking statements. No representation or warranty, express or implied, is made or given by or on behalf of AQR, the speaker or any other person as to the accuracy and completeness or fairness of the information contained in this presentation, and no responsibility or liability is accepted for any such information. By accepting this presentation in its entirety, the recipient acknowledges its understanding and acceptance of the foregoing statement. 2 Today’s Presenters Antti Ilmanen, Ph.D., Principal Antti manages AQR’s Portfolio Solutions Group, which advises institutional investors and sovereign wealth funds, and develops the firm’s broad investment ideas. Before AQR, Antti spent seven years as a senior portfolio manager at Brevan Howard, a macro hedge fund, and a decade in a variety of roles at Salomon Brothers/Citigroup. He began his career as a central bank portfolio manager in Finland. Antti earned M.Sc. degrees in economics and law from the University of Helsinki and a Ph.D. in finance from the University of Chicago. Over the years, he has advised many institutional investors, including Norway’s Government Pension Fund Global and the Government of Singapore Investment Corporation. Antti has published extensively in finance and investment journals and has received a Graham and Dodd award, the Harry M. Markowitz special distinction award, and multiple Bernstein Fabozzi/Jacobs Levy awards for his articles. His book Expected Returns (Wiley, 2011) is a broad synthesis of the central issues in investing. Antti received the CFA Institute's 2017 Leadership in Global Investment Award. 3 Outline Who Is AQR? Challenges of the Current Market Environment Some Style Premia Reminders and Recent Performance (Re-)Introduction to Style Premia The Long-Term Evidence Looking Forward FAQs 4 Our Firm Systematic investing grounded in economic theory Investment innovation at the nexus of economics, behavioral finance, data 1998 and technology Year founded • Dedicated to the pursuit of investment ~1000 excellence for our clients Employees in 10 offices globally • Pioneer in quantitative investing through applied research $194 Billion in AUM • Leading provider of long-only and liquid alternative strategies • Clients representing some of the largest and 82 most sophisticated investors across the globe Ph.D.s and 24 professors Source: AQR. All figures approximate as of 6/30/2019; AUM includes assets managed by AQR and its advisory affiliates. Includes current and former professors 5 Our Approach Fundamental investors pursuing advantages at every step Fundamental Investing We rely on sound economic theory and analysis to help us deliver long-term, repeatable results. Systematically Applied A disciplined methodology underlies everything we do. Our models, built over 20 years, are based on a continuous process of design, test, refine, repeat. Thoughtfully Designed In portfolio construction, risk management and trading we seek additional value for our clients. Using both qualitative and quantitative tools, we’re meticulous in every detail of the investment process. Source: AQR. 6 Assets Under Management Our assets are diversified by client type and across regions By Type By Region Pension — Public Pension — Corporate $53 B $38 B Financial Advisors Sovereign Wealth & Private Banks $28 B $36 B North Australia & Latin America Europe Middle East Asia Insurance America New Zealand & Other Asset Endowment & $9 B Management Foundation $118 B $34 B $11 B $6 B $24 B $1 B $13 B $13 B Union / Multi Employer $4 B Source: AQR. *Approximate as of 6/30/2019, includes assets managed by AQR and its advisory affiliates. 7 Our Team Experienced leadership across disciplines Cliff Asness, Ph.D.* Managing and Founding Principal John Liew, Ph.D.* David Kabiller, CFA* Founding Principal Founding Principal Portfolio Management, Research, Risk, and Trading Business Development Corporate Infrastructure Legal and Compliance Ronen Israel* Lars Nielsen* Principal Principal Portfolio Management and Research Portfolio Finance Client Solutions Finance Legal Michele Aghassi, Ph.D. Ari Levine Scott Carter Gregor Andrade, Ph.D. Marco Hanig, Ph.D. John Howard* Billy Fenrich Principal Principal Principal Principal Principal Principal Principal Chief Finance Officer Chief Legal Officer Jordan Brooks, Ph.D. Tobias Moskowitz, Ph.D. Bill Cashel Michael Mendelson* Co-Chief Operating Officer Principal Principal Principal Principal Risk Management Bradley Asness Compliance Principal Andrea Frazzini, Ph.D. Yao Hua Ooi Michael Patchen, CFA Jeff Dunn Chris Palazzolo, CFA Co-Chief Operating Officer H.J. Willcox Principal Principal Principal Principal Principal Principal Chief Risk Officer Chief Compliance Officer Jacques Friedman Lasse Pedersen, Ph.D. Jeremy Getson, CFA Ted Pyne, Ph.D. Accounting, Operations, Principal Principal Trading Principal Principal and Client Administration Brian Hurst Scott Richardson, Ph.D. Isaac Chang Steve Mellas Principal Principal Managing Director Marketing Portfolio Solutions Principal John Huss Nathan Sosner, Ph.D. Suzanne Escousse Antti Ilmanen, Ph.D. Principal Principal Principal Principal Chief Marketing Officer Human Resources Roni Israelov,
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