Every systematic investor eventually faces the question: to AQR, or not to AQR?
When are Vanguard, Avantis, or DFA no longer enough to meet your objectives?
A framework for when added cost and complexity might earn its way in: https://t.co/OtO0ARzwQz
AQR factors vs Fama-French factors:
The Quality and especially the Low-risk constructions yield a great boost in Sharpe.
For the Momentum factors there's no big difference and Devil's Value underperforms bare value.
But AQR's Momentum and Value factors are designed as a combo with higher anti-correlation, and viewed as a combo they have outperformed nicely.
@mihaljevic@ChrisBloomstran Per Grok, Semper funds have shown strong outperformance in 2000–2002 and 2008–2011 bear/recovery phases; but lagged during bull markets dominated by growth stocks.