2015 AQR Insight Award Winners Announced

Two Papers Share First Prize

GREENWICH, Conn.--()--AQR Capital Management, LLC (“AQR”) today announced the winners of its fourth annual AQR Insight Award.

Two papers share First Prize: “Commodity Trade and the Carry Trade: A Tale of Two Countries,” by Robert Ready, Ph.D., Simon School of Business, University of Rochester; Nikolai Roussanov, Ph.D., Wharton School, University of Pennsylvania, and NBER; and Colin Ward, Ph.D., Carlson School of Management, University of Minnesota; and “Option-Based Credit Spreads,” by Christopher L. Culp, Ph.D., Johns Hopkins University and Swiss Finance Institute; Yoshio Nozawa, Ph.D., Federal Reserve Board; and Pietro Veronesi, Ph.D., University of Chicago Booth School of Business, NBER and CEPR.

“Commodity Trade and the Carry Trade” describes a general equilibrium model of international trade and currency pricing that identifies risk differences across currencies and can be used to understand profitable carry trade strategies. “Option-Based Credit Spreads” offers a novel, model-free benchmark for credit risk analysis, which can be used to run empirical experiments on credit-spread biases, the impact of asset uncertainty, and bank-related rollover risk.

“Since we founded the AQR Insight Award in 2011, we have received submissions from top researchers from around the globe,” said AQR Founding Principal, David Kabiller, CFA. “This year was no exception. We continue to be impressed with the caliber of papers we receive, and the exchange of ideas that comes with inviting these authors to AQR to present their work.”

The First Prize papers will share the $100,000 prize equally.

The following authors earned honorable mentions for their research:

“Common Factors in Return Seasonalities”
Matti Keloharju, D.Sc., Aalto University School of Business, CEPR and IFN
Juhani T. Linnainmaa, Ph.D., University of Chicago Booth School of Business and NBER Peter M. Nyberg, D.Sc., Aalto University School of Business

“Do Short-Sellers Profit From Mutual Funds? Evidence from Daily Trades”
Salman Arif, Ph.D., Kelley School of Business, Indiana University
Azi Ben-Rephael, Ph.D., Kelley School of Business, Indiana University
Charles M.C. Lee, Ph.D., Stanford University Graduate School of Business

“Leverage Constraints and Asset Prices: Insights from Mutual Fund Risk Taking”
Oliver Boguth, Ph.D., W. P. Carey School of Business, Arizona State University Mikhail Simutin, Ph.D., Rotman School of Management, University of Toronto

The papers are available on the AQR website: aqr.com/insightaward

The AQR Insight Award honors exceptional unpublished papers that provide original, intelligent approaches to important issues in the investment world, and stand up to rigorous review.

Many papers recognized by the AQR Insight Award Committee have gone on to be published in leading academic journals. The First Prize paper in 2012, “Market Expectations in the Cross Section of Present Values,” was published in The Journal of Finance, while the Distinguished Paper, “The Other Side of Value: The Gross Profitability Premium,” was published in the Journal of Financial Economics. The 2012 Honorable Mention papers “Countercyclical Currency Risk Premia” and “The Short of It: Investor Sentiment and Anomalies,” and 2013 Honorable Mention “Disagreement and Asset Prices” have also been published in the Journal of Financial Economics.

Deadline for entries for the 2016 AQR Insight Award is January 15, 2016. Papers must not be published before December 15, 2015.

More information and instructions for submitting papers online may be found at aqr.com/insightaward.

About AQR

AQR is a global investment management firm built at the intersection of financial theory and practical application. We strive to deliver superior, long-term results for our clients by looking past market noise to identify and isolate what matters most, and by developing ideas that stand up to rigorous testing. Our focus on practical insights and analysis has made us leaders in alternative and traditional strategies since 1998.

The firm is based in Greenwich, Connecticut, with offices in Chicago, Los Angeles, London and Sydney. As of March 31, 2015, AQR had approximately $131.6 billion* in assets under management.

* Includes assets of CNH Partners, LLC, an AQR affiliate

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.


AQR Capital Management, LLC
Media, 203-742-3600


AQR Capital Management, LLC
Media, 203-742-3600