AQR awards $100k in finance prizes

A Greenwich hedge fund recognized researchers at the University of Chicago and the Federal Reserve for developing ways to more accurately predict market returns over one-month and one-year time horizons.

Under the new, annual AQR Insight Award from AQR Capital Management, up to three researchers or teams share a $100,000 prize for contributions that impact the world of investing.

From hundreds of submissions, AQR presented its inaugural AQR Insight Award to Bryan Kelly of the University of Chicago and Seth Pruitt of the Federal Reserve Board of Governors. Kelly and Pruitt used disaggregated valuation ratios to predict market returns more accurately.

“While aggregate measures such as the market’s overall book-to-market ratio can contain predictive information, we find significantly more predictability when using price ratios of individual stocks,” Kelly said, in a statement released by AQR.

Two other researchers were recognized with AQR Insight Award Distinguished Papers accolades:

”¢  Robert Novy-Marx of the University of Rochester, who quantified how stocks”™ profitability can be used to enhance the performance of value portfolios; and

Ӣ Steve Ross of the Massachusetts Institute of Technology, who uncovered a new approach to determine market forecasts of risk and returns using option data.