Rodney N Sullivan

AQR Capital Management

Vice President

Two Greenwich Plza

Greenwich, CT 06830

United States

http://www.aqr.com/Home.aspx

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 3,139

SSRN RANKINGS

Top 3,139

in Total Papers Downloads

9,941

CITATIONS
Rank 20,198

SSRN RANKINGS

Top 20,198

in Total Papers Citations

15

Scholarly Papers (16)

1.

Risk-Based Dynamic Asset Allocation with Extreme Tails and Correlations

Journalof Portfolio Management, Vol. 38, No. 4, 2012
Number of pages: 3 Posted: 14 Jan 2012 Last Revised: 10 Aug 2012
Peng Wang, Rodney N Sullivan and Yizhi Ge
TIAA Institute - Covariance Capital Management, AQR Capital Management and Georgetown University
Downloads 1,904 (5,117)

Abstract:

Extreme Tail Risk, CVaR Optimization, Regime Change, Markov Switching Model, Dynamic Asset Allocation, TAA

2.

A Dynamic Future for Active Quant Investing

Journal of Portfolio Management 37 (3), 29-36, Spring 2011.
Number of pages: 16 Posted: 22 Sep 2010 Last Revised: 19 Oct 2014
Rodney N Sullivan and Xi Li
AQR Capital Management and Hong Kong University of Science & Technology (HKUST)
Downloads 1,457 (8,400)
Citation 1

Abstract:

3.

How Index Trading Increases Market Vulnerability

Financial Analysts Journal, Forthcoming
Number of pages: 30 Posted: 11 Aug 2011 Last Revised: 01 Nov 2011
Rodney N Sullivan and James X. Xiong
AQR Capital Management and Ibbotson Associates
Downloads 1,087 (13,310)
Citation 3

Abstract:

market risk, risk management

4.

The Limits to Arbitrage and the Low-Volatility Anomaly

Financial Analysts Journal 70 (1), 52-64, January/February 2014.
Number of pages: 31 Posted: 12 Jan 2011 Last Revised: 19 Oct 2014
Xi Li, Rodney N Sullivan and Luis García-Feijóo
Hong Kong University of Science & Technology (HKUST), AQR Capital Management and Florida Atlantic University - Department of Finance
Downloads 992 (12,274)
Citation 4

Abstract:

low-volatility, arbitrage

5.

The Low-Volatility Anomaly: Market Evidence on Systematic Risk versus Mispricing

Financial Analysts Journal 72 (1), 36-47, January/February 2016
Number of pages: 32 Posted: 13 Jan 2011 Last Revised: 16 Jul 2016
Xi Li, Rodney N Sullivan and Luis García-Feijóo
Hong Kong University of Science & Technology (HKUST), AQR Capital Management and Florida Atlantic University - Department of Finance
Downloads 972 (11,347)
Citation 2

Abstract:

low-volatility stocks, market, risk, mispricing

6.

Low-Volatility Cycles: The Influence of Valuation and Momentum on Low-Volatility Portfolios

Financial Analysts Journal, Forthcoming
Number of pages: 34 Posted: 16 Aug 2013 Last Revised: 18 Dec 2014
Florida Atlantic University - Department of Finance, University of Virginia (UVA), Investment Management Company, AQR Capital Management and TIAA Institute - Covariance Capital Management
Downloads 750 (16,328)
Citation 1

Abstract:

idiosyncratic risk, asset pricing, low-volatility anomaly, arbitrage, asset pricing

7.

The Limits to Arbitrage Revisited: The Accrual and Asset Growth Anomalies

Financial Analysts Journal 67 (4-5), 50-66, July/August, 2011
Number of pages: 34 Posted: 09 Aug 2011 Last Revised: 19 Oct 2014
Xi Li and Rodney N Sullivan
Hong Kong University of Science & Technology (HKUST) and AQR Capital Management
Downloads 397 (57,011)
Citation 2

Abstract:

Behavioral Finance, Limits to Arbitrage, Equity Investments, Equity Market Valuation and Return Analysis, Risk Management, Portfolio Risk Management, Risk Management Strategies, Portfolio Management, Risk Management, Equity Portfolio Management Strategies, Active Management

8.

Measuring Global Systemic Risk: What are Markets Saying About Risk?

Journal of Portfolio Management, Vol. 37, No. 1, Fall 2010
Number of pages: 21 Posted: 14 Dec 2009 Last Revised: 22 Apr 2011
Rodney N Sullivan, Steven P. Peterson and David T. Waltenbaugh
AQR Capital Management, Virginia Retirement System (VRS) and Virginia Retirement System (VRS)
Downloads 368 (56,538)
Citation 2

Abstract:

9.

Sell-Side Analysts and Gender: A Comparison of Performance, Behavior, and Career Outcomes

Financial Analysts Journal 69 (2), 83-94, March/April 2013.
Number of pages: 28 Posted: 18 Mar 2011 Last Revised: 19 Oct 2014
Xi Li, Rodney N Sullivan, Danielle Xu and Guodong Gao
Hong Kong University of Science & Technology (HKUST), AQR Capital Management, Gonzaga University and Chicago Equity Partners
Downloads 295 (86,053)

Abstract:

gender, sell-side analyst, investment recommendations, performance, behavior, career outcomes

10.

Investing in the Asset Growth Anomaly Across the Globe

Journal of Investment Management 13, 1-21, 2015
Number of pages: 33 Posted: 10 May 2014 Last Revised: 16 Jul 2016
Xi Li and Rodney N Sullivan
Hong Kong University of Science & Technology (HKUST) and AQR Capital Management
Downloads 203 (104,195)

Abstract:

asset growth anomaly, asset pricing

11.

Liquidity-Driven Dynamic Asset Allocation

Journal of Portfolio Management, Forthcoming
Posted: 28 Nov 2012 Last Revised: 10 Mar 2016
James X. Xiong, Rodney N Sullivan and Peng Wang
Ibbotson Associates, AQR Capital Management and TIAA Institute - Covariance Capital Management

Abstract:

asset allocation, dynamic asset allocation, liquidity

12.

How Index Trading Increases Market Vulnerability

Financial Analysts Journal, Vol. 68, No. 2, 2012
Posted: 26 Mar 2012
James X. Xiong and Rodney N Sullivan
Ibbotson Associates and AQR Capital Management

Abstract:

Equity Investments, Equity Markets, Characteristics, Institutions, and Benchmarks, Security Market Indices and Benchmarks, Portfolio Management, Equity Portfolio Management Strategies, Passive Management, Mutual Funds, Pooled Funds, and Exchange-Traded Funds (ETFs), Risk Management, Risk Management

13.

Using Investment Consumption Value to Select Asset Classes: A Non-Traditional Approach

Journal of Portfolio Management, Vol. 34, No. 2, 2008
Posted: 24 Sep 2010
Rodney N Sullivan
AQR Capital Management

Abstract:

14.

Taming Global Village Risk

Journal of Portfolio Management, Vol. 34, No. 4, 2008
Posted: 25 Mar 2009 Last Revised: 08 Nov 2010
Rodney N Sullivan
AQR Capital Management

Abstract:

15.

Markets in Crisis

Financial Analysts Journal, Vol. 65, No. 1, 2009, available at: http://www.cfapubs.org/doi/abs/10.2469/faj.v65.n1.3
Posted: 31 Jan 2009 Last Revised: 27 Mar 2009
Rodney N Sullivan and John C. Bogle
AQR Capital Management and The Vanguard Group

Abstract:

Advocacy, Regulatory, and Legislative Issues: Advocacy Issues; Investment Industry: Future Directions and Sources of Change, Historical Trends

16.

Taming Global Village Risk II: Understanding and Mitigating Bubbles

Journal of Portfolio Management, Summer 2009
Posted: 30 Apr 2008 Last Revised: 08 Nov 2010
Rodney N Sullivan
AQR Capital Management

Abstract: