Ari Levine

AQR Capital Management

Managing Director

Greenwich, CT

United States

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 3,464

SSRN RANKINGS

Top 3,464

in Total Papers Downloads

11,808

SSRN CITATIONS
Rank 39,032

SSRN RANKINGS

Top 39,032

in Total Papers Citations

12

CROSSREF CITATIONS

5

Scholarly Papers (5)

1.

Which Trend Is Your Friend?

Financial Analysts Journal, vol. 72, no. 3 (May/June 2016)
Number of pages: 32 Posted: 10 May 2015 Last Revised: 19 Apr 2016
Ari Levine and Lasse Heje Pedersen
AQR Capital Management and AQR Capital Management, LLC
Downloads 6,056 (1,229)
Citation 11

Abstract:

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trend-following investing, momentum, moving average crossover, filtering, managed futures, CTA

2.

Trends Everywhere

Journal of Investment Management, Forthcoming, NYU Stern School of Business
Number of pages: 26 Posted: 17 May 2019
AQR Capital Management, LLC, AQR Capital Management, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 2,153 (7,196)
Citation 2

Abstract:

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managed futures, time series momentum, trend following, factor momentum, alternative markets, hedge funds, trading strategies, exotic commodities

3.
Downloads 1,848 ( 9,324)
Citation 2

Commodities for the Long Run

Number of pages: 24 Posted: 21 Oct 2016 Last Revised: 27 Jul 2017
AQR Capital Management, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and AQR Capital Management, LLC
Downloads 1,798 (9,540)

Abstract:

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Commodities, Spot Returns, Convenience Yields, Carry, Business Cycle, Inflation, Backwardation, Asset Allocation

Commodities for the Long Run

NBER Working Paper No. w22793
Number of pages: 40 Posted: 07 Nov 2016
AQR Capital Management, AQR Capital Management, LLC and New York University (NYU) - Department of Finance
Downloads 50 (429,428)
Citation 2

Abstract:

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4.

Enhanced Portfolio Optimization

Number of pages: 49 Posted: 02 Mar 2020 Last Revised: 16 Jun 2020
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management
Downloads 1,134 (19,988)

Abstract:

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portfolio choice, optimization, robustness, machine learning, random matrix theory

5.

You Can't Always Trend When You Want

Number of pages: 27 Posted: 01 Dec 2019
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, AQR Capital Management, LLC, affiliation not provided to SSRN and AQR Capital Management, LLC
Downloads 617 (46,797)
Citation 1

Abstract:

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trend-following investing, momentum, managed futures, CTA