Andrea Frazzini

Andrea Frazzini received his PhD in finance from the University of Chicago and joined AQR Capital Management, where he has become one of the most prolific researchers in factor investing. His most cited work is on the betting-against-beta (BAB) factor, co-developed with Lasse Pedersen and Clifford Asness. The BAB research documents that low-beta assets deliver higher risk-adjusted returns than the CAPM predicts, while high-beta assets underperform — a finding attributed to leverage constraints forcing investors into higher-beta assets to amplify returns, causing overvaluation. This research has influenced how institutional investors construct factor portfolios and think about beta exposure. Frazzini also co-developed the Quality Minus Junk (QMJ) factor with Asness and Pedersen, which systematically buys high-quality stocks (profitable, growing, with low leverage and high payout) and sells low-quality stocks. QMJ has been shown to earn significant premiums across markets and time periods and is now widely used by quantitative investors. His research on mutual fund performance, particularly the "disposition effect" — the tendency of mutual fund managers to sell winners and hold losers — and the "dumb money" effect showing that retail mutual fund flows predict negative future returns, has been widely cited in both academic and practitioner literature. Frazzini has also studied transaction costs and market impact, with implications for optimal execution and factor portfolio management at scale.