Explaining Realized Returns: Roll’s R2 40 Years Later -- by Bryan T. Kelly, Yinan Su, Chao Zhang

We thank Federico Bandi, Dacheng Xiu, and Kangying Zhou and participants at EFMA “AI and Asset Management” Special Session for valuable comments and suggestions. We thank Xinran Feng for his excellent research assistance. AQR Capital Management is a global investment management firm, which may or may not apply similar investment techniques or methods of analysis as described herein. The views expressed here are those of the authors and not necessarily those of AQR. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.