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Updated Capital Market Assumptions: A Comprehensive Analysis of Major Asset Classes

Updated Capital Market Assumptions: A Comprehensive Analysis of Major Asset Classes

🕔10:14, 1.May 2023

Alternative Thinking | Q1 2023 Capital Market Assumptions for Major Asset Classes This article, titled "Capital Market Assumptions for Major Asset Classes," presents updated medium-term (5- to 10-year) expected return estimates for major asset classes. In 2022, expected returns increased

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Trend-Following: Why Now? A Macro Perspective

Trend-Following: Why Now? A Macro Perspective

🕔14:40, 6.Dec 2022

Trend-following managers are having a banner year so far in 2022 amidst a year of turmoil for traditional portfolios. Trend following has provided valuable diversification1 to investors who stuck with the strategy against losses in traditional allocations; the SG Trend

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The Raisons d’être of Managed Futures

The Raisons d’être of Managed Futures

🕔16:36, 22.Sep 2022

The Federal Reserve has an explicit dual mandate. Managed Futures strategies have an implicit one – specifically, 1) deliver positive returns on average and 2) generate especially attractive returns during large equity market drawdowns.1 This dual mandate is one of

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Is Value Just an Interest Rate Bet?

Is Value Just an Interest Rate Bet?

🕔10:20, 21.Sep 2022

It seems obvious to so many that interest rates drive the value trade.1 After all, growth stocks2 have much longerdated cash flows than value stocks and thus should be a “longer duration” asset and move more with longer-term interest rates,

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The Raisons d’être of Managed Futures

The Raisons d’être of Managed Futures

🕔16:22, 6.Sep 2022

The Federal Reserve has an explicit dual mandate. Managed Futures strategies have an implicit one – specifically, 1) deliver positive returns on average and 2) generate especially attractive returns during large equity …

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Value Spreads Are Back to Tech Bubble Highs: Is Everyone Out There Cray-Cray?

Value Spreads Are Back to Tech Bubble Highs: Is Everyone Out There Cray-Cray?

🕔16:39, 23.Aug 2022

Cliff’s Perspective This adds another three months of data to the May entry in our series of value spread updates. Over the past two months, some portion of the market went temporarily (I hope) insane, punishing value, as we measure

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New Rules of Diversification

New Rules of Diversification

🕔08:53, 16.Aug 2022

How to Prep Your Portfolio for a Different Kind of Recession Risk: During the first half of 2022, global equity markets tumbled around 20% from their January peak, with losses on typical stock/ bond portfolios almost as large, as bonds

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The Stock/Bond Correlation

The Stock/Bond Correlation

🕔12:42, 11.Jul 2022

Drivers and Implications The relationship between stock and bond returns is a fundamental determinant of risk in traditional portfolios. For the past two decades the stock/bond correlation has been consistently negative, and investors have largely been able to rely on

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Still Crazy After All This YTD

Still Crazy After All This YTD

🕔08:54, 18.May 2022

Global Value Spreads Hypothetical AQR Industry-and-Dollar-Neutral All-Country Value Portfolio

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Capital Market Assumptions for Major Asset Classes

Capital Market Assumptions for Major Asset Classes

🕔08:25, 5.Feb 2022

Executive Summary This article updates our estimates of medium-term (5- to 10-year) expected returns for major asset classes. It also includes an analysis that attempts to reconcile everlower expected returns with ever-higher realized returns, and suggests practical strategic steps to

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A Gut Punch

A Gut Punch

🕔11:45, 4.Jan 2021

Cliff’s Perspective  Sure, the last nearly three years have hurt, but at least the explanation was straightforward. A core part of our process, value, suffered. So when value rebounds, we will too, right? Well, not necessarily. To be clear, if

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Value and Interest Rates

Value and Interest Rates

🕔15:22, 14.Aug 2020

Are Rates to Blame for Value's Torments? Value stocks sharply underperformed growth stocks from 2017 to early 2020, exacerbating a longer period of lackluster performance that dates back to the Global Financial Crisis for some value factors. Some have blamed …

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Tail Risk Hedging: Contrasting Put and Trend Strategies

Tail Risk Hedging: Contrasting Put and Trend Strategies

🕔13:33, 31.Jul 2020

The sharp market fall and speedy recovery during the eventful first half of 2020 has kept tail risk hedging topical: investors have both fresh memories of a painful loss and renewed fears of a repeat. In this paper we summarize

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Capital Market Assumptions

Capital Market Assumptions

🕔16:33, 10.Jul 2020

Expected real returns for major asset classes as of March 31, 2020  Volatile Q1 2020 Followed an Exceptionally Benign Decade The 2010s were exceptional for stock/bond portfolios

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Capital Market Assumptions for Major Asset Classes

Capital Market Assumptions for Major Asset Classes

🕔15:53, 20.Mar 2020

This article updates our estimates of medium-term (5- to 10-year) expected returns for major asset classes. It also includes a section on estimating expected returns for cash. Selected estimates are summarized in Exhibit 1. The year 2019 saw a reverse

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Chasing Your Own Tail (Risk), Revisited

Chasing Your Own Tail (Risk), Revisited

🕔17:00, 24.Feb 2020

AQR White Paper  One of the most important topics on investors’ minds following the Global Financial Crisis was how to protect their portfolios from the next crisis. Our paper "Chasing Your Own Tail (Risk)" was our response.1 In it, we

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It’s Time for a Venial Value-Timing Sin

It’s Time for a Venial Value-Timing Sin

🕔16:58, 24.Feb 2020

Cliff’s Perspective  Early in the classic movie Young Frankenstein, when the villagers’ suspicions have begun to rise, inspector Kemp cautions them against going too far and starting a dangerous riot. Later in the movie he relents and announces that this

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