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