Alternative Thinking

It Was the Worst of Times: Diversification During a Century of Drawdowns

We use nearly 100 years of data to evaluate the effectiveness of diversifying investments during the worst of times for most portfolios and find that attempting to tactically avoid equity sell-offs is likely to disappoint.

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Macroeconomics

Does Anyone Remember the Carry Trade?

This week’s Wrap-Up looks at carry portfolios and carry trades and why commentators may be avoiding the topic.

Macroeconomics

Jobs Are Good

This week we look at why stocks sometimes react positively to strong employment numbers, while other times they don't. We promise it will be more exciting than the Super Bowl half-time show was.

Asset Allocation

2019 Capital Market Assumptions for Major Asset Classes

We update our estimates of medium-term (5- to 10-year) expected returns for major asset classes, including private equity and private real estate.

Macroeconomics

Reverting Below the Mean

After two good years, the economy in Europe faced some setbacks in 2018. This week we look at some of the explanations for this, which include low water levels in rivers and well-dressed French protesters.

Machine Learning

A Data Science Solution to the Multiple-Testing Crisis in Financial Research

In this paper, we present a real example of how multiple testing information can be reported. We use that information to estimate the Deflated Sharpe Ratio of an investment strategy.

Alternative Investing

Demystifying Illiquid Assets: Expected Returns for Private Real Estate

We try to demystify the risk and return of private real estate, considering theoretical arguments, historical average returns, and forward-looking yield-based analysis.

Alternative Investing

Demystifying Illiquid Assets: Expected Returns for Private Equity

We lay out a framework for expected returns for private equity that is based on a discounted cashflow framework similar to what we use for public stocks and bonds.

Factor/Style Investing

Factor Momentum Everywhere

Can individual factors be reliably timed based on their recent performance? This study of 65 widely-studied, characteristic-based equity factors aims to find out.

Macroeconomics

Australia Avoids the Breaking Point

Australia has broken some of the “laws” of economics by avoiding recession for thirty years. Now the economy faces some challenges. Find out what they are and what it may mean for the future.

Macroeconomics

20 for Twenty: Selected Papers from AQR Capital Management

20 for Twenty commemorates AQR’s anniversary with a collection of 20 papers that have formed the backbone of our investment philosophy.