Showing 1 - 10 of 32 results

Sort By
  • Relevance
  • Newest
  • Oldest

Interview

Words From the Wise: Charley Ellis on Challenges Facing Investors

Charles D. Ellis, founder of Greenwich Associates and author of Winning the Loser’s Game and other books on investing, participates in a Q&A with Antti Ilmanen and Rodney N. Sullivan of AQR, discussing a range of contemporary investment challenges.

Interview

Words From the Wise: Harry Markowitz on Portfolio Theory and Practice

A question-and-answer session with Harry M.

Alternative Thinking

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.

Alternative Thinking

Why Do Most Investors Choose Concentration Over Leverage?

Return-seeking investors must take risks—the question is which to take and to understand the tradeoffs involved. Most investors choose concentration risk, but we present arguments for a different approach.

Alternative Thinking

2014 Capital Market Assumptions for Major Asset Classes

We present our capital market assumptions for major asset classes and explore justifiable frameworks for estimating multi-year expected returns.

Alternative Thinking

Strategic Portfolio Construction

When it comes to portfolio construction, many investors seek guidance on “putting it all together.” We discuss our systematic approach and examine how investor-specific beliefs and constraints can inform and interact with formal optimization methods.

Alternative Thinking

Strategic Risk Allocation

We believe investors should broadly diversify and risk balance as a starting point to asset allocation, but perhaps then mildly overweight assets with high Sharpe ratios or good diversification benefits if they can identify these.

Alternative Thinking

2017 Capital Market Assumptions For Major Asset Classes

We update our multi-year expected return assumptions for major stock and bond markets. Compared with historical averages of value metrics, we beloieve we are in a low expected return environment.

Alternative Thinking

Capital Market Assumptions for Major Asset Classes

We update our medium-term expected returns for major asset classes and explore the historical accuracy of yield-based return estimates.

Journal Article

Asset Allocation in a Low Yield Environment

In 2016, bond yields dropped to unprecedented low levels in major developed markets. Even in a low rate environment, we think it’s important to diversify across many return sources.