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Alternative Thinking

Ideas for a Low-Expected-Return World

1Q 2012 - AQR Capital Management

There are different ways to achieve ambitious real return targets, but we think risk-balanced diversification across well-chosen return sources is the most reliable, strategic approach.

Alternative Thinking

Strategic Portfolio Construction

2Q 2015 - AQR Capital Management

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

2Q 2014 - AQR Capital Management

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

Mapping Investable Return Sources to Macro Environments

4Q 2013 - AQR Capital Management

We explore the empirical relationships between investable strategies (asset classes and style premia) and macroeconomic environments. We find that style premia have meaningfully less macro exposure than do asset classes

Alternative Thinking

2016 Capital Market Assumptions for Major Asset Classes

1Q 2016 - AQR Capital Management

We update our multi-year expected return assumptions for major stock and bond markets, and investigate expected returns for credits and commodities.

Alternative Thinking

2015 Capital Market Assumptions for Major Asset Classes

1Q 2015 - AQR Capital Management

We update our expected returns and review our framework for constructing estimates of long-term expected returns for major asset classes, among other things.

Alternative Thinking

2020 Capital Market Assumptions for Major Asset Classes

January 29, 2020 - Portfolio Solutions Group

We update our estimates of medium-term (5- to 10-year) expected returns for major asset classes, and introduce a method for quantifying the expected return on cash.

Alternative Thinking

2020 Capital Market Assumptions for Major Asset Classes (Supplemental Estimates as of March 31, 2020)

May 6, 2020 - Portfolio Solutions Group

This supplement provides a special update to our estimates of medium-term (5- to 10-year) expected returns for major asset classes. This update reflects the large changes in prices for many asset classes due to the impact of COVID-19 in Q1 2020.

Alternative Thinking