2026 Capital Market Assumptions for Major Asset Classes
January 14, 2026
We update our estimates of medium-term (5- to 10-year) expected returns for major asset classes. We also include a discussion on currency risk and currency hedging, with particular considerations for U.S. and European investors.
Portfolio Construction
Hold the Dip
December 1, 2025
We examine the popular “Buy the Dip” strategy and find it consistently underperforms a simple buy-and-hold approach. Our research shows that investors seeking to time markets may find greater success following trends rather than fighting them.
Portfolio Construction
Exploring Capital Efficiency
September 15, 2025
This paper explores how capital-efficient investments—such as private equity, hedge funds, and portable alpha—can help investors unlock the full benefits of diversification without relying on direct leverage. We show how these approaches can improve portfolio resilience and long-term returns, particularly for leverage-constrained investors.
Factor/Style Investing
The Hidden Value of Streaky Returns in Stock Portfolios
June 3, 2025
Streaky return streams - ones that that can perform well or poorly for extended periods - are challenging for investors to comprehend and stick with. Yet, this very "complexity risk” may be what earns investors an additional risk premium, leading to above average risk-adjusted returns.
Asset Allocation
2025 Capital Market Assumptions for Major Asset Classes
January 16, 2025
We update our estimates of medium-term (5- to 10-year) expected returns for major asset classes. We also include a discussion on corporate earnings growth: the market consensus is for more strong growth to come – especially in the U.S. But what is a reasonable medium-term forecast for allocators?
Machine Learning
Can Machines Build Better Stock Portfolios?
November 7, 2024
In the second issue of our 2024 Alternative Thinking series, we showed that machine learning techniques can be used to help improve market timing strategies. In this issue, we extend these concepts to constructing stock selection strategies following a similar framework. Our results indicate more complex models utilizing machine learning techniques yield performance improvements relative to a simple, linear approach in the range of 50-100%, suggesting that machine learning can help to build better stock selection portfolios.
Alternative Investing
Broad Strategic Asset Allocation
September 18, 2024
This paper presents one justifiable set of inputs and finds that alternatives earn themselves a sizable strategic allocation. Investors are encouraged to compare these results with their own assumptions, constraints and allocations as they look to build a resilient portfolio for long-term investment success.
Machine Learning
Can Machines Time Markets? The Virtue of Complexity in Return Prediction
May 6, 2024
Common wisdom has suggested that small, simple models are best suited for market timing applications, given finance’s “small data” constraint and naturally low predictability. However, we show that complex models better identify true nonlinear relationships and therefore produce better market timing strategy performance. We validate this "virtue of complexity" result in three practical market timing applications.
Asset Allocation
2024 Capital Market Assumptions for Major Asset Classes
January 16, 2024
We update our estimates of medium-term (5- to 10-year) expected returns for major asset classes. We also include a section on estimating expected returns and risk for private credit, as well as a feature on the key decisions that underpin any capital market assumptions framework.
Key Design Choices in Long/Short Equity
December 5, 2023
Investors are looking for resilient sources of return in the face of mounting headwinds for equity markets. Long/short and market-neutral equity strategies deserve consideration. We review the case for allocating to long/short equity and address several key choices faced by investors and by managers.