This issue of Capital Market Assumptions updates our multi-year expected returns for major asset classes. Compared to historical averages, we are still very much in a world of low expected returns.
In this year’s edition, we modify our equity expected return methodologies to account for the growing corporate substitution of share buybacks for dividends. The topic is explored in greater depth in an Appendix which discusses specific details and presents the underlying theory and practical guidance on the data required to build these estimates.
The information contained herein is only as current as of the date indicated, and may be superseded by subsequent market events or for other reasons. The views and opinions expressed herein are those of the author and do not necessarily reflect the views of AQR Capital Management, LLC, its affiliates or its employees. This information is not intended to, and does not relate specifically to any investment strategy or product that AQR offers. It is being provided merely to provide a framework to assist in the implementation of an investor’s own analysis and an investor’s own view on the topic discussed herein. Past performance is not a guarantee of future results.