Given Fed tightening, many investors are interested in the risks related to monetary policy, rising yields and inflation. In this issue of Alternative Thinking, we interpret ‘rates’ broadly — encompassing short term interest rates, real bond yields and expected inflation — and explore the historical rate sensitivities of a range of asset classes and strategies.
An Appendix presents additional results, including rates sensitivities of multi-asset styles, and contains methodological details for interested readers.
The information contained herein is only as current as of the date indicated, and may be superseded by subsequent market events or for other reasons.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.