Source: AQR, Consensus Economics, Bloomberg and Barclays. Estimates as of December 31, 2019. Error bars cover 50% confidence range, based on analysis from Alternative Thinking Q1 2018 and adjusted for current expected volatilities. These are intended to emphasize the uncertainty around any point estimates. Not only are the return forecasts uncertain, but also any measures of forecast uncertainty are debatable. Forecasting requires humility at many levels. Estimates are for illustrative purposes only, are not a guarantee of performance and are subject to change. Not representative of any portfolio that AQR currently manages.
U.S., Non-U.S. Developed and Emerging Market Equities
Source: AQR, Consensus Economics and Bloomberg. Estimates and methodology subject to change and based on data as of December 31, 2019. “Non-U.S. Developed Equities” is cap-weighted average of Euro-5, Japan, U.K., Australia and Canada. “Euro-5” is a cap-weighted average of large-cap indices in Germany, France, Italy, Netherlands and Spain. Each estimate is the average of two approaches, based on earnings and payouts (both dividends and buybacks) respectively. See main article for details.
U.S. 10Y Treasuries and Non-U.S. 10Y Govt Bonds
Source: Bloomberg, Consensus Economics and AQR. Estimates as of December 31, 2019. Rolldown return is estimated from fitted yield curves and based on annual rebalance. “Non-U.S. 10Y govt. bonds” is GDP-weighted average of Germany, Japan, U.K., Australia, Canada.
U.S. IG Credit and U.S. HY Credit
Source: Barclays, Bloomberg, AQR. Estimates as of December 31, 2019. OAS and duration data is for Barclays U.S. Corporate Investment Grade (IG) Index and Barclays U.S. Corporate High Yield (HY) Index. Index durations are 7.9 years and 3.1 years respectively.
Long-run average return of an equal-dollar-weighted portfolio of commodity futures.