Alternative Thinking: 2017 Capital Market Assumptions For Major Asset Classes

January 17, 2017
  • Contributors:

    Antti Ilmanen, Swati Chandra, Thomas Maloney
  • Topic:

    Asset Allocation, Portfolio Management

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 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.
  • The information contained herein is only as current as of the date indicated, and may be superseded by subsequent market events or for other reasons. Neither the author nor AQR undertakes to advise you of any changes in the views expressed herein.
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  • Certain publications may have been written prior to the author being an employee of AQR.