- Filter By
-
Topic (${ Topics.length })
-
-
Type (${ ContentTypes.length })
-
Contributor (${ Contributors.length })
- Relevance
- Newest
- Oldest
Perspective
Should Hedge Funds Hedge?: Why Some Alts Should Have a Beta of 1.0
March 28, 2025
While uncorrelated alternatives can be beneficial, they often fail to significantly impact the overall portfolio. Here, I argue that adding beta to these alternatives can enhance capital efficiency and improve long-term returns. Ultimately, there is a need for a balanced approach to investing in alternatives, including a combination of aggressive and equitized strategies.
Perspective
Rebuffed: A Closer Look at Options-Based Strategies
March 21, 2025
Options-based strategies, often labeled with words like “Buffered,” “Overlay,” and “Defined Outcome” have amassed a sizeable chunk of investors’ money, lured by the promise of market-like returns with less risk. These strategies use options to capture the upside or downside of an asset’s returns, and managers who employ a mix of options can tailor an asset’s risk/return profile to align with an investor’s goals. But can they actually deliver?
Data Set
Commodities for the Long Run: Index Level Data, Monthly
January 31, 2025
We have updated the data set for the paper “Commodities for the Long Run”, in which we analyze a novel data set of commodity futures prices going back to 1877, allowing us to show that returns of commodity futures indices have, on average, been positive over the long run. We update the data monthly.
Data Set
Time Series Momentum: Factors, Monthly
January 31, 2025
We have updated and extended our data set for “Time Series Momentum" (Moskowitz, Ooi and Pedersen, 2012), in which we document an asset-pricing anomaly that is consistent across different asset classes and markets. We update the returns monthly.
Alternative Thinking
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?
Perspective
2035: An Allocator Looks Back Over the Last 10 Years
January 2, 2025
Well, sitting here in the year 2035 and looking back at our endowment’s returns for the last decade is not a pleasant task. World markets have been subpar and our performance relative to world markets has been simply terrible. Hard times are never pleasant. But they have one upside. We can learn from them.
Quick Takes
AQR Apex: A Dynamic Multi-Strategy Alternative
November 5, 2024
Watch our Quick Take on AQR's multi-strategy alternative solution, the AQR Apex Strategy.
White Paper
Seeking Resilient Growth: Why It’s Time for the LGPS to Consider Liquid Alternatives
November 1, 2024
Most Local Government Pension Scheme (LGPS) investment portfolios rely on substantial equity allocations to drive growth over the long term, but heroic rates of earnings growth would be needed to maintain recent strong equity performance. While LGPS have been turning to private assets to seek future returns and diversification, we make the case for truly diversifying liquid alternatives as a viable and versatile complement to existing portfolios, and explore the benefits of a transparent, quantitative approach.
White Paper
Are SPACs Still Alive?
October 30, 2024
The recent rise and fall of SPAC issuance and the poor returns of SPAC mergers might suggest that SPACs are a flash in the pan, but this is far from the truth. To the contrary, SPACs have been a compelling asset class for more than two decades. We explore the SPAC market, its history, and its investment characteristics, including why we believe SPACs are a safe investment when managed properly, with the potential for significant upside.
Alternative Thinking
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.