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Alternative Thinking

Mapping Investable Return Sources to Macro Environments

We explore the empirical relationships between investable strategies (asset classes and style premia) and macroeconomic environments. We find that style premia have meaningfully less macro exposure than do asset classes

Alternative Thinking

2015 Capital Market Assumptions for Major Asset Classes

We update our expected returns and review our framework for constructing estimates of long-term expected returns for major asset classes, among other things.

Interview

Words From the Wise: Roger Urwin on Addressing the Investment Challenge

Roger Urwin, global head of investment content at Willis Towers Watson, discusses in a Q&A how two powerful industry trends— specialization and complexity—will continue to have impact in coming years.

Interview

Words From the Wise: Martin Leibowitz Interview

A question-and-answer session with the first bond quant on Wall Street, Martin (Marty) Leibowitz of Morgan Stanley.

Interview

Words From the Wise: Charley Ellis on Challenges Facing Investors

Charles D. Ellis, founder of Greenwich Associates and author of Winning the Loser’s Game and other books on investing, participates in a Q&A with Antti Ilmanen and Rodney N. Sullivan of AQR, discussing a range of contemporary investment challenges.

Interview

Words From the Wise: Harry Markowitz on Portfolio Theory and Practice

A question-and-answer session with Harry M.

Working Paper

The Bubble Has Not Popped

Many called the stock market “undervalued” in 2002, based on how far and fast it had fallen over the prior two years. But this 2002 article contends that stocks are not necessarily cheap after the decline.

White Paper

Implementing Portable Alpha: A Case Study

This 2007 case study examines what happens when a fictional public pension plan faces an equity market slump, lower expected equity-market returns and a legislature-mandated increase in the investment portfolio’s target real rate of return.

White Paper

Changing Spaces Emerging Markets Investing

Over the past decade, emerging-market equities have become a meaningful portion of global equity markets. We provide some key insights to help investors evaluate their exposure.

Alternative Thinking

Good Strategies for Tough Times

Following recent losses across global equities and concern about downside risk, we take a look at the performance of different investments during the worst quarters in recent decades for stock and bond markets.