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Alternative Thinking
Mapping Investable Return Sources to Macro Environments
4Q 2013
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
1Q 2015
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
October 10, 2016
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
March 19, 2015
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
June 5, 2015
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
January 29, 2016
A question-and-answer session with Harry M.
Working Paper
The Bubble Has Not Popped
October 24, 2001
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
September 1, 2007
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
October 1, 2010
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
3Q 2015
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.