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White Paper
Tactical Tilts and Foregone Diversification
April 2, 2014
Investors tend to forget that tactical timing may incur a penalty: forgone diversification. We discuss that hurdle here, as well as the situations in which we would consider employing tactical timing.
Alternative Thinking
Challenges of Incorporating Tactical Views
4Q 2014
Tactical timing is inherently more difficult than it seems. We explore which types of tactical views may be worth taking.
News
Antti Ilmanen Speaks at Cambridge University Financial History Workshop
July 24, 2015
AQR Principal Antti Ilmanen was among a small group of academicians invited to speak at a two-day financial history workshop at Cambridge University on July 23 and 24. In his talk, Ilmanen made a case for time-varying expected returns on asset classes and explained why it is very difficult to take advantage of tactical predictability.
White Paper
Building a Better Alternatives Portfolio
October 1, 2011
Alternative strategies are valuable tools for potentially enhancing portfolio returns and are becoming widely accessible in mutual funds. We delve into alternatives and discuss why we beleive multistrategy alternatives should be at the core of an alternatives allocation.
White Paper
Building a Better Alternatives Portfolio (European Version)
September 1, 2011
Alternative strategies are valuable tools for potentially enhancing portfolio returns and are becoming widely accessible. We delve into alternatives and discuss why we believe multistrategy alternatives should be at the core of an alternatives allocation.
Journal Article
Contrarian Factor Timing is Deceptively Difficult
March 7, 2017
The increasing popularity of factor investing has led to valuation concerns among some contrarian-minded investors and fears of imminent mean-reversion and underperformance.
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
Data Set
Credit Risk Premium: Preliminary Paper Data
February 27, 2018
This data set is related to “Credit Risk Premium: Its Existence and Implications for Asset Allocation." Using data from both cash bond markets (1927–2014) and synthetic CDS markets (2004–2014), we document evidence of a sizable credit risk premium.
Alternative Thinking
Capital Market Assumptions for Major Asset Classes
February 2, 2018
We update our medium-term expected returns for major asset classes and explore the historical accuracy of yield-based return estimates.