In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently realized by any particular trading program. No representation is being made that any fund or account will or is likely to achieve profits or losses similar to those shown herein. Hypothetical performance results (e.g., quantitative backtests) have many inherent limitations, some of which, but not all, are described herein.

The investment strategy and themes discussed herein may be unsuitable for investors depending on their specific investment objectives and financial situation. Investments cannot be made directly in an index. Neither the author nor AQR undertakes to advise you of any changes in the views expressed herein.īroad-based securities indices are unmanaged and are not subject to fees and expenses typically associated with managed accounts or investment funds. The information contained herein is only as current as of the date indicated, and may be superseded by subsequent market events or for other reasons. Past performance is no guarantee of future results. This document has been provided to you solely for information purposes and does not constitute an offer or solicitation of an offer or any advice or recommendation to purchase any securities or other financial instruments and may not be construed as such. Long-run average return of an equal-dollar-weighted portfolio of commodity futures. Index durations are 7.9 years and 3.1 years respectively. Corporate Investment Grade (IG) Index and Barclays U.S. OAS and duration data is for Barclays U.S. bonds” is GDP-weighted average of Germany, Japan, U.K., Australia, Canada. Rolldown return is estimated from fitted yield curves and based on annual rebalance. Source: Bloomberg, Consensus Economics and AQR. Each estimate is the average of two approaches, based on earnings and payouts (both dividends and buybacks) respectively. “Euro-5” is a cap-weighted average of large-cap indices in Germany, France, Italy, Netherlands and Spain. Developed Equities” is cap-weighted average of Euro-5, Japan, U.K., Australia and Canada. Estimates and methodology subject to change and based on data as of December 31, 2019. Source: AQR, Consensus Economics and Bloomberg. Not representative of any portfolio that AQR currently manages. Estimates are for illustrative purposes only, are not a guarantee of performance and are subject to change. Forecasting requires humility at many levels. Not only are the return forecasts uncertain, but also any measures of forecast uncertainty are debatable. These are intended to emphasize the uncertainty around any point estimates. Error bars cover 50% confidence range, based on analysis from Alternative Thinking Q1 2018 and adjusted for current expected volatilities. Source: AQR, Consensus Economics, Bloomberg and Barclays.

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