AQR: Returns Are Gonna Suck For The Next Decade, Unless We Are Wrong, In Which Case They Are Gonna Really, Really Suck

Cliff Asness & co. have crunched the numbers, and they’re the equivalent of several million gallons of cold water to the face and coffee at the same time.

Author:: Jon Shazar
Publish date:: Feb 7, 2019

Cliff Asness & co. have crunched the numbers, and they’re the equivalent of several million gallons of cold water to the face and coffee at the same time.

Last year, the whiz-kids at AQR Capital Management ran their new streams of big data and everything else through the As-Bot and got an unpleasant surprise: Nothing was gonna return even 5% over the next five to 10 years.

For masochism or science or whatever, they decided to do it again this year. And while stocks outside of the U.S. broke the 5% barrier, it wasn’t exactly something to celebrate, least of all for AQR.

The improvements over last year are mainly due to cheaper prices after 2018’s annus horribilis. AQR expects a traditional 60/40 portfolio of U.S. assets to earn just 2.9 percent after inflation over the medium term, compared with a long-term average of 5 percent.
“These estimates are mostly higher than they were a year ago, but compared to historical norms, they remain soberingly low,’’ the firm wrote in a research note.