By
Borsgade
Cliff Asness and the good people from AQR have made an empirical analysis of the consequences of interest rates now stabilizing at a higher level than they have been for many years. At least in the medium term.
Here they look at the expected return for stocks, bonds and alternative investments if the story is indicative for the future.
One result is clear: Equity markets have earned slimmer excess returns when the cash baseline is higher. […] In a higher-rate world that investors haven’t seen for many years, diversification away from equities may prove to be especially valuable.
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