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the
money masters
The much-coveted
5 percent real rate
of return is difficult
to achieve, but for
investors willing
to use derivatives and
leverage there is a
potential way to do it.
The 5 Percent Solution
By Clifford Asness and Antti Ilmanen
illustration by luke best
i n s t i t u t i o n a l i n v e s t o r . c o m m ay 2 012
Model Citizens
Alternative
portfolios
share one
common risk
asset management
The real yield of a 60-40 stock and bond portfolio is well below its historical average.
19
04
19
09
19
14
19
19
19
24
19
29
19
34
19
39
19
44
19
49
19
54
19
5
19 9
64
19
69
19
74
19
79
19
84
19
89
19
94
19
9
20 9
04
20
09
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asset management
20%
A blended quant por tfolio of value and momentum stocks outperformed cash
by 5 percent annually over time, but many investors had trouble sticking with it.
15
Quant is great!
10
5
0
5
Im out of quant!
Rolling three-year performance of a simulated U.S. quant stock portfolio
06
20
01
20
19
96
19
91
6
19
8
19
81
19
76
19
71
6
19
6
19
61
19
56
10
Source: AQR Capital Management.
asset management
Reprinted from the May 2012 issue of Institutional Investor Magazine. Copyright 2012 by Institutional Investor Magazine. All rights reserved.
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