Equity Market Focus: Interrogating the Historical Data

There have been recent incidents of individuals and groups falsely claiming to be associated with AQR on social media platforms. These imposters have engaged in a variety of unauthorized conduct, including soliciting customers to carry out trading activities with them, impersonating AQR using the genuine names of AQR senior executives or employees to offer investment opportunities, claiming to offer investment training courses that are supposedly provided by AQR or claiming that AQR is backing certain initial coin offerings or is otherwise engaged in crypto related trading activity. There have also been fake websites and mobile applications that claim to be AQR (or associated with AQR) when in fact they are not. These are scams and not authorized by AQR in any way. Please be aware that AQR does not engage in any investment activities, provide training or financial services, or conduct other regulated activities through social media platforms or messaging apps. Similarly, AQR, its executives and employees do not contact prospects, clients or members of the public via social media platforms or messaging apps such as WhatsApp, Discord and Telegram to offer investment opportunities. AQR does not offer direct investments in cryptocurrencies or other digital assets, it does not provide a trading platform to members of the public, it does not have a mobile app, and it does not offer investment training courses to the public. AQR and its partners, employees, directors, officers, advisors, successors, and agents are not responsible for any conduct by unauthorized parties and channels, nor are they responsible for the services or information provided by such unauthorized parties and channels. If you have any questions or wish to ascertain whether you are communicating with an authorized representative of AQR, please contact us at https://www.aqr.com/Contact-Us. If you believe that you or someone you know has been a victim of fraud, please report the matter to your local law enforcement or other relevant authorities. For India residents, you may lodge a report at the national cybercrime reporting portal (https://cybercrime.gov.in). Education Research Cliff's Perspectives Alternative Thinking Data Sets Quick Takes Learning Center Subscribe Research Cliff's Perspectives Alternative Thinking Data Sets Quick Takes Learning Center Subscribe What We Do Our Approach Alternatives Equities Tax-Aware US Mutual Funds Australia Funds Flex UCITS Funds US Mutual Funds Australia Funds Flex UCITS Funds Our Approach Alternatives Equities Tax-Aware Our Firm About Us Leadership Careers Contact Us About Us Leadership Careers Contact Us MyAQR Log InRegister Log InRegister Contact Us Equities

July 10, 2025 - Antti Ilmanen Topics - Equities Asset Allocation Historical average returns can be useful estimates of future expected returns (only) if expected returns are constant and the sample is unbiased. Historically, US equities have delivered strong real returns over the long run, but future prospects are lower. A decomposition of S&P 500 returns into yield, growth, and valuation change effects is instructive. The most relevant predictor, equity market’s starting yield, is historically low, while the less sustainable contributions of growth and repricing have risen in recent decades. How Do Investors Form Long-Run Return Expectations? White Paper - April 28, 2025 White Paper - April 28, 2025 Exceptional Expectations: U.S. vs. Non-U.S. Equities White Paper - May 9, 2025 White Paper - May 9, 2025 Why Are Bond Investors Contrarian While Equity Investors Extrapolate? White Paper - May 27, 2025 White Paper - May 27, 2025 How Did We Get Here? A Brief History of Expected Returns Formation White Paper - June 20, 2025 White Paper - June 20, 2025 This document is not intended to, and does not relate specifically to any investment strategy or product that AQR offers. It is being provided merely to provide a framework to assist in the implementation of an investor’s own analysis and an investor’s own view on the topic discussed herein. 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. The factual information set forth herein has been obtained or derived from sources believed by the author and AQR Capital Management, LLC (“AQR”) to be reliable but it is not necessarily all-inclusive and is not guaranteed as to its accuracy and is not to be regarded as a representation or warranty, express or implied, as to the information’s accuracy or completeness, nor should the attached information serve as the basis of any investment decision. This document is not to be reproduced or redistributed to any other person. The information set forth herein has been provided to you as secondary information and should not be the primary source for any investment or allocation decision. Past performance is not a guarantee of future performance. Diversification does not eliminate the risk of experiencing investment losses. This material is not research and should not be treated as research. This paper does not represent valuation judgments with respect to any financial instrument, issuer, security or sector that may be described or referenced herein and does not represent a formal or official view of AQR. The views expressed reflect the current views as of the date hereof and neither the author nor AQR undertakes to advise you of any changes in the views expressed herein. 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. Charts and graphs provided herein are for illustrative purposes only. The information in this presentation has been developed internally and/or obtained from sources believed to be reliable; however, neither AQR nor the author guarantees the accuracy, adequacy or completeness of such information. Nothing contained herein constitutes investment, legal, tax or other advice nor is it to be relied on in making an investment or other decision. There can be no assurance that an investment strategy will be successful. Historic market trends are not reliable indicators of actual future market behavior or future performance of any particular investment which may differ materially, and should not be relied upon as such. Diversification does not eliminate the risk of experiencing investment losses. The information in this paper may contain projections or other forward-looking statements regarding future events, targets, forecasts or expectations r

AQR Capital Management, LLC, (“AQR”) provides links to third-party websites only as a convenience, and the inclusion of such links does not imply any endorsement, approval, investigation, verification or monitoring by us of any content or information contained within or accessible from the linked sites. If you choose to visit the linked sites, you do so at your own risk, and you will be subject to such sites' terms of use and privacy policies, over which AQR.com has no control. In no event will AQR be responsible for any information or content within the linked sites or your use of the linked sites.

You are about to leave AQR.com and are being re-directed to the {siteName}. Please note that {siteName} site may be subject to rules and regulations that may differ significantly from those to which the AQR website is subject and may not be appropriate for use by residents in all jurisdictions. Your access to and use of the {siteName} site will be subject to the applicable Terms of Use posted on the site.