**Diversify Before You Need To** 📊
AQR looks at 146 years of the classic 60/40 portfolio through the lens of the rolling 10-year Sharpe ratio. The pattern is brutal and predictable:
🟣 When Sharpe is *high* (like the 1960s or 2000s) → everyone says 'diversifiers are a drag'
🟣 When Sharpe is *low* (1910s, 1940s, 1970s, 2010s) → everyone's suddenly screaming 'I NEED diversifiers!'
The arrow on the left says it all. You don't diversify when you need it — you diversify *before* you need it. By the time it's obvious, it's already priced in.
Source: AQR, Bloomberg, GFD. 60% U.S. Large Cap / 40% 10Y Treasuries, rebalanced monthly. Past performance ≠ future — but 146 years of data doesn't whisper, it yells.
carloselbotte · 14h ago0 💬chriscarr · 18d ago
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