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Journal Article

A Historical Perspective on Time-Varying Expected Returns

Investors naturally think about the expected returns of bonds based on their market yields, thus assuming time-varying expected returns.

Journal Article

Bad Habits and Good Practices

This article focuses on the habits that may hinder long-term investment performance: multiyear return chasing, under-diversification and comfort seeking.

Journal Article

Balancing on the Life Cycle: Target Date Funds Need Better Diversification

Traditional life-cycle strategies have some serious shortcomings.

Journal Article

U.S. Corporate DB Pension Plans — Today’s Challenges

This article, coauthored by asset-liability-management pioneer Marty Leibowitz of Morgan Stanley and Antti Ilmanen of AQR Capital Management, analyses the many challenges U.S.

Journal Article

Forecasting U.S. Bond Returns

It is difficult to forecast bond market fluctuations, although some research shows that these fluctuations are not fully unpredictable: It is possible to identify in advance periods when the reward for duration extension is likely to be abnormally high or abnormally low. In this article, we first describe a few variables that have the ability to predict near-term bond market performance.

Journal Article

Does Duration Extension Enhance Long-Term Expected Returns?

In the past, investors have been rewarded for extending the duration of their fixed income holdings when the yield curve is upward sloping, but have not been rewarded (or have even been punished) when the curve is inverted.

White Paper

Improving Target-Date Funds

Target-date funds (TDFs) may be the preferred long-term investment vehicle for many defined-contribution plan sponsors and their participants. However, TDFs may have some shortcomings, and we discuss two of them in our analysis.

Trade Publication

Style Investing: The Long and the Long/Short of It

Many investors agree that applying systematic tilts away from a passive, capitalization-weighted portfolio is a good idea; fewer agree on how best to capture these style-based returns.

Book

Consistency of Carry Strategies in Europe

In this chapter, we focus on strategies in the European bond market that shift money from government bonds to higher-yielding credits. While most carry strategies seem to add value in the long run, some strategies appear more risky than others.

Book

Expected Returns: An Investors Guide to Harvesting Market Rewards

Finance theories have changed dramatically over the past 30 years, away from the restrictive theories of the single-factor CAPM, efficient markets, and constant expected returns.