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Alternative Thinking

Exploring Rates Sensitivity

2Q 2017 - Antti Ilmanen Thomas Maloney Paras Bakrania

Fed tightening has many investors interested in risks surrounding monetary policy, rising yields and inflation.

Alternative Thinking

2017 Capital Market Assumptions For Major Asset Classes

1Q 2017 - Antti Ilmanen Swati Chandra Thomas Maloney

We update our multi-year expected return assumptions for major stock and bond markets. Compared with historical averages of value metrics, we beloieve we are in a low expected return environment.

Trade Publication

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

January 2, 2014 - Antti Ilmanen Ronen Israel Daniel Villalon

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.

Journal Article

Forecasting U.S. Bond Returns

June 1, 1997 - Antti Ilmanen

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.

White Paper

Demystifying Illiquid Assets: Expected Returns for Private Real Estate

January 31, 2019 - Antti Ilmanen Swati Chandra Nicholas McQuinn

We try to demystify the risk and return of private real estate, considering theoretical arguments, historical average returns, and forward-looking yield-based analysis.

Journal Article

Understanding Expected Returns

January 1, 2012 - Antti Ilmanen

Investors tend to think of expected returns as a function of asset class risk, but this thinking may have led them to take on too much equity risk.

Journal Article

Bad Habits and Good Practices

August 5, 2015 - Amit Goyal Antti Ilmanen David G. Kabiller

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

July 1, 2016 - Jusvin Dhillon Antti Ilmanen John M. Liew

Traditional life-cycle strategies have some serious shortcomings.

Journal Article

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

January 8, 2016 - Martin Leibowitz Antti Ilmanen

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

Smart Investing in an Environment of Low Expected Returns

February 8, 2017 - Antti Ilmanen

In July 2016, Antti Ilmanen spoke with members of the Journal of Investment Consulting Editorial Advisory Board .