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Alternative Thinking
Exploring Rates Sensitivity
2Q 2017
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
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
The Alpha in Portfolio Construction
January 1, 2013
We believe that portfolio construction, risk management and cost control are the “low-hanging fruit” of managing a long-term portfolio.
Trade Publication
Style Investing: The Long and the Long/Short of It
January 2, 2014
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.
Trade Publication
Risk Parity: A Supplement to Traditional Portfolios, Not Their Replacement
January 1, 2012
It is often said that long-term investors can rely on equity returns since they can withstand short-term periods of underperformance and still survive to realize the benefits in the long-term.
Trade Publication
The 5% Solution
May 1, 2012
Institutional investors commonly target 5% real annual returns, or 7% to 8% nominal returns.
Journal Article
Do Financial Markets Reward Buying or Selling Insurance and Lottery Tickets?
September 1, 2012
Investors, like almost everyone else, dislike catastrophic negative surprises and love unexpected windfalls.
Journal Article
Pronounced Momentum Patterns Ahead of Major Events
March 1, 2003
Many financial asset measures exhibit a weak continuation tendency.
Journal Article
“Do Financial Markets Reward Buying or Selling Insurance and Lottery Tickets?”: Author Response
March 1, 2013
Antti Ilmanen responds to Nassim N. Taleb’s letter to the Financial Analysts Journal regarding Antti’s published paper, “Do Financial Markets Reward Buying or Selling Insurance and Lottery Tickets.” In his response, Antti addresses Nassim’s criticisms of the paper.