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Journal Article

Tail Risk Hedging: Contrasting Put and Trend Strategies

July 8, 2020 - Antti Ilmanen Ashwin Thapar Harsha Tummala Daniel Villalon

The sharp market fall and speedy recovery during the eventful first half of 2020 has kept tail risk hedging topical: investors have both fresh memories of a painful loss and renewed fears of a repeat. We try to offer a balanced overview of the strengths and weaknesses of direct and indirect tail hedging strategies.

Journal Article

Fact and Fiction About Low-Risk Investing

February 17, 2020 - Ron Alquist Andrea Frazzini Antti Ilmanen Lasse H. Pedersen

Low-risk investing has received a lot of attention over the past decade. An intensive academic debate has spurred, and been spurred by, the growing market for low-risk strategies. This article presents five fact and dispels five fictions about low-risk investing.

Journal Article

How Do Factor Premia Vary Over Time? A Century of Evidence

Winner of a Special Distinction Award in the 2021 Harry M. Markowitz Awards

July 2, 2019 - Antti Ilmanen Rachel Lee Tobias J. Moskowitz Ashwin Thapar

We examine four prominent factor premia – value, momentum, carry, and defensive – over a century from six asset classes. The results offer support for time-varying risk premia models with important implications for theory seeking to explain the sources of factor returns.

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

Demystifying Illiquid Assets: Expected Returns for Private Equity

January 31, 2019 - Antti Ilmanen Swati Chandra Nicholas McQuinn

We lay out a framework for expected returns for private equity that is based on a discounted cashflow framework similar to what we use for public stocks and bonds.

Interview

Words From the Wise: An AQR Interview with Ed Thorp

January 10, 2018 - Antti Ilmanen Rodney N. Sullivan Ed Thorp

We sat down with Ed Thorp, a pioneer in the mathematical analysis of casino games and investing, to get his insights on an array of topics from casino gambling to quantitative investing.

Interview

Words From the Wise: Robert Engle on Portfolio Management

October 2, 2017 - Antti Ilmanen Lasse H. Pedersen Rodney N. Sullivan

This issue of "Words from the Wise" features an interview with Robert Engle, Nobel prize winner and father of risk modeling. Engle discusses his breakthrough research on analyzing economic time series with time-varying volatility.

White Paper

Intelligent Risk Taking: How to Secure Retirement in a Low Expected Return World

August 15, 2017 - Antti Ilmanen Matthew Rauseo

We examine the rate of return needed to deliver a comfortable retirement based on current savings rates as well as intelligent ways to construct portfolios to achieve this rate of return.

Journal Article

Market Timing: Sin a Little

August 9, 2017 - Cliff Asness Antti Ilmanen Thomas Maloney

Is market timing an easy source of added value or a sin to be avoided? We examine the evidence and find that adding a dose of momentum is a practical way to enhance value timing strategies. Investors may benefit from a modest amount of market timing.

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.