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Journal Article
A Historical Perspective on Time-Varying Expected Returns
February 8, 2017
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
August 5, 2015
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
Traditional life-cycle strategies have some serious shortcomings.
Journal Article
U.S. Corporate DB Pension Plans — Today’s Challenges
January 8, 2016
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
June 1, 1997
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?
September 1, 1996
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
January 2, 2013
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
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.
Book
Consistency of Carry Strategies in Europe
September 1, 2003
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
March 1, 2011
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.