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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
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.
Journal Article
The Death of Diversification Has Been Greatly Exaggerated
January 1, 2012
Asset-class correlations generally tend to rise during crises.
Journal Article
Asset Allocation and Bad Habits
September 17, 2014
This article documents the “bad habits” of investors in asset allocation practices.
Journal Article
Contrarian Factor Timing is Deceptively Difficult
March 7, 2017
The increasing popularity of factor investing has led to valuation concerns among some contrarian-minded investors and fears of imminent mean-reversion and underperformance.
Journal Article
Defined Contribution Retirement Plans Should Look and Feel More Like Defined Benefit Plans
January 15, 2017
Defined contribution (DC) plans have, to this point, delivered uneven and sometimes inadequate results.
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
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
Smart Investing in an Environment of Low Expected Returns
February 8, 2017
In July 2016, Antti Ilmanen spoke with members of the Journal of Investment Consulting Editorial Advisory Board .
Journal Article
Dynamics of the Shape of the Yield Curve
September 1, 1997
In this article, we examine two broad questions about yield-curve behavior: How to interpret the steepness and curvature of the curve on a given day? And how does the yield curve evolve over time? Yield curve shape reflects the market’s rate expectations, required bond risk premiums, and convexity bias.