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White Paper

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

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.

White Paper

Demystifying Illiquid Assets: Expected Returns for Private Equity

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.

Journal Article

A Historical Perspective on Time-Varying Expected Returns

Investors naturally think about the expected returns of bonds based on their market yields, thus assuming time-varying expected returns.

Journal Article

Market Rate Expectations and Forward Rates

Three main forces determine the term structure of forward rates: the market’s rate expectations; required bond risk premia; and the convexity bias.

Journal Article

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

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

Euro Swap Spreads

The Euro swaps market is among the largest financial markets in the world.

Journal Article

Exploring Macroeconomic Sensitivities

Forecasting economic and market conditions is no easy task.

Journal Article

Contrarian Factor Timing is Deceptively Difficult

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

Which Risks Have Been Best Rewarded?

An empirical study examines the consistency of rewards for bearing various types of risks in U.S.

Journal Article

How Much Should DC Savers Worry About Expected Returns?

DC savings analyses typically anchor on long-term stock and bond returns when estimating retirement income.