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Journal Article
Expected Returns on Stocks and Bonds
December 1, 2003
The equity-bond risk premium — the long-run expected return advantage of stocks over government bonds — is one of the biggest questions in financial markets.
Working Paper
Bubble Logic: Or, How to Learn to Stop Worrying and Love the Bull
August 1, 2000
A bull market produces stories, often absorbed by investors engaged in wishful thinking, that encourage the purchase or retention of stocks or mutual funds. This has led them to bid up stocks so high that even long-term investors will be disappointed.
Working Paper
The Bubble Has Not Popped
October 24, 2001
Many called the stock market “undervalued” in 2002, based on how far and fast it had fallen over the prior two years. But this 2002 article contends that stocks are not necessarily cheap after the decline.
Alternative Thinking
2015 Capital Market Assumptions for Major Asset Classes
1Q 2015
We update our expected returns and review our framework for constructing estimates of long-term expected returns for major asset classes, among other things.
Alternative Thinking
Estimating Long Term Expected Returns
2Q 2013
Diversification is underutilized in most institutional portfolios but may improve risk-adjusted returns, active returns and total returns more reliably than concentrated positions.
Alternative Thinking
2014 Capital Market Assumptions for Major Asset Classes
1Q 2014
We present our capital market assumptions for major asset classes and explore justifiable frameworks for estimating multi-year expected returns.
Alternative Thinking
Ideas for a Low-Expected-Return World
1Q 2012
There are different ways to achieve ambitious real return targets, but we think risk-balanced diversification across well-chosen return sources is the most reliable, strategic approach.
Alternative Thinking
Why Do Most Investors Choose Concentration Over Leverage?
2Q 2012
Return-seeking investors must take risks—the question is which to take and to understand the tradeoffs involved. Most investors choose concentration risk, but we present arguments for a different approach.
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.
Alternative Thinking
2016 Capital Market Assumptions for Major Asset Classes
1Q 2016
We update our multi-year expected return assumptions for major stock and bond markets, and investigate expected returns for credits and commodities.