Relaxed Constraint

Active Extension

November 24, 2025 - Jeffrey Cao Peter Hecht Dave Kershner Bill Latimer Peihan Zhao

This paper explores how Active Extension (AE)—a long-short framework—may enhance portfolio performance. By allowing skilled managers to short unattractive stocks and overweight more attractive ones, AE offers a liquid, capital-efficient path to improved active returns and long-term wealth outcomes.

Alternative Investing

Diversifying Alternatives and the Rearview Mirror

November 3, 2025 - Antti Ilmanen Thomas Maloney

Part 10: This paper examines how investor biases and performance-chasing behaviors can undermine the benefits of long/short diversifying alternatives. We explore why such strategies often feel disappointing in bull markets, yet remain vital for long-term portfolio resilience.

Fixed Income

Bond Market Focus: Yield Curves and Mean Reverting Rate Expectations

October 7, 2025 - Antti Ilmanen

Part 9: The yield curve largely reflects investors’ tendency to expect rates to revert toward past norms. This paper highlights how this pattern explains both the predictive power and the persistent forecasting missteps in bond markets.

Fixed Income

Bond Market Focus: Understanding Treasury Yields with Survey Data

September 17, 2025 - Antti Ilmanen Thomas Maloney

Part 8: This paper explores how survey data can decompose U.S. Treasury yields into inflation expectations, real rate expectations, and required bond risk premia. The analysis highlights how these components have evolved since the 1980s and the risks posed by today’s policy challenges to anchored inflation expectations.

Equities

Equity Market Focus: Subjective Expected Returns

August 21, 2025 - Antti Ilmanen

Part 7: While objective expectations are typically inferred from market prices or yields, subjective expectations are best inferred from survey data. This paper highlights interesting differences across investor groups in their tendency to overextrapolate or to be overoptimistic.

Equities

Equity Market Focus: Objective Expected Returns

July 31, 2025 - Antti Ilmanen Thomas Maloney

Part 6: This paper reviews the strengths and weaknesses of using valuation-based metrics like CAPE and CAEY to estimate long-run equity market returns. While these models remain the most robust objective tools available, their predictive power is nuanced and often overstated.

Asset Allocation

Diversifiers Forever

July 31, 2025 - Thomas Maloney Josh Stone

In a portfolio whose investment horizon is forever, do diversifying investments add any value? In this short paper, we illustrate the surprising power of diversification for ultra-long-term investors.

Equities

Equity Market Focus: Interrogating the Historical Data

July 10, 2025 - Antti Ilmanen

Part 5: We discuss how historical average returns can be useful estimates of future expected returns (only) if expected returns are constant and the sample is unbiased.

Alternative Investing

How Did We Get Here? A Brief History of Expected Returns Formation

June 20, 2025 - Antti Ilmanen Thomas Maloney

Part 4: We present our history of expectation formation: How have investors formed long-run return expectations over time, and how have academics perceived that investors do it, or ought to do it?

Equities

Why Are Bond Investors Contrarian While Equity Investors Extrapolate?

May 27, 2025 - Antti Ilmanen

Part 3: This article explores the contrast in how investors form long-run expectations in equity and bond markets. It also examines very long run trends in financial market variables and potential implications for the future.