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Journal Article

Tail Risk Hedging: Contrasting Put and Trend Strategies

July 8, 2020 - Antti Ilmanen Ashwin Thapar Harsha Tummala Daniel Villalon

The sharp market fall and speedy recovery during the eventful first half of 2020 has kept tail risk hedging topical: investors have both fresh memories of a painful loss and renewed fears of a repeat. We try to offer a balanced overview of the strengths and weaknesses of direct and indirect tail hedging strategies.

Journal Article

Fact and Fiction About Low-Risk Investing

February 17, 2020 - Ron Alquist Andrea Frazzini Antti Ilmanen Lasse H. Pedersen

Low-risk investing has received a lot of attention over the past decade. An intensive academic debate has spurred, and been spurred by, the growing market for low-risk strategies. This article presents five fact and dispels five fictions about low-risk investing.

Interview

Words From the Wise: An AQR Interview with Ed Thorp

January 10, 2018 - Antti Ilmanen Rodney N. Sullivan Ed Thorp

We sat down with Ed Thorp, a pioneer in the mathematical analysis of casino games and investing, to get his insights on an array of topics from casino gambling to quantitative investing.

Journal Article

Contrarian Factor Timing is Deceptively Difficult

March 7, 2017 - Cliff Asness Swati Chandra Antti Ilmanen

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

Smart Investing in an Environment of Low Expected Returns

February 8, 2017 - Antti Ilmanen

In July 2016, Antti Ilmanen spoke with members of the Journal of Investment Consulting Editorial Advisory Board .

Journal Article

A Historical Perspective on Time-Varying Expected Returns

February 8, 2017 - Antti Ilmanen

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

Alternative Thinking

2017 Capital Market Assumptions For Major Asset Classes

1Q 2017 - Antti Ilmanen Swati Chandra Thomas Maloney

We update our multi-year expected return assumptions for major stock and bond markets. Compared with historical averages of value metrics, we believe we are in a low expected return environment.

Journal Article