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White Paper

Equity Market Focus: Interrogating the Historical Data

July 10, 2025 - Antti Ilmanen

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.

White Paper

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

June 20, 2025 - Antti Ilmanen Thomas Maloney

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?

White Paper

Why Are Bond Investors Contrarian While Equity Investors Extrapolate?

May 27, 2025 - Antti Ilmanen

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.

White Paper

Exceptional Expectations: U.S. vs. Non-U.S. Equities

May 9, 2025 - Antti Ilmanen Thomas Maloney

We analyze the persistent outperformance of US equities compared to non-US equities, focusing on the drivers of relative performance, including fundamentals and valuations. We examine historical data, valuation trends, and the implications for future returns, highlighting the potential for mean reversion and the benefits of global diversification.

White Paper

How Do Investors Form Long-Run Return Expectations?

April 28, 2025 - Antti Ilmanen

We provide an overview of the contrasting ways investors form long-run return expectations and examine the tensions between "objective" yield-based expected returns and "subjective" rearview-mirror expectations. We also discuss the dangers of a rearview-mirror mindset and emphasize the importance of forward-looking measures.

Journal Article

International Diversification—Still Not Crazy after All These Years

May 3, 2023 - Cliff Asness Antti Ilmanen Daniel Villalon

International diversification has hurt US-based investors for over 30 years, but the long-run case for it remains relevant. We show that both financial theory and common sense favor international diversification, buttressed by empirical supportive evidence. Additionally we show it would be dangerous to extrapolate the post-1990 outperformance of US equities.

Journal Article

Investing in Interesting Times

January 31, 2023 - Antti Ilmanen

Given 2022’s cheapening of asset valuations, some have questioned if we are still in a world of low expected returns. We review what’s changed after 2022, showing that the lower expected return picture has not been substantially altered for many asset classes. We provide some suggestions to potentially ameliorate the pain caused by this environment.

Journal Article

A Changing Stock-Bond Correlation

Q1 2023 - Alfie Brixton Jordan Brooks Peter Hecht Antti Ilmanen Thomas Maloney Nicholas McQuinn

For the past two decades, the stock/bond correlation – a fundamental detriment of risk in traditional portfolios – has been consistently negative. However, this hasn’t always been the case, and a positive stock/bond correlation could reappear due to macroeconomic changes. In this article, we assess the broad implications this would have for investors and set out practical steps to prepare for such an outcome.

In the Press

May 6, 2022 - Antti Ilmanen

See where “Investing Amid Low Expected Returns” has been featured in the press.

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.