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Book

Expected Returns on Major Asset Classes

Expected returns are arguably the most important input into investment decisions. By broadening the traditional paradigm of expected return estimation, we think investors have the ability achive better-diversified portfolios and more forward-looking analysis.

Book

Expected Returns: An Investors Guide to Harvesting Market Rewards

Finance theories have changed dramatically over the past 30 years, away from the restrictive theories of the single-factor CAPM, efficient markets, and constant expected returns.

Book

Consistency of Carry Strategies in Europe

In this chapter, we focus on strategies in the European bond market that shift money from government bonds to higher-yielding credits. While most carry strategies seem to add value in the long run, some strategies appear more risky than others.

Alternative Thinking

2017 Capital Market Assumptions For Major Asset Classes

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

Exploring Rates Sensitivity

Fed tightening has many investors interested in risks surrounding monetary policy, rising yields and inflation.

Journal Article

Do Financial Markets Reward Buying or Selling Insurance and Lottery Tickets?

Investors, like almost everyone else, dislike catastrophic negative surprises and love unexpected windfalls.

Journal Article

Investing with Style

Investors are bombarded with a variety of investment strategies and alternatives from an ever-growing and increasingly complex financial industry, each claiming to improve returns and reduce risk.

Journal Article

Smart Investing in an Environment of Low Expected Returns

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

Journal Article

Expected Returns on Stocks and Bonds

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.

Journal Article

Asset Allocation and Bad Habits

This article documents the “bad habits” of investors in asset allocation practices.