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Trade Publication

The Alpha in Portfolio Construction

January 1, 2013 - Cliff Asness Antti Ilmanen

We believe that portfolio construction, risk management and cost control are the “low-hanging fruit” of managing a long-term portfolio.

Trade Publication

The 5% Solution

May 1, 2012 - Cliff Asness Antti Ilmanen

Institutional investors commonly target 5% real annual returns, or 7% to 8% nominal returns.

Trade Publication

Back in the Hunt

November 11, 2015 - Cliff Asness Antti Ilmanen Thomas Maloney

Market timing is very hard.

Alternative Thinking

Exploring Rates Sensitivity

2Q 2017 - Antti Ilmanen Thomas Maloney Paras Bakrania

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

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 beloieve we are in a low expected return environment.

Trade Publication

Style Investing: The Long and the Long/Short of It

January 2, 2014 - Antti Ilmanen Ronen Israel Daniel Villalon

Many investors agree that applying systematic tilts away from a passive, capitalization-weighted portfolio is a good idea; fewer agree on how best to capture these style-based returns.

Trade Publication

Risk Parity: A Supplement to Traditional Portfolios, Not Their Replacement

January 1, 2012 - Antti Ilmanen Christopher Palazzolo Michael A. Mendelson

It is often said that long-term investors can rely on equity returns since they can withstand short-term periods of underperformance and still survive to realize the benefits in the long-term.

Interview

Words From the Wise: Robert Engle on Portfolio Management

October 2, 2017 - Antti Ilmanen Lasse H. Pedersen Rodney N. Sullivan

This issue of "Words from the Wise" features an interview with Robert Engle, Nobel prize winner and father of risk modeling. Engle discusses his breakthrough research on analyzing economic time series with time-varying volatility.

Book

Consistency of Carry Strategies in Europe

September 1, 2003 - Antti Ilmanen Roberto Fumagalli

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.

Book

Expected Returns: An Investors Guide to Harvesting Market Rewards

March 1, 2011 - Antti Ilmanen

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.