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Book
Expected Returns on Major Asset Classes
January 5, 2012
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
March 1, 2011
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
September 1, 2003
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
1Q 2017
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
2Q 2017
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?
September 1, 2012
Investors, like almost everyone else, dislike catastrophic negative surprises and love unexpected windfalls.
Journal Article
Investing with Style
January 2, 2015
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
February 8, 2017
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
December 1, 2003
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
September 17, 2014
This article documents the “bad habits” of investors in asset allocation practices.