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Journal Article

A Historical Perspective on Time-Varying Expected Returns

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

Journal Article

Bad Habits and Good Practices

This article focuses on the habits that may hinder long-term investment performance: multiyear return chasing, under-diversification and comfort seeking.

Journal Article

Balancing on the Life Cycle: Target Date Funds Need Better Diversification

Traditional life-cycle strategies have some serious shortcomings.

Journal Article

U.S. Corporate DB Pension Plans — Today’s Challenges

This article, coauthored by asset-liability-management pioneer Marty Leibowitz of Morgan Stanley and Antti Ilmanen of AQR Capital Management, analyses the many challenges U.S.

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

Dynamics of the Shape of the Yield Curve

In this article, we examine two broad questions about yield-curve behavior: How to interpret the steepness and curvature of the curve on a given day? And how does the yield curve evolve over time? Yield curve shape reflects the market’s rate expectations, required bond risk premiums, and convexity bias.

Journal Article

Euro Swap Spreads

The Euro swaps market is among the largest financial markets in the world.

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

What Really Happened to U.S. Bond Yields

Long-term U.S.

Journal Article

When Do Bond Markets Reward Investors for Interest Rate Risk?

Fixed-income portfolio managers pay considerable attention to risk/return tradeoffs.