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Journal Article

Contrarian Factor Timing is Deceptively Difficult

March 7, 2017 - Cliff Asness Swati Chandra Antti Ilmanen

The increasing popularity of factor investing has led to valuation concerns among some contrarian-minded investors and fears of imminent mean-reversion and underperformance.

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 believe we are in a low expected return environment.

White Paper

Are Defensive Stocks Expensive? A Closer Look at Value Spreads

November 20, 2015 - Antti Ilmanen Lars N. Nielsen Swati Chandra

Investors have been concerned about the rich valuation of defensive stocks and how that may crimp returns. Using value spreads, we analyze the relative prices of defensive stocks and discuss the difficulties in predicting style returns.