Our original research that has been published in peer-reviewed academic and practitioner journals.
Market exposure has historically rewarded long-term investors, but market risk is only one exposure among several that can potentially deliver robust long-term returns.
In this paper, the authors find that despite their recent popularity the most common factors or styles, namely the value, momentum and defensive styles, are not, in general, markedly over-valued as measured by their value spreads.
Investors naturally think about the expected returns of bonds based on their market yields, thus assuming time-varying expected returns. Yet when it comes to equities, investors and academics have traditionally assumed constant expected returns and have estimated prospective returns based on long-run historical realized returns.
In July 2016, Antti Ilmanen spoke with members of the Journal of Investment Consulting Editorial Advisory Board about the advantages of making the equity portion of most investor portfolios less dominant, particularly in today’s environment of low expected returns.
This paper examines whether local stocks hedge local investors against increases in the cost of the local consumption basket.
Defined contribution (DC) plans have, to this point, delivered uneven and sometimes inadequate results. We believe that DC sponsors can do much better in the future by maintaining the many important advantages of DC plans while simultaneously employing the best features of defined benefit (DB) plans.
This paper shows that downside risk tends to be the main source of long-run returns in equities and other asset classes, and argues that long-term investors are better off embracing downside risk.
Using data spanning 80 years in the U.S. and nearly 20 years in Europe, the authors find what they characterize as strong evidence of credit risk premium.
An implementable dynamic momentum strategy based on forecasts of each momentum strategy’s mean and variance generates an unconditional Sharpe ratio approximately double that of the static momentum strategy.
DC savings analyses typically anchor on long-term stock and bond returns when estimating retirement income. We make the case that these historical returns may not be achievable in the future, and quantify the impact this could have on savers’ retirement income replacement ratios (RR). We find that required savings rates nearly double when return prospects are reduced by ~2% to be more in line with current yields.