Journal Articles

Our original research that has been published in peer-reviewed academic and practitioner journals.

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  1. 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.

  2. 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.

  3. This paper examines whether local stocks hedge local investors against increases in the cost of the local consumption basket.

  4. 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.

  5. 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.

  6. 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.

  7. 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.

  8. 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.

  9. 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.

  10. As life-cycle funds grow, the authors argue that they should use modern investment techniques from the institutional investing toolkit.