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Expected Returns on Major Asset Classes

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Can the art and science of investment management be reduced to a set of patterns that markets generally follow, in apparent violation of the efficient market hypothesis? Can investors reasonably expect to make money from the knowledge of these patterns, even after they have not only been identified but also widely exploited? Although one’s first guess might be that the answers to these questions are no, at least sometimes, the answer is yes.

About the Author(s)

Antti Ilmanen PhD

Antti Ilmanen, a Principal at AQR, manages the Portfolio Solutions Group, which advises institutional investors and sovereign wealth funds, and develops AQR's broad investment ideas. Before AQR, Antti spent seven years as a senior portfolio manager at Brevan Howard, a macro hedge fund, and a decade in a variety of roles at Salomon Brothers/Citigroup. He began his career as a central bank portfolio manager in Finland. Antti earned a Ph.D. in finance from the University of Chicago and M.Sc. degrees in economics and law from the University of Helsinki. Over the years, he has advised many institutional investors, including Norway's Government Pension Fund Global and the Government of Singapore Investment Corporation. Antti has published extensively in finance and investment journals and has received the Graham and Dodd award and the Bernstein Fabozzi/Jacobs Levy award for his articles. His book Expected Returns (Wiley, 2011) is a broad synthesis of the central issue in investing. Antti recently scored a rare double in winning the best-paper and runner-up award for best articles published in 2012 in the Journal of Portfolio Management (coauthored articles "The Death of Diversification Has Been Greatly Exaggerated" and "The Norway Mode").