Antti Ilmanen

AQR Capital Management

Principal

United Kingdom

  • AQR Capital Management

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SCHOLARLY PAPERS

12

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Top 1,360

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41,316

TOTAL CITATIONS
Rank 9,909

SSRN RANKINGS

Top 9,909

in Total Papers Citations

94

Scholarly Papers (12)

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1.

The Norway Model

Journal of Portfolio Management, Vol. 38, No. 2, 2012, pages 67–81, https://doi.org/10.3905/jpm.2012.38.2.067
Number of pages: 17 Posted: 17 Jul 2019
David Chambers, Elroy Dimson and Antti Ilmanen
University of Cambridge - Judge Business School, University of Cambridge - Judge Business School and AQR Capital Management
Downloads 9,220 (1,381)
Citation 27

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Sovereign wealth funds, endowment, pensions, Norway, Government Pension Fund Global

2.

How Do Factor Premia Vary Over Time? A Century of Evidence

Number of pages: 55 Posted: 17 Jun 2019 Last Revised: 24 Feb 2021
Antti Ilmanen, Ronen Israel, Tobias J. Moskowitz, Tobias J. Moskowitz, Ashwin K Thapar and Rachel Lee
AQR Capital Management, Yale School of Management, Yale University, Yale SOMAQR Capital, AQR Capital Management, LLC and Vice President
Downloads 8,434 (1,627)
Citation 38

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Factor premia, factor timing, multi-asset class, overfitting bias, arbitrage activity

3.

Long-Run Asset Returns

Annual Review of Financial Economics, volume 16, issue 1, 2024 (forthcoming) [10.1146/annurev-financial-082123-105515]
Number of pages: 38 Posted: 03 Dec 2024
David Chambers, Elroy Dimson, Antti Ilmanen and Paul Rintamäki
University of Cambridge - Judge Business School, University of Cambridge - Judge Business School, AQR Capital Management and Aalto University
Downloads 6,122 (2,773)

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Asset pricing, historical returns, stock market index, investment management, risk premium, stocks, bonds, real estate

4.

Contrarian Factor Timing is Deceptively Difficult

Journal of Portfolio Management, Forthcoming
Number of pages: 29 Posted: 09 Mar 2017
Clifford S. Asness, Swati Chandra, Antti Ilmanen and Ronen Israel
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management and Yale School of Management
Downloads 5,222 (3,682)
Citation 13

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factor investing, factor timing, styles, value timing, value spreads, contrarian timing, value, momentum, defensive, tactical timing, smart beta, low beta, BAB, low volatility

5.

Rethinking the Equity Risk Premium

Brett Hammond, Martin Leibowitz, and Laurence Siegel (Eds), Rethinking the Equity Premium, Research Foundation of CFA Institute, 2011-1
Number of pages: 164 Posted: 12 Jun 2015 Last Revised: 19 Mar 2016
P. Brett Hammond, Martin L. Leibowitz, Laurence B. Siegel, Roger G. Ibbotson, Clifford S. Asness, Elroy Dimson, Paul Marsh, Mike Staunton, Richard C. Grinold, Kenneth F. Kroner, Robert D. Arnott, Antti Ilmanen, Peng Cheng, Andrew Ang, Zhang Xiaoyan, Jeremy J. Siegel and Rajnish Mehra
Pension Research Council, Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF), CFA Institute Research Foundation, Yale School of Management, AQR Capital Management, LLC, University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting, London Business School - Institute of Finance and Accounting, Barclays, BlackRock, Inc - San Francisco, Research Affiliates, LLC, AQR Capital Management, Xi'an Jiaotong - Liverpool University - International Business School Suzhou, BlackRock, Inc, Independent, University of Pennsylvania - Finance Department and Arizona State University (ASU) - W.P Carey School of Business, Department of Economics
Downloads 3,599 (6,852)
Citation 12

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ERP, Equity risk premium, CFA, CFA Institute, research foundation, Arnott, Asness, Dimson

6.

Expected Returns on Major Asset Classes

CFA Institute Research Foundation 2012 - 1
Number of pages: 180 Posted: 09 Jun 2015 Last Revised: 12 Jun 2015
Antti Ilmanen
AQR Capital Management
Downloads 3,144 (8,540)
Citation 1

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Expected Returns

7.

Fact and Fiction about Low-Risk Investing

NYU Stern School of Business
Number of pages: 26 Posted: 25 Mar 2020
Ron Alquist, Andrea Frazzini, Antti Ilmanen and Lasse Heje Pedersen
Managed Funds Association, AQR Capital Management, LLC, AQR Capital Management and AQR Capital Management, LLC
Downloads 2,270 (14,274)

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Low-risk investing, betting against beta, capital asset pricing model, factor premiums

8.

Asset Allocation and Bad Habits

Rotman International Journal of Pension Management, Vol. 7, No. 2, 2014, Columbia Business School Research Paper No. 14-42
Number of pages: 13 Posted: 17 Sep 2014
Andrew Ang, Amit Goyal and Antti Ilmanen
BlackRock, Inc, University of Lausanne and AQR Capital Management
Downloads 1,933 (18,534)
Citation 3

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Asset Allocation, Mean Reversion, Momentum Investing, Pension Fund, Return Attribution

9.

Antti S. Ilmanen, PhD: Smart Investing in an Environment of Low Expected Returns

Journal of Investment Consulting, Vol. 17, No. 2, 4-12, 2016
Number of pages: 11 Posted: 07 Feb 2017
Antti Ilmanen
AQR Capital Management
Downloads 1,170 (39,312)

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Antti Ilmanen

10.

Research Foundation Year in Review -- 2012

CFA Institute Research Foundation R2013
Number of pages: 76 Posted: 11 Jun 2015 Last Revised: 20 Mar 2016
Antti Ilmanen, Richard Taffler, David Tuckett, Zvi Bodie, Laurence B. Siegel, Lisa Stanton, Momtchil Pojarliev, Richard M. Levich, Stephen Wilcox, David Adler, Thomas Oberlechner, Richard Sandor, Elroy Dimson, Jeffery Bailey, Bud Haslett and David Chambers
AQR Capital Management, University of Warwick - Finance Group, University College London - Centre for the Study of Decision-Making Uncertainty, Boston University, CFA Institute Research Foundation, CFA Institute, Fischer Francis Trees & Watts, Inc., New York University (NYU) - Department of Finance, Minnesota State University, Mankato, CFA Institute, Webster University, Environmental Financial Products, LLC, University of Cambridge - Judge Business School, Target Corporation, CFA Institute Research Foundation and University of Cambridge - Judge Business School
Downloads 202 (320,533)

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Expected Returns, emotional finance, currency investing, life-cycle investing, inflation, liquidity, financial frictions, ethics, derivatives, equity risk premium

11.

The Death of Diversification Has Been Greatly Exaggerated

Journal of Portfolio Management, Vol. 38, No. 3, pp. 15-27, 2012
Posted: 14 Jul 2017
Antti Ilmanen and Jared Kizer
AQR Capital Management and Buckingham Strategic Wealth

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Diversification, Style Investing, Factor Investing

12.

Time-Varying Expected Returns in International Bond Markets

Posted: 03 May 2000
Antti Ilmanen
AQR Capital Management

Abstract:

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