Expected Returns on Major Asset Classes

Antti Ilmanen

AQR Capital Management

June 1, 2012

CFA Institute Research Foundation 2012 - 1

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.

Number of Pages in PDF File: 180

Keywords: Expected Returns

JEL Classification: G1, G2

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Date posted: June 9, 2015 ; Last revised: June 12, 2015

Suggested Citation

Ilmanen, Antti, Expected Returns on Major Asset Classes (June 1, 2012). CFA Institute Research Foundation 2012 - 1. Available at SSRN: https://ssrn.com/abstract=2616228

Contact Information

Antti S. Ilmanen (Contact Author)
AQR Capital Management ( email )
United Kingdom
+447887475184 (Phone)
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