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Expected Returns on Major Asset Classes

180 Pages Posted: 9 Jun 2015 Last revised: 12 Jun 2015

Antti Ilmanen

AQR Capital Management

Date Written: June 1, 2012

Abstract

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.

Keywords: Expected Returns

JEL Classification: G1, G2

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

Antti S. Ilmanen (Contact Author)

AQR Capital Management ( email )

United Kingdom
+447887475184 (Phone)

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