… Foreword The first time I met Antti Ilmanen I thought he was … seconds after being introduced
to Antti he asked me “who do … them as well as other feedback (antti.ilmanen@gmail.com). I …

This article examines the predictable variation in long‐maturity government bond returns in
six countries. A small set of global instruments can forecast 4 to 12 percent of monthly …

Evaluating how factor premia vary over time and across asset classes is challenging due to
limited time series data, especially outside of US equities. We examine four prominent …

Diversification is famously referred to as the only “free lunch” in investing, but it has been
under assault since the 2007–2009 global financial crisis, when virtually all longonly asset …

The correlation between stock market and government bond returns was positive through
most of the 1900s, but negative in the early 1930s, the late 1950s, and recently. If the trend is …

There is an ongoing shift in opinion about expected asset returns. Ex ante equity returns are
less transparent and thus more open to question than ex ante bond returns. Long-term …

The increasing popularity of factor investing has led to valuation concerns among some
contrarian-minded investors, and fears of imminent mean-reversion and underperformance. In …

Selling financial investments with insurance or lottery characteristics should earn positive
long-run premiums if investors like positive skewness enough to overpay for these …

The growing interest in private equity means that allocators must carefully evaluate its risk
and return. The challenge is that modeling private equity is not straightforward due to a lack of …

The relationship between stock and bond returns is a fundamental determinant of risk in
traditional portfolios. For the first two decades of the 21st century, the stock–bond correlation …