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5/8/2013 1:38 PM
A reader asked if I could expand on my post from two weeks back on expected stock returns. Specifically, he asked if I could focus on how tilts toward certain types of stocks could be expected to provide (or subtract) additional expected return beyond what we expect the overall market to do.
In that post, I noted that a reasonable expectation for the long-term real return of U.S. stocks was about 4 percent. .... 12/18/2012 3:46 PM
Europe’s debt crisis is entering its fourth year, and I wanted to pass along an update since it’s not getting the news attention it once was. In some ways, that’s good news. Part of the reason Europe is getting less attention is because its bond markets aren’t in the full blown crisis mode they’ve faced during the past three years.
Yield Spreads Relative to Germany
8/7/2012 6:13 PM
Last week, we saw that a momentum strategy could theoretically reduce tracking error in small- and value-tilted portfolios. Today, we’ll see if this has made a difference historically.
Last week's post referenced the potential improvement that an allocation to a momentum-based stock strategy can have in terms of reducing the tracking error in small- and value-tilted portfolios. Keep in mind that momentum is the tendency for stock.... 7/25/2012 3:00 PM
The past few years, in my humble opinion, have produced some of the most interesting and practical (which is always nice) empirical finance research in a long, long time. Not surprisingly, a good bit of this research has been co-authored by professors at the University of Chicago (Gene Fama and Toby Moskowitz) or by alumni of the university (Cliff Asness). Over the next few weeks, I’m planning to profile a number of these pieces.
Today, I’m starting wi.... 3/13/2012 4:37 PM
Momentum Premium: Returns
Momentum is the tendency for good past performance to continue. In stocks, the premium was first documented in Narasimhan Jegadeesh and Sheridan Titman’s 1993 Journal of Finance paper titled “Returns to Buying Winners and Selling Losers.” In the U.S., the momentum premium has averaged 9.7 percent per year o.... 1/25/2012 4:07 PM1/4/2012 11:10 AM
The Wall Street Journal recently profiled factor investing, which is my candidate for what well diversified portfolios will look like in the future.
However, I don’t expect this idea to take the world by storm any time soon, since most of my discussions with others on this topic end with blank stares and one or m.... 11/16/2011 11:36 AM10/21/2011 11:02 PM
JK: In the book you point out the historically poor reward for bearing credit risk. Specifically, you say that "Bonds exposed to credit risk have only marginally outperformed Treasuries over long histories by 0.2-0.5 percent ann.... 10/20/2011 2:19 PM
Antti Ilmanen is the author of Expected Returns, a book published by Wiley Finance this year. In my opinion it is a must read for investment professionals and for those investors who want to better understand the science of investing. Antti has just joined AQR Capital Management to represent .... |
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 | Jared Kizer
Director of
Investment Strategy
BAM Advisor Services
(see bio)
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