[BOOK][B] Expected returns: An investor's guide to harvesting market rewards

A Ilmanen - 2011 - books.google.com
This comprehensive reference delivers a toolkit for harvesting market rewards from a wide
range of investments. Written by a world-renowned industry expert, the reference discusses …

Time‐varying expected returns in international bond markets

A Ilmanen - The Journal of Finance, 1995 - Wiley Online Library
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 …

Do financial markets reward buying or selling insurance and lottery tickets?

A Ilmanen - Financial Analysts Journal, 2012 - Taylor & Francis
Selling financial investments with insurance or lottery characteristics should earn positive
long-run premiums if investors like positive skewness enough to overpay for these …

Stock-bond correlations

A Ilmanen - The Journal of Fixed Income, 2003 - search.proquest.com
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 …

The death of diversification has been greatlyexaggerated

A Ilmanen, J Kizer - The Journal of Portfolio Management, 2012 - jpm.pm-research.com
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 …

Expected returns on stocks and bonds

A Ilmanen - Journal of Portfolio Management, 2003 - search.proquest.com
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 …

Follow‐ups of the Cardiovascular Risk in Young Finns Study in 2001 and 2007: levels and 6‐year changes in risk factors

JRH Raiko, JSA Viikari, A Ilmanen… - Journal of internal …, 2010 - Wiley Online Library
Raiko JRH, Viikari JSA, Ilmanen A, Hutri‐Kähönen N, Taittonen L, Jokinen E, Pietikäinen M,
Jula A, Loo B.‐M, Marniemi J, Lehtimäki T, Kähönen M, Rönnemaa T, Raitakari OT, Juonala …

Contrarian factor timing is deceptively difficult

CS Asness, S Chandra, A Ilmanen… - Journal of Portfolio …, 2017 - papers.ssrn.com
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 …

How do factor premia vary over time? A century of evidence

A Ilmanen, R Israel, TJ Moskowitz… - A Century of Evidence …, 2021 - papers.ssrn.com
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 …

Demystifying Illiquid Assets: Expected Returns for Private Equity

A Ilmanen, S Chandra, N McQuinn - The Journal of Alternative …, 2019 - pm-research.com
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 …