Margaret Towle: Thank you very much for your insights and
your perspective. We look forward to hearing more about what
Antti Ilmanen: Thank you very much. This was an honor and
1. Kenneth R. French, PhD, is the Roth Family Distinguished Professor of Finance at the
Tuck School of Business at Dartmouth College. He is an expert on the behavior of
security prices and investment strategies. He and co-author Eugene F. Fama are well-known for their research into the value effect and the three-factor model, including
articles such as “The Cross-Section of Expected Stock Returns” and “Common Risk
Factors in the Returns on Stocks and Bonds.”
2. AQR Capital Management is a global investment management firm based in
Greenwich, Connecticut. The firm, founded in 1998 by Cliff Asness, David Kabiller,
John Liew, and Robert Krail, offers a variety of quantitatively driven alternative and
traditional investment vehicles to both institutional clients and financial advisors.
3. Brevan Howard Asset Management LLP is a private company owned by an investment manager. The firm manages hedge funds for its clients. It invests in the public
equity, debt, foreign exchange, commodities, and derivative markets of developed
and emerging economies.
4. Cliff S. Asness is a founder, managing principal, and chief investment officer at AQR
Capital Management and a financial analyst. He is an active researcher and has written articles on a variety of financial topics for many publications, including the Journal
of Portfolio Management, Financial Analysts Journal, and the Journal of Finance. He
has received five Bernstein Fabozzi/Jacobs Levy Awards from the Journal of Portfolio
Management, in 2002, 2004, 2005, 2014, and 2015. Financial Analysts Journal has
twice awarded him the Graham and Dodd Award for the year’s best paper, as well as
a Graham and Dodd Excellence Award, the award for the best perspectives piece,
and the Graham and Dodd Readers’ Choice Award. In 2006, CFA Institute presented
him with the James R. Vertin Award, which is periodically given to individuals who
have produced a body of research notable for its relevance and enduring value to
5. David G. Kabiller is a founder and head of business development at AQR Capital
Management. He initiated AQR’s international growth and its introduction of mutual
funds as well as the creation of the AQR University symposia series and the AQR
Insight Award for outstanding innovation in applied academic research. He has
co-authored articles on a variety of topics, including derivatives, enhanced indexation,
securities lending, insurance-linked securities, hedge funds, and the secret of Warren
Buffett’s investing acumen.
6. “Shiller PE” is a price/earnings ratio that uses ten-year average earnings (adjusted for
inflation) in the denominator. Such smoothing is done because annual earnings can
be excessively volatile and occasionally negative even at the market level. This market
valuation measure was popularized by economist Robert Shiller, a winner of the Nobel
Memorial Prize in Economic Sciences, who updates the series regularly on his website.
7. Long-Term Capital Management (LTCM) was a hedge fund established in 1994 that
reached $7 billion under management by the end of 1997. The highly leveraged fund
was designed to profit from combining academics’ quantitative models with traders’
market judgment and execution capabilities. In August 1998, following the Russian
financial crisis and an ensuing flight to quality, the fund lost substantial amounts of
capital and was on the brink of default. The threat of a systemic crisis in the global
financial system led the U. S. Federal Reserve to orchestrate a $3.5-billion bailout by
major U.S. banks and investment houses in September 1998. The fund closed in 2000.
Chambers, David, Elroy Dimson, and Antti Ilmanen. 2012. The Norway Model. Journal of
38, no. 2 (winter): 67–81.
Ilmanen, Antti. 2011. Expected Returns: An Investor’s Guide to Harvesting Market
Rewards. Chichester, West Sussex, UK: John Wiley & Sons Ltd.
———. 2012. Do Financial Markets Reward Buying or Selling Insurance and Lottery
Tickets? Financial Analysts Journal 68, no. 5 (September/October): 26–36.
Ilmanen, Antti, and Jared Kizer. 2012. The Death of Diversification Has Been Greatly
Exaggerated. Journal of Portfolio Management 38, no. 3 (spring): 15–27.
The views and opinions expressed herein are those of Antti Ilmanen and do not necessarily reflect
the views of AQR Capital Management, LLC, its affiliates, or its employees. This document does
not represent valuation judgments, investment advice, or research with respect to any financial
instrument, issuer, security, or sector that may be described or referenced herein and does not
represent a formal or official view of AQR. Nothing contained herein constitutes investment, legal,
tax, or other advice nor is it to be relied on in making an investment or other decision.
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