Dr. Antti Ilmanen, Principal and Global Co-head of the Portfolio Solutions Group at AQR Capital Management joins ReSolve Global CIO Adam Butler to discuss the core themes from Antti’s new book, “Investing Amid Low Expected Returns.” In this 100 minute conversation we explore the following themes at length:
- The pros and cons of several models for forecasting stock returns
- The role of bonds in portfolios when yields are low.
- How to measure and optimize the credit risk premium
- The sources of return for commodity portfolios and the critical role of inflation sensitive assets for optimal portfolio diversification
- Why the illiquidity premium is probably an illiquidity discount
- Why PE returns are probably overstated and can be mostly replicated with public market portfolios
- Style premia as distinct from academic factor models
- A lengthy discussion on the role and character of global carry strategies, and myth-busting
- Is global carry the ultimate risk premia strategy?
- The many benefits of trend and macro trading strategies, especially during inflationary regimes
- Why Carry and Trend work so well together in portfolios
- The origins of ‘Defensive Premia’
- Which style premia are most overlooked relative to their potential value in a portfolio
- Which style premia have historically offered the highest sensitivity to inflation
- Why global risk parity allocations across risk premia and style premia represents the most efficient portfolio
- The regulatory imperative to maximize diversification
- Why most investors can’t or won’t invest this way
There is not one wasted moment in this conversation, and it is chock-full of practical take-aways for investors of every type. If you listen to one podcast this week, and are motivated to make the most of your invested capital, make it this one!
You can find Antti’s book on Amazon here:
https://www.amazon.com/gp/product/1119860199/ref=dbs_a_def_rwt_bibl_vppi_i2
Additional book-related content; including “deleted scenes” that didn’t make the final book:
Aqr.com/Serenity
Hosted by Adam Butler of ReSolve Global*
*ReSolve Global refers to ReSolve Asset Management SEZC (Cayman) which is registered with the Commodity Futures Trading Commission as a commodity trading advisor and commodity pool operator. This registration is administered through the National Futures Association (“NFA”). Further, ReSolve Global is a registered person with the Cayman Islands Monetary Authority.
