Is There a Crowding Problem With Value?

My guest in this episode needs no introduction: Antti Ilmanen, co-head of Portfolio Solutions at AQR, award winning researcher, and author of the books Expected Returns and the recently published Investing Amid Low Expected Returns.

A decade has passed since Antti wrote his first book, providing both a decade of out-of-sample data as well as a decade of new research.  I begin by asking Antti about where his conviction has hardened and the things he’s changed his mind about.  From there, however, the conversation topics become much more wide ranging.  We discuss structural changes in the market, the growth of passive investing, and his research on who is actually on the other side of style premia trades.  

We then discuss trend following versus put protection, trend following’s difficult decade, and why the outlook for trend may be rosier going forward.

Finally, we touch upon some more practical topics, addressing low-hanging opportunities Antti has seen in his role as co-head of Portfolio Solutions at AQR.

I hope you enjoy my conversation with Antti Ilmanen.