MiB: Antti Ilmanen, Co-Head, Portfolio Solutions, AQR


This week, we speak with Antti Ilmanen, who is the principal and global co-head of the portfolio solutions group at AQR Capital Management. His research into markets and valuation has won numerous accolades and recognitions, including the Graham and Dodd award, the Harry M. Markowitz special distinction award, multiple Bernstein Fabozzi/Jacobs Levy awards for his articles, and CFA Institute’s 2017 Leadership in Global Investment Award. His most recent book is “Investing Amid Low Expected Returns: Making the Most When Markets Offer the Least.”

He explains how valuations are the key driver of expected returns: When stocks or bonds are expensive, they have effectively “pulled forward” returns for future years. It takes a longer period of lower returns to make up for that. He adds that Value Premium remains inexpensive versus the rest of the market.

As he was writing the book in 2021, Ilmanen warned of a coming “investment winter ahead” which in light of the first half of 2022 seems prescient. He believes the Fed will do more to get inflation under control. He expects some more pain in the coming months, but his valuation analysis suggests we are closer to the latter part of the bear market than the beginning. He also believes the savings glut keeps a cap on yields, even with the Fed rating rates aggressively.  Regardless, he believes that valuations will determine future returns far more than other metrics.

We also discuss how investors often confuse economic growth with expected returns in markets; as one example, since 1990, China has experienced a massive economic expansion, while investors in China have seen essentially no gains over the same period.

A list of his favorite books is here; A transcript of our conversation is available here Tuesday.

You can stream and download our full conversation, including the podcast extras on iTunes, Spotify, Stitcher, Google, Bloomberg, and Acast. All of our earlier podcasts on your favorite pod hosts can be found here.

Be sure to check out our Masters in Business next week with Graham Weaver, founder of and partner of Alpine Investors, a private equity firm in San Francisco that invests in software and services and manages about $8 billion dollars. Weaver holds an MBA from Stanford GSB and a B.S. in engineering from Princeton. He started Alpine in his dorm room at Stanford’s Graduate School of Business, where he now is a lecturer, teaching courses on both management and entrepreneurship.



Antti Ilmanen Authored Books

Investing Amid Low Expected Returns: Making the Most When Markets Offer the Least by Antti Ilmanen

Expected Returns: An Investor’s Guide to Harvesting Market Rewards by Antti Ilmanen


Antti Ilmanen Favorite Books

The Three-Body Problem by Cixin Liu

Wolf Hall by Hilary Mantel

WEIRDest People in the World by Joseph Henrich

The Price of Peace: Money, Democracy, and the Life of John Maynard Keynes by Zachary Carter


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