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Investing in Interesting Times

Antti Ilmanen
The Journal of Portfolio Management Multi-Asset Special Issue 2023, 49 (4) 21-35; DOI: https://doi.org/10.3905/jpm.2023.1.461
Antti Ilmanen
is a principal at AQR Capital Management in Greenwich, CT
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Abstract

What happened to major asset prices before 2022 and what changed in 2022? This article covers six key themes. 1) The backdrop of high asset valuations and low expected returns before 2022. 2) Investor responses to low expected returns, notably the boom in flows to private assets. 3) A revised picture after 2022: much higher expected returns at least for bonds (less for private assets so far) after the biggest inflation scare in a generation and central bankers’ attempt to contain it. 4) Contrasting fortunes and prospects for long-only assets and long–short strategies. 5) Understanding the rollercoaster ride of value-versus-growth stock selection strategies. 6) The important role of risk-mitigating strategies, especially trend following, amid protracted bear markets and elevated macro volatility.

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The Journal of Portfolio Management: 49 (4)
The Journal of Portfolio Management
Vol. 49, Issue 4
Multi-Asset Special Issue 2023
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Investing in Interesting Times
Antti Ilmanen
The Journal of Portfolio Management Feb 2023, 49 (4) 21-35; DOI: 10.3905/jpm.2023.1.461

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Investing in Interesting Times
Antti Ilmanen
The Journal of Portfolio Management Feb 2023, 49 (4) 21-35; DOI: 10.3905/jpm.2023.1.461
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  • Article
    • Abstract
    • PERSPECTIVES
    • DECADES OF RISING ASSET VALUATIONS AND FALLING ASSET YIELDS
    • INVESTOR RESPONSES TO THE LOW EXPECTED RETURN CHALLENGE: REACH FOR RETURN, ESPECIALLY THROUGH PRIVATE ASSETS
    • WHAT CHANGED IN 2022? KEY MACRO DEVELOPMENTS AND A REVISED OUTLOOK ON EXPECTED ASSET RETURNS7
    • RELATIVE WINDS CHANGE FOR LONG–SHORT STRATEGIES
    • UNDERSTANDING THE ROLLERCOASTER RIDE OF THE VALUE-VS.-GROWTH STRATEGY
    • RISK-MITIGATORS FOR EQUITY DRAWDOWNS: TREND IS YOUR FRIEND
    • ACKNOWLEDGMENTS
    • ENDNOTES
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