Antti Ilmanen
Principal and Global Co-Head of the Portfolio Solutions Group, AQR Capital Management; previously Brevan Howard and Salomon Brothers/Citigroup
Expected Returns is the standard practitioner survey of risk premia across asset classes and styles, and it sits on top of three decades of institutional bond and multi-asset work.
3 books of their own · 8 articles
Books they wrote 3
Letters
www.aqr.com/Insights/Research/White-Papers
Ilmanen writes AQR research, not letters, and AQR publishes no client letters. His AQR leadership page, aqr.com/Our-Firm/Leadership/Antti-Ilmanen, links his two books (Expected Returns, 2011, at aqr.com/Insights/Expected-Returns, and Investing Amid Low Expected Returns, 2022, at aqr.com/Insights/Investing-Amid-Low-Expected-Returns). His AQR papers sit under aqr.com/Insights/Research (white papers, Alternative Thinking, journal articles) and in his 'Understanding Return Expectations' series, launched in April 2025.
Research papers 4
- How Do Factor Premia Vary Over Time? A Century of EvidenceJournal of Investment Management, 2021
- Investing with StyleJournal of Investment Management, 2015
- Do Financial Markets Reward Buying or Selling Insurance and Lottery Tickets?Financial Analysts Journal, 2012
- The Death of Diversification Has Been Greatly ExaggeratedThe Journal of Portfolio Management, 2012
Articles and essays 4
- How Do Investors Form Long-Run Return Expectations?AQR white paper (Understanding Return Expectations, Part 1), 2025
- How Did We Get Here? A Brief History of Expected Returns FormationAQR white paper (Understanding Return Expectations, Part 4), 2025
- Equity Market Focus: Objective Expected ReturnsAQR white paper (Understanding Return Expectations, Part 6), 2025
- Expected Returns on Major Asset ClassesCFA Institute Research Foundation, 2012