Is Winter Coming Again? Low Expected Returns Everywhere

Course Details

Accredited SAQ CWMA recertification training amounting to 1 hour of study.

Topic: Portfolio Management

Subtopic: Risk and Return



Low expected returns are a broad investment challenge which have become even worse in 2020 for bond-oriented portfolios. This challenge which applies to all asset classes (not just bonds), may be particularly hard for Swiss investors, and is often underappreciated because historical returns remained benign in 2010s and expected returns are less visible outside bonds. In this presentation, Antti Ilmanen will quantify the challenge through AQR’s capital market assumptions (highlighting the changes made in 2020) and will investigate some popular solutions among global institutional investors.


Learning Outcomes

Popular solutions for low expected returns such as:

- Bearing more equity-like risk

- Larger allocations to illiquid private assets 

- Factor risk premia investing

- Different methods to protect portfolios against sudden tail events.



This online video can be accessed at any time, up to the calendar year end if purchased in the first half of the year; or up the subsequent calendar year end if purchased in the second half of the year. 

In order to purchase this course CFA Society Switzerland members and guests must set up and login with a CFA Institute Id#.



CHF 100 for non-members.

CHF 60 for members of CFA Society Switzerland.






Dr. Antti Ilmanen

Dr. Antti Ilmanen

Antti manages AQR’s Portfolio Solutions Group, which advises institutional investors and sovereign wealth funds, and develops the firm’s broad investment ideas. Before AQR, Antti spent seven years as a senior portfolio manager at Brevan Howard, a macro hedge fund, and a decade in a variety of roles at Salomon Brothers/Citigroup. He began his career as a central bank portfolio manager in Finland. Antti earned M.Sc. degrees in economics and law from the University of Helsinki and a Ph.D. in finance from the University of Chicago. Over the years, he has advised many institutional investors, including Norway’s Government Pension Fund Global and the Government of Singapore Investment Corporation. Antti has published extensively in finance and investment journals and has received a Graham and Dodd award, the Harry M. Markowitz special distinction award, and multiple Bernstein Fabozzi/Jacobs Levy awards for his articles. His book Expected Returns (Wiley, 2011) is a broad synthesis of the central issues in investing. Antti received the CFA Institute's 2017 Leadership in Global Investment Award.