Antti Ilmanen - Understanding Return Expectations (S7E21)

Corey Hoffstein welcomes Antti Ilmanen to discuss his latest paper series on expected returns. They explore objective vs. subjective expected returns, analysts' overoptimism, macro surprises, valuation changes, and market rationality, focusing on CAPE's role in investment analysis. They examine growth extrapolation, capital market assumptions, and the efficient market hypothesis, comparing equity and bond market expectations. Other topics include mean reversion in rate expectations, US exceptionalism, and AI's impact on asset yields. Antti shares insights on AQR's approach and the risks of relying on published data, concluding with future topics and personal interests.

Speakers

AI Chat

Corey Hoffstein

Host • 24%

Antti Ilmanen

Guest • 76%

Unidentified

Chapters

0:00	Introduction and Disclaimer
0:53	Welcoming Antti Ilmanen
3:00	Antti Ilmanen's Motivation for Latest Paper Series
5:09	Objective vs. Subjective Expected Returns
10:23	Analysts' Overoptimism and Market Behavior
15:19	Macro Surprises, Valuation Changes, and Market Rationality
20:25	CAPE in Investment Analysis and Addressing Its Critiques
29:13	Growth Extrapolation's Impact on Equity Returns
33:59	Capital Market Assumptions and Efficient Market Hypothesis
38:32	Expectations in Equity vs. Bond Markets
42:03	Mean Reversion in Rate Expectations and US Exceptionalism Debate
49:22	Asset Yields, Repricing, and AI Impact
54:11	Historical Data's Relevance for Future Expectations
57:02	Practical Implementation of Capital Market Assumptions
59:30	AQR's Approach to Capital Market Assumptions and Risks of Published Data
1:04:01	Future Topics in the Series and Revisiting Stock-Bond Correlation
1:12:12	Antti's Current Obsession Outside of Work
1:13:27	Closing Remarks

Transcript

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