Longer studies, models, and data-driven pieces.

Market Timing as Market Exposure

A decomposition of the Sharpe Ratio of Return Forecasts

Old World vs New World in Expected Returns

From discounted cash flows and CAPM to stochastic discount factors, multidimensional bad times, and factor models.

Besides Historical Returns

Beyond historical returns: a multidimensional framework for expected returns across asset classes, strategy styles, and risk factors. Based on Anti Ilmanen