Antti Ilmanen - Understanding Return Expectations (S7E21)

Flirting with Models

In this episode, I speak with Antti Ilmanen, Principal and Global Co-head of the Portfolio Solutions Group at AQR Capital Management.

Antti has long been one of the most thoughtful voices in the world of expected returns, having written not one, but two landmark books on the subject. But in his latest paper series, he returns to the topic with fresh urgency—probing the difference between objective and subjective expectations, and asking why even rational models can go so wrong in real time.

We explore everything from CAPE ratios and market timing accusations, to why equity investors tend to extrapolate while bond investors expect mean reversion. We dig into how behavioral biases, valuation anchors, and structural shifts collide when forming capital market assumptions—and how Antti and the AQR team try to navigate that mess themselves.

If you’re in the business of long-term forecasting or just curious why markets often act like they’ve never read the textbooks, this is a conversation you won’t want to miss.

Please enjoy my conversation with Antti Ilmanen.