Otis loves when I read Investing Amid Low Expected Returns by Antti Ilmanen to him.

It might be the single best investment book I’ve ever read.

It’s comprehensive, rigorous, and - in true AQR fashion - driven entirely by data, not narratives.

And even if P/E and CAPE ratios weren’t where they are today, this book should still be required reading.

Because it lays out the fundamental building blocks of every portfolio, regardless of the market environment.

Here are a few of the big ideas Ilmanen emphasizes:

1️⃣ Expected returns are lower across the board.

High returns of the past aren’t the baseline going forward.

2️⃣ Diversification matters more when returns are low.

You need more independent sources of return, not more of the same thing labeled differently.

3️⃣ Style premia still work.

Value, momentum, carry, defensive - boring, systematic, and historically reliable.

4️⃣ Trend following is real diversification.

One of the few strategies that holds up in inflation, crises, and regime shifts.

5️⃣ Implementation matters. A lot.

When expected returns are 3–5%, every % of fees, taxes, and slippage hurts exponentially more.

6️⃣ Illiquidity can be your friend - if you’re patient.

Private markets still offer premia… but only if you access them intelligently.

The overarching theme is this:

👉 You’ll need humility, discipline, and true diversification to win in a world of structurally lower returns.

Not stock picking.

Not market timing.

Not the latest narrative.

Actual, robust, evidence-based investing.

(And Otis agrees.)