There is enough knowledge content in this book to get the highest grade twice. Im not surprised that Norges Bank Investment Management uses him as an advisor. With this book we can all get that This is a magnificent book. With this book we can all get that advice for a more modest fee than NBIM probably pays.
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The traditional paradigm for assessing expected returns has focussed on historical performance and asset class management. However, Antti Ilmanen contends that this approach to investment decision-making is too narrow in its asset class focus and in the inputs used for assessing expected returns. He challenges investors to broaden their perspectives in two ways: Excess returns should be harvested from diverse sources.
Strategy styles and risk factors, as well as asset classes, are sources of return, thus warranting three-dimensional analysis of investments. Beginning with comprehensive introduction and overview, Expected Returns goes on to analyze the historical record, give a roadmap of terminology, explore rational and behavioral theories, and look at alternative interpretations for return predictability.
A series of case studies provide detailed analysis of assets equity, bond and credit risk premia, as well as alternative asset classes , dynamic strategy styles value, carry, momentum, volatility and underlying risk factors growth, inflation, liquidity and tail risks , before moving back to broader themes, including time-varying expected returns, and seasonal, cyclical and secular return patterns.
Concluding with a series of investment lessons, Expected Returns is the complete guide for the long-term investor, providing wide-ranging empirical evidence, and a platform for forecasting the expected returns of an investment portfolio for asset allocation and portfolio balancing purposes "Job one for any investor is to estimate asset class returns. For the first time, Antti Ilmanen has assembled into one volume all of the tools necessary for this task: for the working money manager, a unique treasure trove of analytical techniques and empirical evidence; for the academic, a comprehensive guide to the relevant academic literature; and for the consultant, a blinding light with which to illuminate performance.
Expected Returns is destined to occupy the front shelves of investment professionals around the world. Amazing, but true, this is the first book dedicated to the critical and challenging task of estimating how much we should expect to earn on our investments.
This illuminating book, teaming with valuable insights that have never before been gathered under one roof, cannot fail to make the reader a more successful and discerning investor. Antti Ilmanen assembles a global body of evidence, and interprets it with insight. Read this book and you will improve your understanding of the future. This book is extremely thorough and well researched, yet direct and to the point. Ibbotson, Professor in the Practice of Finance, Yale School of Management, and Chairman and CIO of Zebra Capital Management show more Back cover copy Expected Returns is a one-stop reference that gives investors a comprehensive toolkit for harvesting market rewards from a wide range of investments.
Written by an experienced portfolio manager, scholar, strategist, investment advisor and hedge fund trader, this book challenges investors to broaden their minds from a too-narrow asset class perspective and excessive focus on historical performance. Coverage includes major asset classes stocks, bonds, alternatives , investment strategies value, carry, momentum, volatility and the effects of underlying risk factors growth, inflation, illiquidity, tail risks.
Judging expected returns requires balancing historical returns with both theoretical considerations and current market conditions. Expected Returns summarizes the state of knowledge on all of these topics, providing extensive empirical evidence, surveys of risk-based and behavioral theories, and practical insights. Siegel, Former Director of Research, The Ford Foundation "Antti Ilmanen shows the way forward for the investment management profession in this remarkable book.
In a comprehensive and impressive way, he combines financial theory, historical performance data and forward-looking indicators, into a consistent framework for assessing expected returns and risk. His approach is both scientific and practical, based on decades of studies and his own trading experience. Filled with many, many fresh and useful insights. This volume deserves to be read and then kept close at hand - because it is sure to be needed again and again.
Abbreviations and acronyms. A World wealth. B Data sources and data series construction.
Expected Returns: An Investor's Guide to Harvesting Market Rewards
For any investor, understanding the expected rewards that markets offer is central to long—term investment success. The traditional paradigm for assessing expected returns has fo The traditional paradigm for assessing expected returns has focussed on historical performance and asset class management. However, Antti Ilmanen contends that this approach to investment decision—making is too narrow in its asset class focus and in the inputs used for assessing expected returns. He challenges investors to broaden their perspectives in two ways: Excess returns should be harvested from diverse sources. Strategy styles and risk factors, as well as asset classes, are sources of return, thus warranting three—dimensional analysis of investments. Beginning with comprehensive introduction and overview, Expected Returns goes on to analyze the historical record, give a roadmap of terminology, explore rational and behavioral theories, and look at alternative interpretations for return predictability.
Expected Returns : An Investor's Guide to Harvesting Market Rewards
Low expected returns are going to anchor bad news for all of us for the rest of our working lifetimes, he said. And maybe beyond. And he was scathing about other asset classes, such as private equity and real estate. All long-only investments are expensive, and a rearview mirror approach extrapolating gains for the next 20 to 30 years is not going to work well. During his presentation, Ilmanen outlined three distinct potential scenarios for the future: Slow Pain: In this scenario, low yields persist for years, and there are no more windfalls from declining rates.
Count on Low Expected Returns, Says Antti Ilmanen