Can the art and science of investment management be reduced to a set of patterns that markets generally follow, in apparent violation of the. Buy Expected Returns: An Investor’s Guide to Harvesting Market Rewards (The Wiley Finance Series) by Antti Ilmanen, Clifford Asness (ISBN: ) . β€œIt is not only a low interest rate world, it is also a low expected return world on any long-only investment,” said Ilmanen, who is a principal and.

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Goodreads is the world’s largest site for readers with over 50 million reviews. The single best investment book I know.

An absolute required reading for anybody in the quant finance space or those teaching themselves trading strategies and learning what risk premia is and how to capture it.

The question of hedging Sat, 1 Dec On the Record: This comprehensive reference delivers a toolkit for harvesting market rewards from a wide range of investments.

Expected Returns: An Investor’s Guide to Harvesting Market Rewards by Antti Ilmanen

Tam Man Ki rated it it was amazing Apr 13, Any investment’s return prospects should be judged in expecred waythat incorporates all knowledge, including historical experience, financial and behavioral theories, and current market conditions, without being overly dependent on any one of these.

Alex Burns rated it really liked it Nov sntti, Amazing, but true, this is the first book dedicated to the critical andchallenging task of estimating how much we should expect to earn onour investments. Robert rated it really liked it Jun 21, Other books in this series. Another reason that this book is clearly overrated 4. His approach isboth scientific and practical, based on decades of studies and hisown trading experience.


Since starting as a central bank portfolio manager in Finland inAntti has worn many hats to bridge academic finance and practitioner investing. Craig rated it it was amazing Mar 13, This book is extremely thorough and wellresearched, yet direct and to the point.

Expected Returns provides exlected empirical evidence, surveys of risk-based and behavioral theories, and practical insights. John rated it it was amazing Dec 02, Anyone who performs the rigorous analysis Ilmanendescribes – admittedly a neat trick, since the world’s mostsophisticated investors struggle to do it successfully – will beatthe market.

Over the years, Antti has advised many institutional investors, most regularly Norway’s Government Pension Fund Global on its long-run investment strategy. Mon, 2 Jul Quantitative Value Wesley R.

Part II identifies 12 main sources of return in three groups. Expected Returns isdestined to occupy the front shelves of investment professionalsaround the world. They are firstly the time varying nature of expected returns, i.

Book Review: Compendium of lessons for investors | Magazine | IPE

This really is THE book for anybody trying to create or understand alternative beta or hedge fund strategies. Preview β€” Expected Returns by Antti Ilmanen. Shifting borders Thu, 1 Nov Asset Expectdd Let me tell one thing, the expected long term return is 0, and that’s it, no big science and useless analyses.

Deepay rated it it was amazing Returnss 27, If you want to make life better, you need to pay your time and efforts or hire a lot of “legal slaves” that would do your own better living “successful” businesses even started wars on trying to defy the slaverythen those slaves will rise and will do yourself.

V rated it it was amazing Feb 09, Compendium of lessons for investors. Historical averages and forward-looking returns. No short summary could do justice to the amount of concepts geturns ideas presented in the book.


Dry reading, more textbook, less literature Still quite conceptual, lacks modern case studies Ugly: The bulk of the text consists of chapters that present three different ways to analyse expected returns. Expected returns of major asset classes, investment strategies, and the effects of underlying risk factors such as growth, inflation, liquidit This comprehensive reference delivers a toolkit for harvesting market rewards from a wide range of investments.

Irrationality comes in as explanation of last resort. Request permission to reuse content from this site. This book presents all possible extensions, revisions and upheavals of the classic paradigm of modern finance, the paradise lost. Applying economics models to edpected politics is like trying to use a trowel to saw a piece of wood in half. Strategy styles and risk factors, as well as asset classes, aresources of return, thus warranting three-dimensional analysis ofinvestments.

A series of case studies provide detailed analysisof assets equity, bond and credit risk premia, as well asalternative asset classesdynamic strategy styles value, carry, momentum, volatility and underlying risk factors growth, inflation, liquidity and tail risksbefore moving back to broaderthemes, including time-varying expected returns, and seasonal, cyclical and secular return patterns. Ilmanen’s approach could look eclectic but he does not hide his preferences, especially for value versus growthyield, risk factor ilmannen versus traditional asset class allocation”prudent leverage”, and “view-based” active management, conscious of costs.