| |||||||||||||||
 Trade In this Item for up to £12.25
Trade in Expected Returns: An Investor's Guide to Harvesting Market Rewards (The Wiley Finance Series) for an Amazon.co.uk gift card of up to £12.25, which you can then spend on millions of items across the site. Plus, get an extra £5 when you trade in books worth £10 or more until June 30, 2012. Trade-in values may vary (terms apply). Find more products eligible for trade-in.
|
Frequently Bought Together
Product details
|
More About the Author
Product Description
Review
Product Description
"This is the best book on active management ever written – and it achieves that status without mentioning a single stock or bond by name. Anyone who performs the rigorous analysis Ilmanen describes – admittedly a neat trick, since the world′s most sophisticated investors struggle to do it successfully – will beat the market."
Laurence B. 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. With a touch of personal wisdom and humility, Ilmanen′s book is a fascinating and educational journey into the future of investment management."
Knut N. Kjaer, Founding CEO of the Norwegian Government Pension Fund/NBIM and former president of RiskMetrics Group
"Ilmanen′s wonderful book manages to be exquisitely readable while covering just about every aspect of the investment process. 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."
Martin L. Leibowitz, Managing Director, Morgan Stanley, and former CIO, TIAA–CREF
"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."
William J. Bernstein, author of The Intelligent Asset Allocator, The Birth of Plenty, and A Splendid Exchange, and co–principal of Efficient Frontier Advisors
"Antti′s synthesis of experience and theory has given us a book which fills a major gap in the literature on investing. 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."
Victor Haghani, Associate Lecturer, London School of Economics, and former founding partner of LTCM
"Ilmanen has written a thorough and detailed analysis of one of the central issues in investing."
Ken French, Heidt Professor of Finance, Dartmouth College
"Investors′ decisions should be evidence based. 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."
Elroy Dimson, Emeritus Professor of Finance, London Business School
"If I could choose only one book on active management, I would choose Expected Returns. This book is extremely thorough and well researched, yet direct and to the point."
Roger G. Ibbotson, Professor in the Practice of Finance, Yale School of Management, and Chairman and CIO of Zebra Capital Management
Suggested Tags from Similar Products(What's this?)Be the first one to add a relevant tag (keyword that's strongly related to this product)
|
What Other Items Do Customers Buy After Viewing This Item?
Customer Reviews
There are many strengths; firstly the book is bang up to date with the latest literature, including commentary on the 2007/ 08 credit crunch. Secondly it covers all asset classes ranging from stock, bonds through to alternatives. Thirdly it is as international as the literature enables, there is still a massive bias to the US but this is inevitable given that this is where almost all the research is carried out. Finally the author has an unwavering grasp of the subject and is an authority in this area.
It must be emphasised however that the book is really a textbook in nature and is heavy going from page 1. Expect to have to read it several times and keep referring back to it. It is not a light read and does presume some prior knowledge. If you do not have a degree from business school you may be better off starting on an easier book because you are unlikely to understand more than half of the content.
Overall it is an impressive feat of scholarship and a massive contribution to this area of study.
In this book, the author takes academic research on investment returns, and tries to make it practical. What are the main findings of the book?
Momentum works.
Value works.
Illiquid assets can work very well if you have a balance sheet that can hold them.
Carry strategies work most of the time, but when they fail, they fail big. Same for strategies that sell volatility.
The book does a very good job in establishing that the excess returns of stocks over bonds are a lot lower than most believe. It also supports the idea that moderate risk taking is the superior strategy. Those that take high risks lose too often. Those who take no risk don't make anything significant. Moderate risk-taking is the sweet spot.
One of the strengths of the book is that it considers almost all assets, and analyzes how many factors affect those asset classes. The book is comprehensive; it covers everything, even if it is only an inch deep in spots.
I liked this book a lot, but it's not for everyone. You won't find a lot of difficult math here, but you will find a lot of numbers.
Quibbles
I don't agree with the idea of levering up low risk assets. Yes, if you are the only one doing it, fine, be a non-regulated pseudo-bank. The trouble comes when many do it. Eventually a liquidity crisis hits, and those levering up low risk assets get hosed.
The same is true of university endowments. Too many thought it was easy money to invest in illiquid assets, and when the liquidity panic came in 2008-2009, they were forced to borrow, and/or sell illiquid assets at an inopportune time.
The book does cover everything, but it doesn't cover everything deeply. I think it is a valuable book to most who do asset allocation, but the author knows his limits, and does not claim to be expert in a number of areas.
Who would benefit from this book: Fundamental investors who want to understand the factors behind return generation can benefit from this book.
I say all this as someone who does equities/credit/EM for a living and thus isn't a career systematic macro trader. For people like me this book is invaluable because it allows a more nuanced view of risk factors and sources of returns in an alpha oriented book that can easily become quite concentrated in ways that are not obvious at first. There is so much more to delve into with regards to integrating this into my work but suffice to say it is a small price to pay to learn some of the nuts and bolts of what allows Brevan Howard to manage risk so well.
Listmania!
|
|
Look for similar items by category
Look for similar items by subject
Feedback
- Would you like to update product info or give feedback on images?
- I am the Author, and I want to comment on my book.
- I am the Publisher, and I want to comment on this book.
|
