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Expected Returns: An Investor's Guide to Harvesting Market Rewards (The Wiley Finance Series) Hardcover – 4 Feb 2011


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Product details

  • Hardcover: 592 pages
  • Publisher: John Wiley & Sons; 1 edition (4 Feb 2011)
  • Language: English
  • ISBN-10: 1119990726
  • ISBN-13: 978-1119990727
  • Product Dimensions: 17.8 x 3.9 x 25.2 cm
  • Average Customer Review: 4.6 out of 5 stars  See all reviews (5 customer reviews)
  • Amazon Bestsellers Rank: 199,386 in Books (See Top 100 in Books)
  • See Complete Table of Contents

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Product Description

Review

‘…insightful and wonderfully lucid book’.  (Economist, April 2011).

From the Inside Flap

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 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. Any investment′s return prospects should be judged in a way that incorporates all knowledge, including historical experience, financial and behavioral theories, and current market conditions, without being overly dependent on any one of these. 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." 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  

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10 of 11 people found the following review helpful By Amazon Customer on 3 April 2011
Format: Hardcover
I always try to take one message from a book but this book is just pack-filled with useful guidance and tips. Firstly, what this book is not... the book is not a recipe book of trading algorithms. Nor does it cover sources of expected returns that are fast in nature - high frequency or day trading is essentially absent. It is also very brief on portfolio construction (though chapter 28 is a good motivational chapter). So why do I like it? Because it is a must-read for the serious long term investor and asset manager. It takes a bird's eye view of "Investment" and surveys the landscapes in a rigorous way. It covers a broad set of assets, indicators and risk factors that investors have traditionally been rewarded for holding (assets), trading (indicators) and taking (risks). Through a consistent yet humble approach of analysing each, a picture emerges - where should an investor start to look if s/he is willing to take the long view? The book explains the pitfalls associated with each source of returns - different risks suit different investors. There may (and there are) other sources of alpha but taken as a guide, this book will get you to 80% of what is out there, while creating a framework for you to understand any new investment strategies you come across.
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4 of 4 people found the following review helpful By Book fan on 2 Jun 2011
Format: Hardcover Verified Purchase
It would be fair to say that this book contains all that is presently known about expected returns. Expected returns represent the central question for any investor, making this book a cornerstone for practitioner and academic alike.

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.
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Format: Kindle Edition
This is an excellent read on a number of different asset allocation and intra asset class issues. A wealth of data, well analysed with good conclusions. A must for anyone serious about professional investment.
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0 of 1 people found the following review helpful By Jason Broomer on 15 Nov 2013
Format: Kindle Edition Verified Purchase
Ilmanen promises much in the introduction and to large extent he delivers. The work will prove to be a worthwhile reference book for any multi-asset professional investor and possibly beyond. The book provides a valuable collection of long term historic return data across numerous asset and sub-asset classes. Ilmanen's provides insight to interpreting these as well as assessing the robustness and reliability of the data. He continually highlights the value of assets which have low or negative correlations but stresses that the value of these assets depend upon the correlations remaining robust during times of market distress. Tucked away within the book are some key answers to some burning issues, for example Ilmanen considers the appropriate asset class for periods of climbing inflation - this alone should justify buying the book.

However, the work is not without its faults. Ilmanen introduces some ponderous 'visual aids' (the cube & elephant). Neither is visually appealing nor helpful to the reader. Dropping them would improve the clarity of the book.
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0 of 1 people found the following review helpful By J. Li on 26 Sep 2012
Format: Kindle Edition Verified Purchase
This book may be one of the first which surveyed long-term expected returns over the asset classes: equity, fixed-income, commodities, real estate, alternative, and different trading styles. The author is highly erudite with facts and data. However the language tends to be a bit research-oriented, which doesn't bother reading at all.
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