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Expected Returns : An Investor's Guide to Harvesting Market Rewards

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Expected Returns : An Investor's Guide to Harvesting Market Rewards by Ilmanen, Antti, 9781119990727
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  • ISBN: 9781119990727 | 1119990726
  • Cover: Hardcover
  • Copyright: 3/14/2011
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This is a one stop reference for measuring the expected returns of long term investments. Written by a practitioner with years of hands-on experience in the industry, it is a comprehensive toolkit which enables practitioners to forecast the returns of a range of investments under different parameters. Coverage includes expected returns of major asset classes (stocks, bonds, alternatives...), investment strategies (value, carry, momentum...) and the effects of underlying factors such as growth, inflation, liquidity and different risk perspectives. The book also looks at rational and irrational perspectives on asset returns, comparing traditional theories such as efficient markets with irrational or behavioral perspectives, and provides real life case studies to illustrate how returns have been miscalculated to the detriment of the investor. In all, this book will be a bible to the long-term investor, providing a range of expected return scenarios, and providing a platform for forecasting the expected returns of an investment portfolio for asset allocation and portfolio balancing purposes.Part I - Getting StartedIntroduction/Overview Appetizer: Interesting Historical Returns and Their Pitfalls Road Map to Definitions/Terminology Rational Theories on Expected Return Determination Behavioural Explanations for Expected Returns Equity Risk Premium Bond Risk Premium Credit Risk Premium Alternative Asset PremiaPart II Case StudiesEquity Risk Premium Bond Risk Premium Credit Risk Premium Alternative Asset Premia Value (Equity Long-Short) Carry (Currency) Momentum and Trend (Commodities) Volatility Selling (Equity Index) Growth Inflation Liquidity Higher Moments (volatility, correlation, skew)Part 3 - More on Time-varying Expected Returns and Managing Them Alternative Interpretations for Return Predictability Endogenous Return and Risk - overlaying feedback effects on all return sources Forward-looking Measures of Asset Returns (value and carry) Interpreting Carry (non-zero yield spreads) Survey-based Subjective Return Expectations Tactical Return Forecasting Models Enhancing Expected Returns Through Managing Risks, Horizon, Skill, and Costs Seasonal Regularities Cyclical Variation in Asset Returns The Historical Record - Past 20 Years Within a Longer Perspective Secular Trends, Recent Crisis, and the Next 20 Years Takeaways for Long-Horizon Investors

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