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

An Investor's Guide to Harvesting Market Rewards

Expected Returns "An Investor's Guide to Harvesting Market Rewards". An Investor's Guide to Harvesting Market Rewards

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  • ISBN:9781119990727
  • Editorial: Wiley & Sons Ltd.
  • Fecha de la edición:
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  • Dimensiones: 0 cm x 0 cm
  • Nº Pág.:594
  • Idiomas:Español

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With a foreword by Clifford Asness, this book is a one stop guide to measuring the expected returns of a range of investments to enable long term investors to better manage and balance their portfolio. 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.

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