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insightful and wonderfully lucid book . (Economist, April 2011).
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:
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
Boring academic book. I gave up on it, reading others like Intelligent Investor and Market WizardsPublished 2 months ago by Viktor
An excellent tour of modern asset pricing theory and how to actually put it into practice.Published 3 months ago by Rob Viglione
It's an extremely valuable book. It takes a look at very long term investing strategies and shows you what some of the main factors are that influence your returns. Read morePublished 8 months ago by S. Turner
Antti has delivered a one stop shop of any one wanting to understand the expected returns to an amazingly wide range of assets and strategies. Read morePublished 18 months ago by J. C. Montier
Very technical but good information. A hard but valuable intellectual book. Look closely at table of contents before purchasing. Thanks to the authors for all their researchPublished 19 months ago by edr
Ilmanen hits a home run with his book. I have owned it for a year now, and I still find myself going back to it every now and then. Read morePublished 21 months ago by Antti Nikkanen
Impressive book with the empirical horsepower of Ibbotson/Brinson, or Dimson/Marsh/Staunton, coupled with the experienced observation of a practitioner. Read morePublished 23 months ago by Cgg2nd
absolutely a buy! i think that this book offers a really wide and exceptional view and review of every major and minor topic linked to asset classes. Read morePublished on July 29, 2013 by francesco
This is a magnificent book. It's also absolutely massive, 500+ pages totally stuffed with information. Read morePublished on January 12, 2013 by investingbythebooks