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Expected Returns: An Investor's Guide to Harvesting Market Rewards 1st Edition

by Antti Ilmanen (Author), Clifford Asness (Foreword)

4.6 120 ratings

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This comprehensive reference delivers a toolkit for harvesting market rewards from a wide range of investments. Written by a world-renowned industry expert, the reference discusses how to forecast returns under different parameters. Expected returns of major asset classes, investment strategies, and the effects of underlying risk factors such as growth, inflation, liquidity, and different risk perspectives, are also explained. Judging expected returns requires balancing historical returns with both theoretical considerations and current market conditions. Expected Returns provides extensive empirical evidence, surveys of risk-based and behavioral theories, and practical insights.

ISBN-10

1119990726
ISBN-13

978-1119990727
Edition

1st
Publisher

John Wiley & Sons
Publication date

March 14, 2011
Language

English
Dimensions

7 x 1.5 x 9.7 inches
Print length

608 pages
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Editorial Reviews

Review

"Every investor will find something of value in this book" (Professional Investor, October 2015)

From the Inside Flap

Expected Returns is a one-stop reference that gives investors a comprehensive toolkit for harvesting market rewards from a wide range of investments. Written by an experienced portfolio manager, scholar, strategist, investment advisor and hedge fund trader, this book challenges investors to broaden their minds from a too-narrow asset class perspective and excessive focus on historical performance. Coverage includes major asset classes (stocks, bonds, alternatives), investment strategies (value, carry, momentum, volatility) and the effects of underlying risk factors (growth, inflation, illiquidity, tail risks). Judging expected returns requires balancing historical returns with both theoretical considerations and current market conditions. Expected Returns summarizes the state of knowledge on all of these topics, providing extensive empirical evidence, surveys of risk-based and behavioral theories, and practical insights.

"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

From the Back Cover

Expected Returns is a one-stop reference that gives investors a comprehensive toolkit for harvesting market rewards from a wide range of investments. Written by an experienced portfolio manager, scholar, strategist, investment advisor and hedge fund trader, this book challenges investors to broaden their minds from a too-narrow asset class perspective and excessive focus on historical performance. Coverage includes major asset classes (stocks, bonds, alternatives), investment strategies (value, carry, momentum, volatility) and the effects of underlying risk factors (growth, inflation, illiquidity, tail risks). Judging expected returns requires balancing historical returns with both theoretical considerations and current market conditions. Expected Returns summarizes the state of knowledge on all of these topics, providing extensive empirical evidence, surveys of risk-based and behavioral theories, and practical insights.

"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

About the Author

Antti Ilmanen is a Principal at AQR Capital Management, a leading global investment-management firm. Since starting as a central bank portfolio manager in Finland in 1986, Antti has worn many hats to bridge academic finance and practitioner investing. Having earned a finance PhD in 1994 from the University of Chicago Graduate School of Business, he spent a decade at Salomon Brothers/Citigroup as a bond researcher, strategist, managing director and a trader. Before joining Brevan Howard in 2004, Antti had published extensively in finance and investment journals and had received a Graham & Dodd scroll and the Bernstein Fabozzi/Jacobs Levy award for his articles. Over the years, Antti has advised many institutional investors, most regularly Norway's Government Pension Fund Global on its long-run investment strategy.

Product details

Publisher ‏ : ‎ John Wiley & Sons; 1st edition (March 14, 2011)
Language ‏ : ‎ English
Hardcover ‏ : ‎ 608 pages
ISBN-10 ‏ : ‎ 1119990726
ISBN-13 ‏ : ‎ 978-1119990727
Item Weight ‏ : ‎ 2.55 pounds
Dimensions ‏ : ‎ 7 x 1.5 x 9.7 inches

Best Sellers Rank: #453,222 in Books (See Top 100 in Books)
- #158 in Business Finance
- #187 in Business Investments
- #532 in Investment Analysis & Strategy

Customer Reviews:
4.6 120 ratings

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Antti Ilmanen

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Antti Ilmanen is a Principal at AQR Capital Management and the author of "Expected Returns" (Wiley, 2011) as well as its monograph, "Expected Returns on Major Asset Classes." Antti’s second book "Investing Amid Low Expected Returns" will be available in Spring 2022.

A renowned expert on financial investments, Antti has three decades of experience in the investment industry, where he has skillfully served as a bridge between practitioners and financial academic research. At AQR, Antti co-heads the Portfolio Solutions Group, the team responsible for advising institutional investors and developing the firm's broad investment ideas. Prior to joining AQR in 2011, Antti spent seven years as a senior portfolio manager at Brevan Howard and a decade in a variety of roles at Salomon Brothers/Citigroup. He began his career as a central bank portfolio manager in Finland. Over the years, he has advised many institutional investors, including Norway’s Government Pension Fund Global and the Government of Singapore Investment Corporation. Antti has published extensively in finance and investment journals and has received a Graham and Dodd award, the Harry M. Markowitz special distinction award, and multiple Bernstein Fabozzi/Jacobs Levy awards for his articles. He also received the CFA Institute's 2017 Leadership in Global Investment Award.

Antti earned M.Sc. degrees in economics and law from the University of Helsinki and a Ph.D. in finance from the University of Chicago.

Customer reviews

4.6 out of 5

120 global ratings

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Unexpected Insights from a highly respected Expert !

Reviewed in the United States 🇺🇸 on April 16, 2011

Verified Purchase

The author Antti Ilmanen has completed a truly monumental task - compiling his knowledge about return expectations from years as a highly respected investment strategist on Wall Street with his expert knowledge of academic finance research. After starting at the Finnish Central Bank as a fixed income fund mamanger and asset allocation professional, he fulfilled his desire to pursue finance research full time with a PhD in Finance at the University Chicago's GSB. Having published his PhD thesis in the Journal of Finance, he joined Salomon Brothers as a global fixed income strategist at first in New York and subsequently in both London & Frankfurt. He is currently at a well-known major hedge fund in London. Despite his passion for the Chicago brand of finance, he has never lost sight of his conviction that asset returns vary through time, not the least because expected returns are changing when passing through the stages of business cycles - which makes them partially predictable. Therefore, rather than engaging in a windmill fight about efficient markets, he has strived to understand what economic forces are driving these changes, and with what kind of strategies that knowledge can be utilized to manage money. His brand new book is the result of that long and very succesful pursuit. The foreword by AQR's Cliff Asness will give you also some humorous aspects of Antti's passion to improve his and our knowledge as I could never convey it. And I agree with Cliff that it is your loss, if you don't take the time to read this book, especially if you are interested in a broad spectrum of asset classes to invest in: the author goes beyond global bonds and equities to include commodities, private equity, hedge funds and real estate. The book is now available in the US, and I am recommending it highly!

38 people found this helpful

How did one person write this book?

Reviewed in the United States 🇺🇸 on October 17, 2012

Verified Purchase

This book is a phenomenal tour-de-force of academic research into the financial markets over the last several decades. It provides a highly readable, well researched, concise survey of the field. Beyond this, the author gives credence to academia by providing his own independent analysis to verify the existence of risk premia along the way. His methodology, data sources, and citations are heavily documented in the back of the book so you are free to reproduce his results yourself. Beyond this, he provides a few chapters that tie together the various conclusions made through the text in a way that is actionable for investors. Thankfully he is not *too* specific, so I am cautiously optimistic that the elbow grease necessary to "harvest" these alternative sources of beta will be a sufficient barrier so as to keep them from being burned into the market's memory for the time being.

That said, another book recently published, "Jackass Investing", provides a more down-to-earth analysis of the risk premia laid out in Expected Returns, and also includes more specifics on how to harvest these premia. For those who have a hard time parsing this book and it's copious amount of analysis, and just want to "cut to the chase", Jackass Investing might be a suitable alternative if you are willing to make a few leaps of faith on the author's conclusions.

29 people found this helpful

Phenomenal Tour De Force

Reviewed in the United States 🇺🇸 on May 2, 2011

Verified Purchase

There really isn't anything like this book around which is why it is so remarkable. Ilmanen starts with a review yet very practicioner oriented review of credit risk, bond risk, and equity risk premia before delving into detailed yet readable analyses of return strategies, why they work, how their success is dependent upon states of the world (ie, carry trading has a great sharpe but doesn't help you in a leverage unwind when your equity book is blowing up to) and how blending these strategies and approaches can materially improve returns and more importantly, reduce risk. It is this overlay of styles, asset classes and risk factors creating a multidimensional approach to sources of returns and risk that makes it truly unique.

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.

21 people found this helpful

Historic , written in 2011 but as it was written in 1960s - no real time criteria/ratios

Reviewed in the United States 🇺🇸 on January 10, 2021

Verified Purchase

Book, in my opinion, has some information value because it lists a lot of historic academic references. On the other hand it doesn't show influence of recent news and events on stock price. Expected return is a dynamical variable like BA stock showed. COVD in February/March general opinion accumulation and influence on the market is an example where accumulation events must be taken into consideration when thresholds are computed in real time.

One person found this helpful

Incredible Book

Reviewed in the United States 🇺🇸 on May 21, 2011

Verified Purchase

This is by far the best book on investing that I've ever read. I would also say it is the best finance book I've ever read. It may sound insane, but I think that I learned as much as I did reading this book as I did taking six finance courses in college. This book is an absolute must read for any active investor and for many finance professionals as well. I have ordered three copies so far and am forcing my friends and coworkers to read it.

10 people found this helpful

A backbone book for anyone interested in the financial markets.

Reviewed in the United States 🇺🇸 on November 18, 2013

Verified Purchase

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. It gives a great overview on pretty much any topic related to the financial markets, as a combination of his own thoughts and the latest research. Even on topics where I consider myself "being an expert", I find it useful to remind oneself of the "basics" concerning that area through Ilmanen's thoughts.

5 people found this helpful

One of the best investment books

Reviewed in the United States 🇺🇸 on December 13, 2016

Verified Purchase

One of the best investment books I've ever read. Probably too much info for beginners but for investors with experience, this book will bring a lot of ideas and concepts together. Even if you are a fundamental investors, this book will help you. Buy and read this book. It's a great investment.

6 people found this helpful

Top reviews from other countries

Translate all reviews to English

Sekhmet

Interesting

Reviewed in Italy 🇮🇹 on July 1, 2023

Verified Purchase

With a lot of data and themes analyzed

Andy Lorin

Overloaded with references not much of an original line

Reviewed in Canada 🇨🇦 on September 10, 2018

Verified Purchase

Expected more from a Chicago graduate and PM. Overloaded with references, at times, it feels like a compilation of well-known research, not much of an original line of thinking.

Gabriel Barros

Extremamente técnico

Reviewed in Brazil 🇧🇷 on July 7, 2018

Verified Purchase

Extremamente técnico. Não consegui ler tudo. Poderia ser um pouco mais objetivo, com as conclusões dos estudos apresentadas de forma mais clara.

One person found this helpful

Translate review to English

dmn

Old fashioned

Reviewed in Singapore 🇸🇬 on May 11, 2022

Verified Purchase

Old fashioned content for academics who would have read all of it before. Not for traders.

Mathieu Gomes

Very insightful

Reviewed in France 🇫🇷 on September 1, 2016

Verified Purchase

Ilmanen has done a phenomenal job documenting the behavior of various asset classes and factors over an extended period of time. This is the only book in my knowledge that focuses on expected returns, which in itself makes the book very valuable. The author keeps mathematical detail to a minimum. I also enjoyed the foreword by Cliff Asness. This is overall a great book to further one's understanding of asset classes and risk premia, which (to my mind) should be read in conjunction with "Asset Management: A Systematic Approach to Factor Investing" by A. Ang.

2 people found this helpful

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