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

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.

Contents:

• Whetting the appetite: Historical averages and forward-looking returns
• The historical record: The past 20 years in a longer perspective
• Road map to terminology
• Rational theories on expected return determination
• Behavioral finance
• Alternative interpretations for return predictability
• Equity risk premium
• Bond risk premium
• Credit risk premium
• Alternative asset premia
• Value-oriented equity selection
• Currency carry
• Commodity momentum and trend following
• Volatility selling (on equity indices)
• Growth factor and growth premium
• Inflation factor and inflation premium
• Liquidity factor and illiquidity premium
• Tail risks (volatility, correlation, skewness)
• Endogenous return and risk: Feedback effects on expected returns
• Forward-looking measures of asset returns
• Interpreting carry or non-zero yield spreads
• Survey-based subjective expected returns
• Tactical return forecasting models
• Seasonal regularities
• Cyclical variation in asset returns
• Secular trends and the next 20 years
• Enhancing returns through managing risks, horizon, skill, and costs
• Takeaways for long-horizon investors

Expected Returns: An Investor's Guide to Harvesting Market Rewards By Antti Ilmanen pdf