Dr. Antti Sakari Ilmanen, Ph.D. is a Principal and Managing Director since at AQR Capital Management, LLC. Dr. Ilmanen manages the firm’s portfolio. Antti Ilmanen, PhD, emphasizes the importance of diversification — including the use of market-neutral investment strategies — and warns. Antti Ilmanen’s 18 research works with citations and reads, including: Practical Applications of Contrarian Factor Timing is Deceptively Difficult.

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Preview — Expected Returns by Antti Ilmanen. 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 xntti, inflation, liquidit This comprehensive reference delivers a toolkit illmanen harvesting market rewards from a wide range of investments.

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 anttii theories, and practical insights. Hardcoverpages.

To see what your friends thought of this book, please sign up. To ask other readers questions about Expected Returnsplease sign up. Lists with This Book. Aug 22, InvestingByTheBooks. This is a magnificent book. There is enough knowledge content in this book to get the highest grade twice. With this book we can all get that This is a magnificent book.

With this book we can all get that advice for a more modest fee than NBIM probably pays. The bulk of the text consists of chapters that present three different ways to analyse expected returns.

The chapters cover; 4 asset classes – stocks, credits, government bonds and alternative investments; 4 strategy styles — value, trend, carry and volatility; and 4 underlying risk factors — growth, illiquidity, inflation and tail risks.

The different viewpoints give the reader a quite nuanced view of risk factors and a good understanding of sources of returns.

They are firstly the time varying nature of expected returns, i. The author even tries to present the reader with a systematic method to estimate returns over different asset classes. Secondly, the author often comes back to the notion of tail risk premium meaning that there is over time a payment to be had from owning assets that perform the worst at exactly the wrong time — when the stock market declines.

The ending advice are amongst other to pursue several strategies in parallel to harvest diverse sources of expected returns as long as they are not overvalued, that investors should diversify more than they do and use leverage to leverage up low volatility assets and the low volatility parts within different assets. The book took quite a while to read. The reader will be taken up to speed on practically everything that has happened within academic finance and quantative asset management during the last 30 years.


It would almost be a pity if too many read the book.

Asness jokingly says that he briefly considered having Ilmanen killed instead of writing the foreword but decided that he would instead have to work another 20 years so Illmanen would have something to write about in the next book.

The book glows with a passion to understand the world and the author even includes his email for anyone that wants to comment on the book and take his learning process further.

This is a tough read but those who take the time will be greatly rewarded. Jun 16, Jon rated it liked it. Solid academic study, explanations are comprehensive Provide coverage on various investment methods and principles Bad: Dry reading, more textbook, less literature Still quite conceptual, lacks modern case studies Ugly: Feels very outdated, many concepts covered already feel antiquated.

Jun 23, Tadas Talaikis rated it it was ok. Let me tell one thing, the expected long term return is 0, and that’s it, no big science and useless analyses.

It’s hard to believe, so why? Because there are no free things. If you want to make life better, you need to pay your time and efforts or hire a lot of “legal slaves” that would do your own better living “successful” businesses even started wars on trying to defy the slaverythen those slaves will rise and will do yourself. Just show me anything that survived past years without any payment in some form. Entropy cancels everything and bigger temporary alpha increases entropy levels.

Let’s say sugar had higher expected return. Let me ask – why? Because a lot of idiots eating tons of sugar with drinks consumed a lot of it and became big fat pigs. Cause and a consequence which essentially means that you can earn “returns” only if you create better lies illusions, “new truths” or just steal something in case of sugar or oil, as examples.

If you can back them with your professional “titles” even better. So, let’s be real, America had learned that lesson and media constantly tries to create good trade opportunities squeezing them from “legal slaves”. You’re living in a society of spectacle. After 6 months, some people complain about my “review”. First, everything that’s mentioned here are already dead, don’t you get? CAPM, for example, is from s.

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

As a consequence, second, it’s not practical, and therefore not useful for me, we already have many books on the same subjects.

It seems some people have nothing to do. Because of that I had lowered rating to 2 il,anen as it seems if book hinders some religious thoughts, I can’t iomanen it, we have many religious economists nowadays who just can’t seem to see data and we have many underrated great books with profound insights. Another reason that this book is clearly overrated 4. It’s fine demonstration of people who know nothing, say nothing, but rate it highest.


Would be nice to hear what’s exactly so good about this book. View all 7 comments. Nov 27, Rishi Singh rated it it was amazing. An absolute required reading for anybody in the quant finance space or those teaching themselves trading strategies and learning what risk premia is and how to capture it.

A rigorous anthology of academic research il,anen so many.

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

This really is THE book for anybody trying to create or understand alternative beta or hedge fund strategies. Jan 22, Patrick Houweling rated it really liked it Shelves: A very comprehensive book on expected and realized! Written in a very balanced way, describing various opinions in zntti academic literature, but always expressing and motivating his personal preferences. Jun 07, P rated it it was amazing Shelves: The single best investment book I know. Ilmaanen rated it it was amazing Feb 27, Alex Burns rated it really liked it Nov 02, A rated it it was amazing May 28, Justin rated it liked it Jan 22, Georgeflorence rated it it was amazing Sep 07, Joshua Knechtel rated it liked it Jul 22, Steven Resman rated it it was amazing Feb 25, Tam Man Ki rated it it was amazing Apr 13, Justin Leenhouts rated it liked it Sep 10, Robert rated it ulmanen liked it Jun 21, Marija Kiveryte rated it it was amazing Nov 23, V rated it it was amazing Feb 09, Jordi Costa rated it really liked it Oct 30, Josh Rowe rated it it was amazing Feb 11, Adreno rated it really liked it Oct 12, Limanen rated it it was amazing Mar 13, ChrisGro rated it it was amazing Jun 10, John rated it imlanen was amazing Dec 02, Robert Smith rated it it was amazing Jan 24, There are no discussion topics on this book yet.

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