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Expected Returns: An Investor's Guide to Harvesting Market Rewards Hardcover – Illustrated, March 14 2011

4.6 out of 5 stars 86 ratings

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Product description

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

Product details

  • Publisher ‏ : ‎ Wiley; 1st edition (March 14 2011)
  • Language ‏ : ‎ English
  • Hardcover ‏ : ‎ 608 pages
  • ISBN-10 ‏ : ‎ 1119990726
  • ISBN-13 ‏ : ‎ 978-1119990727
  • Item weight ‏ : ‎ 1.2 kg
  • Dimensions ‏ : ‎ 17.78 x 3.81 x 24.64 cm
  • Customer Reviews:
    4.6 out of 5 stars 86 ratings

About the author

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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 stars
4.6 out of 5
86 global ratings

Top review from Canada

Reviewed in Canada 🇨🇦 on September 10, 2018
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Book fan
5.0 out of 5 stars Tour de force
Reviewed in the United Kingdom 🇬🇧 on June 2, 2011
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7 people found this helpful
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KM
3.0 out of 5 stars More a precis of finance research than a useful guide for investment
Reviewed in the United Kingdom 🇬🇧 on January 18, 2017
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2 people found this helpful
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possos86
5.0 out of 5 stars Certainly no wasted time.
Reviewed in the United Kingdom 🇬🇧 on April 6, 2018
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Fungai
5.0 out of 5 stars Well written.
Reviewed in the United Kingdom 🇬🇧 on January 2, 2022
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Jason
5.0 out of 5 stars Interesting read
Reviewed in the United Kingdom 🇬🇧 on July 25, 2016
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