Expected returns : an investor's guide to harvesting market rewards / / Antti Ilmanen

• Autore: Ilmanen Antti <1961->
• Pubblicazione: Chichester, UK, : Wiley, c2011
• Edizione: 1st ed.
• Descrizione fisica: 1 online resource (594 p.)
• Disciplina: 332.6; 332.678
• Soggetto topico: Investments; Rate of return
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: Expected Returns; Contents; Foreword by Clifford Asness; Acknowledgments; Abbreviations and acronyms; PART I OVERVIEW, HISTORICAL RETURNS, AND ACADEMIC THEORIES; 1 Introduction; 1.1 Historical performance; 1.2 Financial and behavioral theories: A brief history of ideas; 1.3 Forward-looking indicators; 1.4 View-based expected returns; 1.5 General comments about the book; 1.6 Notes; 2 Whetting the appetite: Historical averages and forward-looking returns; 2.1 Historical performance since 1990; 2.2 Sample-specific results: Dealing with the pitfalls; 2.3 Forward-looking return indicators ; 2.4 Notes3 The historical record: The past 20 years in a longer perspective; 3.1 Stocks; 3.2 Bonds; 3.3 Real asset investing and active investing; 3.4 FX and money markets; 3.5 Real return histories; 3.6 Notes; 4 Road map to terminology; 4.1 Constant or time-varying expected returns?; 4.2 Rational or irrational expectations formation?; 4.3 Return measurement issues; 4.4 Returns in what currency?; 4.5 Risk-adjusted returns; 4.6 Biased returns; 4.7 Notes; 5 Rational theories on expected return determination; 5.1 The old world; 5.2 The new world ; 5.3 Detour: a brief survey of the efficient markets hypothesis5.4 Notes; 6 Behavioral finance; 6.1 Limits to arbitrage; 6.2 Psychology; 6.3 Applications; 6.4 Conclusion; 6.5 Notes; 7 Alternative interpretations for return predictability; 7.1 Risk premia or market inefficiency; 7.2 Data mining and other ''mirage'' explanations; 7.3 Notes; PART II A DOZEN CASE STUDIES; 8 Equity risk premium; 8.1 Introduction and terminology; 8.2 Theories and the equity premium puzzle; 8.3 Historical equity premium; 8.4 Forward-looking (ex ante objective) long-term expected return measures ; 8.5 Survey-based subjective expectations8.6 Tactical forecasting for market timing; 8.7 Notes; 9 Bond risk premium; 9.1 Introduction, terminology, and theories; 9.2 Historical average returns; 9.3 Alternative ex ante measures of the BRP; 9.4 Yield curve steepness: important predictive relations; 9.5 Explaining BRP behavior: first targets, then four drivers; 9.6 Tactical forecasting-duration timing; 9.7 Notes; 10 Credit risk premium; 10.1 Introduction, terminology, and theory; 10.2 Historical average excess returns; 10.3 Focus on front-end trading-a pocket of attractive reward to risk ; 10.4 Understanding credit spreads and their drivers10.5 Tactical forecasting of corporate bond outperformance; 10.6 Assessing other non-government debt; 10.7 Concluding remarks; 10.8 Notes; 11 Alternative asset premia; 11.1 Introduction to alternatives; 11.2 Real estate; 11.3 Commodities; 11.4 Hedge funds; 11.5 Private equity funds; 11.6 Notes; 12 Value-oriented equity selection; 12.1 Introduction to dynamic strategies; 12.2 Equity value: introduction and historical performance; 12.3 Tweaks including style timing; 12.4 The reasons value works ; 12.5 Does the value strategy work in equities beyond individual stocks election or in market or sector selection in other asset classes?
• Sommario/riassunto: 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, i
• Titolo autorizzato: Expected returns
• ISBN: 1-118-46719-1; 1-283-40539-3; 9786613405395; 1-119-99174-9
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910677388403321
• Lo trovi qui: Univ. Federico II
• Serie: Wiley finance series.