Investing Amid Low Expected Returns: Making the Mo st When Markets Offer the

Description: ANTTI ILMANEN, PHD, is Principal and Global Co-head of the Portfolio Solutions Group at AQR Capital Management. He advises institutional investors and develops AQR's high-level investment ideas. He is the author of Expected Returns and a recipient of the Graham and Dodd award, the Harry M. Markowitz Special Distinction Award, and multiple Bernstein Fabozzi/Jacobs Levy awards. Foreword by Cliff Asness xiii Part I: Setting the Stage 1 Chapter 1 Introduction 3 1.1. Serenity Prayer and Low Expected Returns 3 1.2. Outline of This Book 6 1.3. On Investment Beliefs 11 Chapter 2 The Secular Low Expected Return Challenge 15 2.1. Broad Context 15 2.2. Rearview-Mirror Expectations, Discount Rate Effect, and Low Expected Returns 17 2.3. How Low Are "Riskless" Long-term Yields from a Historical Perspective? 21 2.4. Decadal Perspective on Investment Returns 24 Chapter 3 Major Investor Types and Their Responses to This Challenge 27 3.1. Three Broad Investor Types 28 3.2. History of Institutional Asset Allocation 33 3.3. How Has the Low Expected Return Challenge Hurt Various Investor Types? 42 3.4. How Are Investors Responding to the Low Expected Return Challenge? 45 Part II: Building Blocks of Long-Run Returns 49 Chapter 4 Liquid Asset Class Premia 51 4.1. Riskless Cash Return 52 4.2. Equity Premium 55 4.3. Bond Risk Premium 69 4.4. Credit Premium 74 4.5. Commodity Premium 81 Chapter 5 Illiquidity Premia 87 5.1. Illiquid Alternative/Private Assets 88 5.2. Less Liquid Public Assets 101 5.3. Liquidity Provision Strategies 102 Chapter 6 Style Premia 105 6.1. Value and Other Contrarian Strategies 109 6.2. Momentum and Other Extrapolative Strategies 117 6.3. Carry and Other Income Strategies 124 6.4. Defensive and Other Low-Risk/ Quality Strategies 131 Chapter 7 Alpha and Its Cousins 139 7.1. Alpha and Active Returns 139 7.2. Reviewing the Classification of Portfolio Return Sources 146 7.3. Demystifying Hedge Funds, Superstars, and Other Active Managers 147 Chapter 8 Theories Explaining Long-run Return Sources 151 8.1. Rational Reward for Risk or Irrational Mispricing? 152 8.2. "Bad Returns in Bad Times" at the Heart of Risk Premia 153 8.3. Other Core Ideas for Rational Risk Premia and Behavioral Premia 155 8.4. Who Is on the Other Side? - and Related Crowding Concerns 158 Chapter 9 Sustaining Conviction and Patience on Long-run Return Sources 163 9.1. Patience: Sustaining Conviction When Faced with Adversity 164 9.2. Economic Rationale - and Has the World Changed? 169 9.3. Empirical Evidence - and Data Mining Concern 170 Chapter 10 Four Equations and Predictive Techniques 173 10.1. Four Key Equations and Some Extensions 173 10.2. Overview of Predictive Techniques 180 Part III: Putting It all Together 185 Chapter 11 Diversification - Its Power and Its Dark Sides 187 11.1. Outline of the Remainder of This Book 187 11.2. Ode to Diversification 188 11.3. Critics' Laments 193 Chapter 12 Portfolio Construction 195 12.1. Top-down Decisions on the Portfolio 195 12.2. Mean-variance Optimization Basics and Beyond 200 12.3. Pitfalls with MVO and How to Deal with Them 204 Chapter 13 Risk Management 207 13.1. Broad Lens and Big Risks 208 13.2. Techniques for Managing Investment Risk 209 13.3. Managing Tail Risks: Contrasting Put and Trend Strategies 210 13.4. Managing Market Risks: Portfolio Volatility and Beyond 214 Chapter 14 ESG Investing 219 14.1. Booming ESG 220 14.2. How Does ESG Affect Returns? 221 14.3. ESG Impact of ESG Investing - a Case Study on Climate Change 224 Chapter 15 Costs and Fees 225 15.1. Trading Costs 226 15.2. Asset Management Fees 230 Chapter 16 Tactical Timing on Medium-term Expected Returns 235 16.1. Contrarian Timing of the US Equity Market 235 16.2. Beyond Contrarian Timing of Equities: Other Assets and Factors, Other Predictors 240 Chapter 17 Bad Habits and Good Practices 243 17.1. Multiyear Return Chasing 244 17.2. Other Bad Habits and Good Practices 246 Chapter 18 Concluding Remarks 249 Acknowledgments 253 Author Bio 255 Acronyms 257 References 259 Index 277 Boxes 3.1 Global Market Portfolio 39 4.1 A Brief History of Inflation 54 4.2 Weak Empirical Relationship Between GDP Growth and Equity Returns 67 5.1 Share of Illiquid Assets in Global Wealth 89 5.2 Calendar Strategies 103 6.1 The Size Premium 107 7.1 Systematic Versus Discretionary Investing 142 8.1 How to Make Sense of Flow Data When Every Buyer Has a Seller 161 10.1 Machine Learning 183 11.1 Rebalancing 192 12.1 Modern Portfolio Theory and Two-Fund Separation 202 13.1 Can Risk Management Enhance Returns? Volatility Targeting 216 15.1 Taxes 233

Price: 43.25 AUD

Location: Hillsdale, NSW

End Time: 2025-01-29T14:57:13.000Z

Shipping Cost: 31.03 AUD