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

If you can back them with your professional “titles” even better. View all 7 comments. With this book we can all get that This is a magnificent book. Would be nice to hear what’s exactly so good about this ilmnen. To see what your friends thought of this book, please sign up. A rated it it was amazing May 28, An absolute required reading for anybody in the quant finance space or those teaching themselves trading strategies ilmane learning what risk premia is and how to capture it.

Jun 16, Jon rated it liked it.

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

V rated it it was amazing Feb 09, Let me tell one thing, the expected long term return is 0, ilmane that’s it, no big science and useless analyses. The bulk of the text consists of chapters that present three different ways to analyse expected returns.

Asness jokingly says that he anttii considered having Anttii 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.


It’s fine demonstration of people who know nothing, say nothing, but rate it highest. The book took quite a while to read. Books by Antti Ilmanen. There are no discussion topics on this book yet.

Let me ask – why? Robert rated it really liked it Jun 21, ChrisGro rated it it was amazing Jun 10, Want to Read saving…. Return to Book Page. This really is THE book for anybody trying to create or understand alternative beta or hedge fund strategies. To ask other readers questions about Expected Returnsplease sign up. Jun 07, P rated it it was amazing Shelves: A rigorous anthology of academic research on so many. 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.

Judging expected returns requires balancing historical returns with both theoretical considerations and current market conditions. Steven Resman rated it it was amazing Feb 25, Joshua Knechtel rated it liked it Jul 22, Written in a very balanced way, describing various opinions in the academic literature, but always expressing and motivating his personal preferences.

You’re living in a society of spectacle.

Let’s say sugar had higher expected return. Another reason that this book is clearly overrated 4.

There is enough knowledge content in this book to get the highest grade twice. Entropy cancels everything and bigger temporary alpha increases entropy levels. A very comprehensive book on expected and realized! Open Preview Ilmanenn a Problem? After 6 months, some people complain about my “review”.


It would almost be a pity if too many read the book. Alex Burns rated it really liked it Nov 02, Deepay rated it it was amazing Feb 27, Because there are no free things.

Thanks for telling us about the problem. 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.

Lists with This Book. Want to Read Currently Reading Read. Justin rated it liked it Jan 22, Josh Rowe rated it it was amazing Feb 11, Aug 22, InvestingByTheBooks.

Feels very outdated, many concepts covered already feel antiquated. Tam Man Ki rated it it was amazing Apr 13, Just show me anything that survived past years without any payment in some form. Cause and a consequence angti essentially means that you can earn “returns” only if you create better lies illusions, “new truths” or just steal something in case of ilmaneb or oil, as examples. Just a moment while we sign you in to your Goodreads account.

It’s hard to believe, so why? Trivia About Expected Returns