Expected Returns
An Investors Guide To Harvesting Market Rewards
by Antti Ilmanen · first published 2011
100% recommend
"Beginning with comprehensive introduction and overview, Expected Returns goes on to analyze the historical record, give a roadmap of terminology, explore rational and behavioral theories, and look at alternative interpretations for return predictability. A series of case studies provide detailed analysis of assets (equity, bond and credit risk premia, as well as alternative asset classes), dynamic strategy styles (value, carry, momentum, volatility) and underlying risk factors (growth, inflation, liquidity and tail risks), before moving back to broader themes, including time-varying expected
Affiliate links. As an Amazon Associate I earn from qualifying purchases.
Mentions per year
What Hacker News says
Related books
2007–2025The four pillars of investing
William J. Bernstein
Recommended by 26 · mentioned by 2726 recommend · 27 mention26 recommend · 2726 recommend
2007–2026A Random Walk Down Wall Street
Burton Gordon Malkiel
Recommended by 127 · mentioned by 190127 recommend · 190 mention127 recommend · 190127 recommend
Have a look at Carver's book 'Systematic Trading' and maybe 'Expected Returns' by Ilmanen. You also need to get a proper backtest going. A black box and a diary won't get you very far.
on “Machine learning predictions for QM eMini Crude Oil” ↗…away volatility. For a layman's treatment debunking this view (don't mind the title): http://www.amazon.com/Jackass-Investing-Dont-Profit/dp/09835... for a more academic flavor: http://www.amazon.com/Expected-Returns-Investors-Harvesting-... the best book on stock picking i've read: http://www.amazon.com/Quantitative-Value-Web-Site-Practition...
on “Hard-won lessons about money and investing” ↗…views get perpetuated and magnified is a gift to those who see otherwise. (And his returns speak for themselves.) http://www.amazon.com/Quantitative-Value-Web-Site-Practition... http://www.amazon.com/Expected-Returns-Investors-Harvesting-... http://www.amazon.com/Jackass-Investing-Dont-Profit/dp/09835...
on “Why I don't trade stocks and (probably) neither should you” ↗