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

Josh Rowe rated it it was amazing Feb 11, View all antto comments. An absolute required reading for anybody in the quant finance space or those teaching themselves trading strategies and learning what risk premia is and how to capture it.

Deepay rated it it was amazing Feb 27, Let’s say sugar had higher expected return. It would almost be a pity if too many read the book.

Open Preview See a Problem? Want to Read Currently Reading Read. Aug 22, InvestingByTheBooks. To ask other readers questions about Expected Returnsplease sign up.

John rated it it was amazing Dec 02, So, let’s be real, America had learned that lesson and media constantly tries to create good trade opportunities squeezing them from “legal slaves”.

It’s fine demonstration of people who know nothing, say nothing, but rate it highest. 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.


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

anthi Just show me anything that survived past years without any payment in some form. With this book we can all get that advice for a more modest fee than NBIM probably pays.

Preview — Expected Returns by Antti Ilmanen. Justin rated it liked it Jan 22, Because a lot of idiots eating tons of sugar with drinks consumed a lot of it and became big fat pigs.

CAPM, for example, is from s. Anttti me tell one thing, the expected long term return is 0, and that’s it, no big science and useless analyses. First, everything that’s mentioned here are already dead, don’t you get? Joshua Knechtel rated it liked ilkanen Jul 22, Want to Read saving…. This really is THE book for anybody trying to create or understand alternative beta or hedge fund strategies.

After 6 months, some people complain about my “review”. Cause and a consequence which essentially means that you can earn “returns” only if you create better lies illusions, “new truths” or just steal something in case of sugar or oil, as examples. A rated it it was amazing May 28, Craig rated it it was amazing Mar 13, Steven Resman rated it it was amazing Feb 25, The different viewpoints give the reader a quite nuanced view of risk factors and a good understanding of sources of returns.


The book glows with a passion to understand the world and the author even includes his email for anyone that wants to comment on the book and take his learning process further. 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.

The reader will be taken up to speed on practically everything that has happened within academic finance anntti quantative asset management during the last 30 years. Because of that I had lowered rating to 2 stars as it seems if book hinders some religious thoughts, I can’t tolerate it, we have many religious economists nowadays who just can’t seem to see data and we have many underrated great books with profound insights.

No trivia or quizzes yet. This is a magnificent book.

Jan 22, Patrick Houweling rated it really liked it Shelves: Just a moment while we sign you in to your Goodreads account. The chapters cover; 4 asset classes – stocks, credits, government bonds and alternative investments; 4 strategy styles — value, trend, carry and volatility; and 4 underlying risk factors — growth, illiquidity, inflation and tail anttti. A rigorous anthology of academic research on so many.