Investing Amid Low Expected Returns

양장본 Hardcover

Ilmanen, Antti 저자(글)

Wiley · 2022년 04월 12일

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작가정보

저자(글) Ilmanen, Antti

헬싱키 대학교에서 경제학 및 법학 석사 학위를, 시카고 대학교에서 재무학 박사 학위를 취득했다.AQR 캐피탈 매니지먼트의 포트폴리오 솔루션 Portfolio Solutions Group 대표 겸 글로벌 공동 책임자다. 기관 투자자 및 국부 펀드 자문을 담당하는 팀을 관리하고 회사의 광범위한 투자 아이디어를 개발한다. 2011년 AQR에 합류하기 전에는 브레반 하워드Brevan Howard에서 7년간 선임 포트폴리오 매니저로 근무했고, 살로몬 브라더스Salomon Brother와 시티그룹Citigroup에서 10년 동안 다양한 직무를 수행했다. 핀란드에서 중앙은행 포트폴리오 매니저로 경력을 시작했다. 수년 동안 노르웨이 국가연금 글로벌, 싱가포르 투자청 등 많은 기관 투자자들에게 자문을 제공했다. 금융 및 투자 저널에 다양한 논문을 발표했으며, 그레이엄 앤 도드Graham and Dodd상, 해리 M. 마코위츠Harry M. Markowitz 특별 공로상, 번스타인 파보치/제이콥스 레비Bernstein Fabozzi/Jacobs Levy상 등을 여러 차례 수상했다. 또한 CFA 인스티튜트CFA Institute의 2017년 글로벌 투자 분야 리더십상을 수상했다.

목차

• Foreword by Cliff Asness xiiiPart I: Setting the Stage 1Chapter 1 Introduction 31.1. Serenity Prayer and Low Expected Returns 31.2. Outline of This Book 61.3. On Investment Beliefs 11Chapter 2 The Secular Low Expected Return Challenge 152.1. Broad Context 152.2. Rearview-Mirror Expectations, Discount Rate Effect, and Low Expected Returns 172.3. How Low Are "Riskless" Long-term Yields from a Historical Perspective? 212.4. Decadal Perspective on Investment Returns 24Chapter 3 Major Investor Types and Their Responses to This Challenge 273.1. Three Broad Investor Types 283.2. History of Institutional Asset Allocation 333.3. How Has the Low Expected Return Challenge Hurt Various Investor Types? 423.4. How Are Investors Responding to the Low Expected Return Challenge? 45Part II: Building Blocks of Long-Run Returns 49Chapter 4 Liquid Asset Class Premia 514.1. Riskless Cash Return 524.2. Equity Premium 554.3. Bond Risk Premium 694.4. Credit Premium 744.5. Commodity Premium 81Chapter 5 Illiquidity Premia 875.1. Illiquid Alternative/Private Assets 885.2. Less Liquid Public Assets 1015.3. Liquidity Provision Strategies 102Chapter 6 Style Premia 1056.1. Value and Other Contrarian Strategies 1096.2. Momentum and Other Extrapolative Strategies 1176.3. Carry and Other Income Strategies 1246.4. Defensive and Other Low-Risk/ Quality Strategies 131Chapter 7 Alpha and Its Cousins 1397.1. Alpha and Active Returns 1397.2. Reviewing the Classification of Portfolio Return Sources 1467.3. Demystifying Hedge Funds, Superstars, and Other Active Managers 147Chapter 8 Theories Explaining Long-run Return Sources 1518.1. Rational Reward for Risk or Irrational Mispricing? 1528.2. "Bad Returns in Bad Times" at the Heart of Risk Premia 1538.3. Other Core Ideas for Rational Risk Premia and Behavioral Premia 1558.4. Who Is on the Other Side? - and Related Crowding Concerns 158Chapter 9 Sustaining Conviction and Patience on Long-run Return Sources 1639.1. Patience: Sustaining Conviction When Faced with Adversity 1649.2. Economic Rationale - and Has the World Changed? 1699.3. Empirical Evidence - and Data Mining Concern 170Chapter 10 Four Equations and Predictive Techniques 17310.1. Four Key Equations and Some Extensions 17310.2. Overview of Predictive Techniques 180Part III: Putting It all Together 185Chapter 11 Diversification - Its Power and Its Dark Sides 18711.1. Outline of the Remainder of This Book 18711.2. Ode to Diversification 18811.3. Critics' Laments 193Chapter 12 Portfolio Construction 19512.1. Top-down Decisions on the Portfolio 19512.2. Mean-variance Optimization Basics and Beyond 20012.3. Pitfalls with MVO and How to Deal with Them 204Chapter 13 Risk Management 20713.1. Broad Lens and Big Risks 20813.2. Techniques for Managing Investment Risk 20913.3. Managing Tail Risks: Contrasting Put and Trend Strategies 21013.4. Managing Market Risks: Portfolio Volatility and Beyond 214Chapter 14 ESG Investing 21914.1. Booming ESG 22014.2. How Does ESG Affect Returns? 22114.3. ESG Impact of ESG Investing - a Case Study on Climate Change 224Chapter 15 Costs and Fees 22515.1. Trading Costs 22615.2. Asset Management Fees 230Chapter 16 Tactical Timing on Medium-term Expected Returns 23516.1. Contrarian Timing of the US Equity Market 23516.2. Beyond Contrarian Timing of Equities: Other Assets and Factors, Other Predictors 240Chapter 17 Bad Habits and Good Practices 24317.1. Multiyear Return Chasing 24417.2. Other Bad Habits and Good Practices 246Chapter 18 Concluding Remarks 249Acknowledgments 253Author Bio 255Acronyms 257References 259Index 277Boxes3.1 Global Market Portfolio 394.1 A Brief History of Inflation 544.2 Weak Empirical Relationship Between GDP Growth and Equity Returns 675.1 Share of Illiquid Assets in Global Wealth 895.2 Calendar Strategies 1036.1 The Size Premium 1077.1 Systematic Versus Discretionary Investing 1428.1 How to Make Sense of Flow Data When Every Buyer Has a Seller 16110.1 Machine Learning 18311.1 Rebalancing 19212.1 Modern Portfolio Theory and Two-Fund Separation 20213.1 Can Risk Management Enhance Returns? Volatility Targeting 21615.1 Taxes 233

기본정보

ISBN	9781119860198 ( 1119860199 )
발행(출시)일자	2022년 04월 12일
쪽수	304쪽
크기	180 * 257 * 30 mm / 658 g
총권수	1권
언어	영어