Expected Returns An Investor's Guide to Harvesting Market Rewards [Hardcover]

This comprehensive reference delivers a toolkit for harvesting market rewards from a wide range of investments. Written by a world-renowned industry expert, the reference discusses how to forecast returns under different parameters. Expected returns of major asset classes, investment strategies, and the effects of underlying risk factors such as growth, inflation, liquidity, and different risk perspectives, are also explained. Judging expected returns requires balancing historical returns with both theoretical considerations and current market conditions. Expected Returns provides extensive empirical evidence, surveys of risk-based and behavioral theories, and practical insights.Foreword by Clifford Asness.

Acknowledgments.

Abbreviations and acronyms.

PART I OVERVIEW, HISTORICAL RETURNS, AND ACADEMIC THEORIES.

1 Introduction.

1.1 Historical performance.

1.2 Financial and behavioral theories: A brief history of ideas.

1.3 Forward-looking indicators.

1.4 View-based expected returns.

1.5 General comments about the book.

1.6 Notes.

2 Whetting the appetite: Historical averages and forward-looking returns.

2.1 Historical performance since 1990.

2.2 Sample-specific results: Dealing with the pitfalls.

2.3 Forward-looking return indicators.

2.4 Notes.

3 The historical record: The past 20 years in a longer perspective.

3.1 Stocks.

3.2 Bonds.

3.3 Real asset investing and active investing.

3.4 FX and money markets.

3.5 Real return histories.

3.6 Notes.

4 Road map to terminology.

4.1 Constant or time-valÓ'