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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…mehr
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- Produktdetails
- Verlag: John Wiley & Sons
- Seitenzahl: 594
- Erscheinungstermin: 6. April 2011
- Englisch
- ISBN-13: 9781119991748
- Artikelnr.: 37348110
- Verlag: John Wiley & Sons
- Seitenzahl: 594
- Erscheinungstermin: 6. April 2011
- Englisch
- ISBN-13: 9781119991748
- Artikelnr.: 37348110
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-varying expected returns? 4.2 Rational or irrational
expectations formation? 4.3 Return measurement issues. 4.4 Returns in what
currency? 4.5 Risk-adjusted returns. 4.6 Biased returns. 4.7 Notes. 5
Rational theories on expected return determination. 5.1 The old world. 5.2
The new world. 5.3 Detour: a brief survey of the efficient markets
hypothesis. 5.4 Notes. 6 Behavioral finance. 6.1 Limits to arbitrage. 6.2
Psychology. 6.3 Applications. 6.4 Conclusion. 6.5 Notes. 7 Alternative
interpretations for return predictability. 7.1 Risk premia or market
inefficiency. 7.2 Data mining and other ''mirage'' explanations. 7.3 Notes.
PART II A DOZEN CASE STUDIES. 8 Equity risk premium. 8.1 Introduction and
terminology. 8.2 Theories and the equity premium puzzle. 8.3 Historical
equity premium. 8.4 Forward-looking (ex ante objective) long-term expected
return measures. 8.5 Survey-based subjective expectations. 8.6 Tactical
forecasting for market timing. 8.7 Notes. 9 Bond risk premium. 9.1
Introduction, terminology, and theories. 9.2 Historical average returns.
9.3 Alternative ex ante measures of the BRP. 9.4 Yield curve steepness:
important predictive relations. 9.5 Explaining BRP behavior: first targets,
then four drivers. 9.6 Tactical forecasting--duration timing. 9.7 Notes. 10
Credit risk premium. 10.1 Introduction, terminology, and theory. 10.2
Historical average excess returns. 10.3 Focus on front-end trading--a
pocket of attractive reward to risk. 10.4 Understanding credit spreads and
their drivers. 10.5 Tactical forecasting of corporate bond outperformance.
10.6 Assessing other non-government debt. 10.7 Concluding remarks. 10.8
Notes. 11 Alternative asset premia. 11.1 Introduction to alternatives. 11.2
Real estate. 11.3 Commodities. 11.4 Hedge funds. 11.5 Private equity funds.
11.6 Notes. 12 Value-oriented equity selection. 12.1 Introduction to
dynamic strategies. 12.2 Equity value: introduction and historical
performance. 12.3 Tweaks including style timing. 12.4 The reasons value
works. 12.5 Does the value strategy work in equities beyond individual
stock selection or in market or sector selection in other asset classes?
12.6 Relations between value and other indicators for equity selection.
12.7 Notes. 13 Currency carry. 13.1 Introduction. 13.2 Historical average
returns. 13.3 Improvements/refinements to the baseline carry strategy. 13.4
Why do carry strategies work? 13.5 Carry here, carry there, carry
everywhere. 13.6 Notes. 14 Commodity momentum and trend following. 14.1
Introduction. 14.2 Performance of simple commodity momentum strategies.
14.3 Tweaks. 14.4 Why does momentum--such a naive strategy--work? 14.5
Momentum in other asset classes. 14.6 Notes. 15 Volatility selling (on
equity indices). 15.1 Introduction. 15.2 Historical performance of
volatility-trading strategies. 15.3 Tweaks/Refinements. 15.4 The reasons
volatility selling is profitable. 15.5 Other assets. 15.6 Notes. 16 Growth
factor and growth premium. 16.1 Introduction to underlying factors in
Chapters 16-19. 16.2 Introduction to the growth factor. 16.3 Theory and
evidence on growth. 16.4 Asset market relations. 16.5 Time-varying growth
premium. 16.6 Notes. 17 Inflation factor and inflation premium. 17.1
Introduction. 17.2 Inflation process--history, determinants, expectations.
17.3 Inflation sensitivity of major asset classes and the inflation
premium. 17.4 Time-varying inflation premium. 17.5 Notes. 18 Liquidity
factor and illiquidity premium. 18.1 Introduction. 18.2 Factor history: how
does liquidity itself vary over time? 18.3 Historical evidence on average
liquidity-related premia. 18.4 Time-varying illiquidity premia. 18.5 Note.
19 Tail risks (volatility, correlation, skewness). 19.1 Introduction. 19.2
Factor history. 19.3 Historical evidence on average asset returns vs.
volatility and correlation. 19.4 Theory and evidence on the skewness
premium. 19.5 Verdict on why high-volatility assets fare so poorly. 19.6
Time-varying premia for tail risk exposures. 19.7 Notes. PART III BACK TO
BROADER THEMES. 20 Endogenous return and risk: Feedback effects on expected
returns. 20.1 Feedback loops on the direction of risky assets. 20.2
Feedback loops on less directional positions. 20.3 Agenda for market timers
and researchers. 20.4 Notes. 21 Forward-looking measures of asset returns.
21.1 Popular value and carry indicators and their pitfalls. 21.2 Building
blocks of expected returns. 21.3 Notes. 22 Interpreting carry or non-zero
yield spreads. 22.1 Introduction. 22.2 Future excess returns or market
expectations? 22.3 Empirical horse races for various assets. 22.4
Conclusions. 22.5 Notes. 23 Survey-based subjective expected returns. 23.1
Notes. 24 Tactical return forecasting models. 24.1 Introduction. 24.2 What
type of model? 24.3 Which assets/trades? 24.4 Which indicator types? 24.5
Enhancements and pitfalls. 24.6 Notes. 25 Seasonal regularities. 25.1
Seasonal, cyclical, and secular patterns in asset returns. 25.2 Monthly
seasonals and the January effect. 25.3 Other seasonals. 26 Cyclical
variation in asset returns. 26.1 Typical behavior of realized returns and
ex ante indicators through the business cycle. 26.2 Typical behavior of
realized returns and ex ante indicators across different economic regimes.
26.3 Notes. 27 Secular trends and the next 20 years. 27.1 Contrasting
1988-2007 with 1968-1987. 27.2 Reversible and sustainable secular trends.
27.3 The next 20 years. 27.4 Notes. 28 Enhancing returns through managing
risks, horizon, skill, and costs. 28.1 Introduction: how can investors
enhance returns? 28.2 Risk. 28.3 Investment horizon. 28.4 Skill. 28.5
Costs. 28.6 Notes. 29 Takeaways for long-horizon investors. 29.1 Key
takeaways from theory. 29.2 Empirical return sources. 29.3 My take on key
debates. 29.4 Know thyself: large long-horizon investors' natural edges.
29.5 Institutional practices. 29.6 Notes. APPENDICES. A World wealth. A.1
Global total. A.2 Asset class detail. A.3 Notes. B Data sources and data
series construction. B.1 Asset class and sector returns. B.2 Strategy style
returns. B.3 Factor proxies. B.4 Forward-looking yields and spreads. B.5
Survey data and expected inflation. B.6 Miscellaneous other. Bibliography.
Index.
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-varying expected returns? 4.2 Rational or irrational
expectations formation? 4.3 Return measurement issues. 4.4 Returns in what
currency? 4.5 Risk-adjusted returns. 4.6 Biased returns. 4.7 Notes. 5
Rational theories on expected return determination. 5.1 The old world. 5.2
The new world. 5.3 Detour: a brief survey of the efficient markets
hypothesis. 5.4 Notes. 6 Behavioral finance. 6.1 Limits to arbitrage. 6.2
Psychology. 6.3 Applications. 6.4 Conclusion. 6.5 Notes. 7 Alternative
interpretations for return predictability. 7.1 Risk premia or market
inefficiency. 7.2 Data mining and other ''mirage'' explanations. 7.3 Notes.
PART II A DOZEN CASE STUDIES. 8 Equity risk premium. 8.1 Introduction and
terminology. 8.2 Theories and the equity premium puzzle. 8.3 Historical
equity premium. 8.4 Forward-looking (ex ante objective) long-term expected
return measures. 8.5 Survey-based subjective expectations. 8.6 Tactical
forecasting for market timing. 8.7 Notes. 9 Bond risk premium. 9.1
Introduction, terminology, and theories. 9.2 Historical average returns.
9.3 Alternative ex ante measures of the BRP. 9.4 Yield curve steepness:
important predictive relations. 9.5 Explaining BRP behavior: first targets,
then four drivers. 9.6 Tactical forecasting--duration timing. 9.7 Notes. 10
Credit risk premium. 10.1 Introduction, terminology, and theory. 10.2
Historical average excess returns. 10.3 Focus on front-end trading--a
pocket of attractive reward to risk. 10.4 Understanding credit spreads and
their drivers. 10.5 Tactical forecasting of corporate bond outperformance.
10.6 Assessing other non-government debt. 10.7 Concluding remarks. 10.8
Notes. 11 Alternative asset premia. 11.1 Introduction to alternatives. 11.2
Real estate. 11.3 Commodities. 11.4 Hedge funds. 11.5 Private equity funds.
11.6 Notes. 12 Value-oriented equity selection. 12.1 Introduction to
dynamic strategies. 12.2 Equity value: introduction and historical
performance. 12.3 Tweaks including style timing. 12.4 The reasons value
works. 12.5 Does the value strategy work in equities beyond individual
stock selection or in market or sector selection in other asset classes?
12.6 Relations between value and other indicators for equity selection.
12.7 Notes. 13 Currency carry. 13.1 Introduction. 13.2 Historical average
returns. 13.3 Improvements/refinements to the baseline carry strategy. 13.4
Why do carry strategies work? 13.5 Carry here, carry there, carry
everywhere. 13.6 Notes. 14 Commodity momentum and trend following. 14.1
Introduction. 14.2 Performance of simple commodity momentum strategies.
14.3 Tweaks. 14.4 Why does momentum--such a naive strategy--work? 14.5
Momentum in other asset classes. 14.6 Notes. 15 Volatility selling (on
equity indices). 15.1 Introduction. 15.2 Historical performance of
volatility-trading strategies. 15.3 Tweaks/Refinements. 15.4 The reasons
volatility selling is profitable. 15.5 Other assets. 15.6 Notes. 16 Growth
factor and growth premium. 16.1 Introduction to underlying factors in
Chapters 16-19. 16.2 Introduction to the growth factor. 16.3 Theory and
evidence on growth. 16.4 Asset market relations. 16.5 Time-varying growth
premium. 16.6 Notes. 17 Inflation factor and inflation premium. 17.1
Introduction. 17.2 Inflation process--history, determinants, expectations.
17.3 Inflation sensitivity of major asset classes and the inflation
premium. 17.4 Time-varying inflation premium. 17.5 Notes. 18 Liquidity
factor and illiquidity premium. 18.1 Introduction. 18.2 Factor history: how
does liquidity itself vary over time? 18.3 Historical evidence on average
liquidity-related premia. 18.4 Time-varying illiquidity premia. 18.5 Note.
19 Tail risks (volatility, correlation, skewness). 19.1 Introduction. 19.2
Factor history. 19.3 Historical evidence on average asset returns vs.
volatility and correlation. 19.4 Theory and evidence on the skewness
premium. 19.5 Verdict on why high-volatility assets fare so poorly. 19.6
Time-varying premia for tail risk exposures. 19.7 Notes. PART III BACK TO
BROADER THEMES. 20 Endogenous return and risk: Feedback effects on expected
returns. 20.1 Feedback loops on the direction of risky assets. 20.2
Feedback loops on less directional positions. 20.3 Agenda for market timers
and researchers. 20.4 Notes. 21 Forward-looking measures of asset returns.
21.1 Popular value and carry indicators and their pitfalls. 21.2 Building
blocks of expected returns. 21.3 Notes. 22 Interpreting carry or non-zero
yield spreads. 22.1 Introduction. 22.2 Future excess returns or market
expectations? 22.3 Empirical horse races for various assets. 22.4
Conclusions. 22.5 Notes. 23 Survey-based subjective expected returns. 23.1
Notes. 24 Tactical return forecasting models. 24.1 Introduction. 24.2 What
type of model? 24.3 Which assets/trades? 24.4 Which indicator types? 24.5
Enhancements and pitfalls. 24.6 Notes. 25 Seasonal regularities. 25.1
Seasonal, cyclical, and secular patterns in asset returns. 25.2 Monthly
seasonals and the January effect. 25.3 Other seasonals. 26 Cyclical
variation in asset returns. 26.1 Typical behavior of realized returns and
ex ante indicators through the business cycle. 26.2 Typical behavior of
realized returns and ex ante indicators across different economic regimes.
26.3 Notes. 27 Secular trends and the next 20 years. 27.1 Contrasting
1988-2007 with 1968-1987. 27.2 Reversible and sustainable secular trends.
27.3 The next 20 years. 27.4 Notes. 28 Enhancing returns through managing
risks, horizon, skill, and costs. 28.1 Introduction: how can investors
enhance returns? 28.2 Risk. 28.3 Investment horizon. 28.4 Skill. 28.5
Costs. 28.6 Notes. 29 Takeaways for long-horizon investors. 29.1 Key
takeaways from theory. 29.2 Empirical return sources. 29.3 My take on key
debates. 29.4 Know thyself: large long-horizon investors' natural edges.
29.5 Institutional practices. 29.6 Notes. APPENDICES. A World wealth. A.1
Global total. A.2 Asset class detail. A.3 Notes. B Data sources and data
series construction. B.1 Asset class and sector returns. B.2 Strategy style
returns. B.3 Factor proxies. B.4 Forward-looking yields and spreads. B.5
Survey data and expected inflation. B.6 Miscellaneous other. Bibliography.
Index.