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Produktbild: Investing Amid Low Expected Returns

Investing Amid Low Expected Returns Making the Most When Markets Offer the Least

26,99 €

inkl. gesetzl. MwSt., Versandkostenfrei

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

12.04.2022

Verlag

John Wiley & Sons

Seitenzahl

304

Maße (L/B/H)

25,7/18,2/3,2 cm

Gewicht

771 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-1-119-86019-8

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

12.04.2022

Verlag

John Wiley & Sons

Seitenzahl

304

Maße (L/B/H)

25,7/18,2/3,2 cm

Gewicht

771 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-1-119-86019-8

Herstelleradresse

Libri GmbH
Europaallee 1
36244 Bad Hersfeld
DE

Email: gpsr@libri.de

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  • Produktbild: Investing Amid Low Expected Returns

  • Foreword by Cliff Asness xiii

    Part I: Setting the Stage 1

    Chapter 1 Introduction 3

    1.1. Serenity Prayer and Low Expected Returns 3

    1.2. Outline of This Book 6

    1.3. On Investment Beliefs 11

    Chapter 2 The Secular Low Expected Return Challenge 15

    2.1. Broad Context 15

    2.2. Rearview-Mirror Expectations, Discount Rate Effect, and Low Expected Returns 17

    2.3. How Low Are "Riskless" Long-term Yields from a Historical Perspective? 21

    2.4. Decadal Perspective on Investment Returns 24

    Chapter 3 Major Investor Types and Their Responses to This Challenge 27

    3.1. Three Broad Investor Types 28

    3.2. History of Institutional Asset Allocation 33

    3.3. How Has the Low Expected Return Challenge Hurt Various Investor Types? 42

    3.4. How Are Investors Responding to the Low Expected Return Challenge? 45

    Part II: Building Blocks of Long-Run Returns 49

    Chapter 4 Liquid Asset Class Premia 51

    4.1. Riskless Cash Return 52

    4.2. Equity Premium 55

    4.3. Bond Risk Premium 69

    4.4. Credit Premium 74

    4.5. Commodity Premium 81

    Chapter 5 Illiquidity Premia 87

    5.1. Illiquid Alternative/Private Assets 88

    5.2. Less Liquid Public Assets 101

    5.3. Liquidity Provision Strategies 102

    Chapter 6 Style Premia 105

    6.1. Value and Other Contrarian Strategies 109

    6.2. Momentum and Other Extrapolative Strategies 117

    6.3. Carry and Other Income Strategies 124

    6.4. Defensive and Other Low-Risk/ Quality Strategies 131

    Chapter 7 Alpha and Its Cousins 139

    7.1. Alpha and Active Returns 139

    7.2. Reviewing the Classification of Portfolio Return Sources 146

    7.3. Demystifying Hedge Funds, Superstars, and Other Active Managers 147

    Chapter 8 Theories Explaining Long-run Return Sources 151

    8.1. Rational Reward for Risk or Irrational Mispricing? 152

    8.2. "Bad Returns in Bad Times" at the Heart of Risk Premia 153

    8.3. Other Core Ideas for Rational Risk Premia and Behavioral Premia 155

    8.4. Who Is on the Other Side? - and Related Crowding Concerns 158

    Chapter 9 Sustaining Conviction and Patience on Long-run Return Sources 163

    9.1. Patience: Sustaining Conviction When Faced with Adversity 164

    9.2. Economic Rationale - and Has the World Changed? 169

    9.3. Empirical Evidence - and Data Mining Concern 170

    Chapter 10 Four Equations and Predictive Techniques 173

    10.1. Four Key Equations and Some Extensions 173

    10.2. Overview of Predictive Techniques 180

    Part III: Putting It all Together 185

    Chapter 11 Diversification - Its Power and Its Dark Sides 187

    11.1. Outline of the Remainder of This Book 187

    11.2. Ode to Diversification 188

    11.3. Critics' Laments 193

    Chapter 12 Portfolio Construction 195

    12.1. Top-down Decisions on the Portfolio 195

    12.2. Mean-variance Optimization Basics and Beyond 200

    12.3. Pitfalls with MVO and How to Deal with Them 204

    Chapter 13 Risk Management 207

    13.1. Broad Lens and Big Risks 208

    13.2. Techniques for Managing Investment Risk 209

    13.3. Managing Tail Risks: Contrasting Put and Trend Strategies 210

    13.4. Managing Market Risks: Portfolio Volatility and Beyond 214

    Chapter 14 ESG Investing 219

    14.1. Booming ESG 220

    14.2. How Does ESG Affect Returns? 221

    14.3. ESG Impact of ESG Investing - a Case Study on Climate Change 224

    Chapter 15 Costs and Fees 225

    15.1. Trading Costs 226

    15.2. Asset Management Fees 230

    Chapter 16 Tactical Timing on Medium-term Expected Returns 235

    16.1. Contrarian Timing of the US Equity Market 235

    16.2. Beyond Contrarian Timing of Equities: Other Assets and Factors, Other Predictors 240

    Chapter 17 Bad Habits and Good Practices 243

    17.1. Multiyear Return Chasing 244

    17.2. Other Bad Habits and Good Practices 246

    Chapter 18 Concluding Remarks 249

    Acknowledgments 253

    Author Bio 255

    Acronyms 257

    References 259

    Index 277

    Boxes

    3.1 Global Market Portfolio 39

    4.1 A Brief History of Inflation 54

    4.2 Weak Empirical Relationship Between GDP Growth and Equity Returns 67

    5.1 Share of Illiquid Assets in Global Wealth 89

    5.2 Calendar Strategies 103

    6.1 The Size Premium 107

    7.1 Systematic Versus Discretionary Investing 142

    8.1 How to Make Sense of Flow Data When Every Buyer Has a Seller 161

    10.1 Machine Learning 183

    11.1 Rebalancing 192

    12.1 Modern Portfolio Theory and Two-Fund Separation 202

    13.1 Can Risk Management Enhance Returns? Volatility Targeting 216

    15.1 Taxes 233