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Expected Returns: An Investor’s Guide to Harvesting Market Rewards – Antti Ilmanen
Non-fiction / 8th August 2020

Introduction I have chosen Expected Returns to read after I saw it in the recommended list on a financial blog. The target audience of this book is actually experienced professional investors and advanced finance students in CFA or MBA programmes but I am not one of them. I just want to know how the author calculates expected returns. Author Antti Ilmanen is a Principal and Global Co-Head of Portfolio Solutions Group at AQR Capital Management. Before that, he had worked at Brevan Howard, Salomon Brothers/Citigroup and Bank of Finland. He has advised many institutional investors, including Norway’s Government Pension Fund Global and the Government of Singapore Investment Corporation. He has received multiple awards such as Graham and Dodd award, Harry M. Markowitz special distinction award, Bernstein Fabozzi/Jacobs Levy awards, and CFA Institute’s 2017 Leadership in Global Investment Award. Contents Expected Returns has a total of 29 chapters, a foreword, and 2 appendices. The chapters are divided into 3 parts. As there are a lot of chapters, I will not list down the chapter names here. Part I is Overview, historical returns, and academic theories. This part contains 7 chapters and serves as an introduction on historical average returns, key concepts,…