Money and Finance
- Hussman Weekly Market Comment: Low And Expanding Risk Premiums Are The Root Of Abrupt Market Losses
Link to: Low and Expanding Risk Premiums are the Root of Abrupt Market Losses Through the recurrent bubbles and collapses of recent decades, I’ve often discussed what I call the Iron Law of Finance: Every long-term security is nothing more than a claim...
- Hussman Weekly Market Comment: The Federal Reserve's Two Legged Stool
Link to: The Federal Reserve's Two Legged StoolExtraordinary market returns and dismal market returns both come from somewhere. Long periods of outstanding market returns have their origins in depressed valuations. Long periods of dismal market returns...
- Hussman Weekly Market Comment: Notes On Risk Management - Warts And All
One of the great challenges of investing is the distinction between hindsight and foresight. Hindsight treats each major advance, each market crash, each recession and each expansion as if their turning points were obvious, and extrapolates prevailing...
- Brevan Howard Capitalises On Turmoil
Brevan Howard, the world’s largest macro hedge fund, has made close to $1.5bn over the past three weeks on the back of turmoil in the global markets. In a month in which equity markets worldwide have seen declines of more than 10 per cent, the gain...
- Socgen's Dylan Grice - Summer Reading List
Via The Tail Chaser blog. Link to: SocGen's Dylan Grice - Summer Reading List ……………….. Books: The Most Important Thing: Uncommon Sense for the Thoughtful Investor Expected Returns: An Investor's Guide to Harvesting Market Rewards Red...
Money and Finance
Introduction to "Expected Returns: An Investor's Guide to Harvesting Market Rewards" - By Antti Ilmanen
Health warning: We should humbly recognize the limits of our understanding. Realized returns are dominated by randomness, structural uncertainty, and rare events. Expected returns are unobservable, at best estimated with noise. We should resist hindsight biases wired in us—the outcomes that materialized seem more inevitable or predictable than they truly were. It is worth recalling that experts can only explain a fraction of realized return variation afterwards, and this is an inherently easier task than predicting. Any observed return predictability is mild, possibly spurious, and rarely robust. Therefore I stress humility in interpreting empirical results and even more in making predictions and in trading based on them.
My hope is that this book improves the reader’s understanding of expected returns while not adding to overconfidence. With better understanding comes a healthy respect for investment risks. I do not denounce risk taking, since it is the main way to enhance long-run returns, but investors should choose carefully which risks to take and how much of each, accepting them mainly when they are well rewarded.
I review key investment takeaways in Chapters 28 and 29, but here is a one-paragraph summary: there are many ways to enhance long-run returns; several can be pursued in parallel. Investors should collect risk premia from diverse sources, not just equity premia but also illiquidity premia and value, carry, and momentum style tilts. Investors can further try to exploit leverage, contrarian timing, and view-driven active management — all of which can help when used with moderation.
....................
Book: Expected Returns: An Investor's Guide to Harvesting Market Rewards
My hope is that this book improves the reader’s understanding of expected returns while not adding to overconfidence. With better understanding comes a healthy respect for investment risks. I do not denounce risk taking, since it is the main way to enhance long-run returns, but investors should choose carefully which risks to take and how much of each, accepting them mainly when they are well rewarded.
I review key investment takeaways in Chapters 28 and 29, but here is a one-paragraph summary: there are many ways to enhance long-run returns; several can be pursued in parallel. Investors should collect risk premia from diverse sources, not just equity premia but also illiquidity premia and value, carry, and momentum style tilts. Investors can further try to exploit leverage, contrarian timing, and view-driven active management — all of which can help when used with moderation.
....................
Book: Expected Returns: An Investor's Guide to Harvesting Market Rewards
- Hussman Weekly Market Comment: Low And Expanding Risk Premiums Are The Root Of Abrupt Market Losses
Link to: Low and Expanding Risk Premiums are the Root of Abrupt Market Losses Through the recurrent bubbles and collapses of recent decades, I’ve often discussed what I call the Iron Law of Finance: Every long-term security is nothing more than a claim...
- Hussman Weekly Market Comment: The Federal Reserve's Two Legged Stool
Link to: The Federal Reserve's Two Legged StoolExtraordinary market returns and dismal market returns both come from somewhere. Long periods of outstanding market returns have their origins in depressed valuations. Long periods of dismal market returns...
- Hussman Weekly Market Comment: Notes On Risk Management - Warts And All
One of the great challenges of investing is the distinction between hindsight and foresight. Hindsight treats each major advance, each market crash, each recession and each expansion as if their turning points were obvious, and extrapolates prevailing...
- Brevan Howard Capitalises On Turmoil
Brevan Howard, the world’s largest macro hedge fund, has made close to $1.5bn over the past three weeks on the back of turmoil in the global markets. In a month in which equity markets worldwide have seen declines of more than 10 per cent, the gain...
- Socgen's Dylan Grice - Summer Reading List
Via The Tail Chaser blog. Link to: SocGen's Dylan Grice - Summer Reading List ……………….. Books: The Most Important Thing: Uncommon Sense for the Thoughtful Investor Expected Returns: An Investor's Guide to Harvesting Market Rewards Red...