Expected Returns: An Investor′s Guide to Harvesting Market Rewards

Ilmanen has done a phenomenal job documenting the behavior of various asset classes and factors over an extended period of time. This is the only book in my knowledge that focuses on expected returns, which in itself makes the book very valuable. The author keeps mathematical detail to a minimum. I also enjoyed the foreword by Cliff Asness. This is overall a great book to further one's understanding of asset classes and risk premia, which (to my mind) should be read in conjunction with "Asset Management: A Systematic Approach to Factor Investing" by A. Ang.

anyone with determination to truly gain knowledge from a knowledgeable and hard-working teacher, should buy this book

With a lot of data and themes analyzed

Old fashioned content for academics who would have read all of it before. Not for traders.

It would be fair to say that this book contains all that is presently known about expected returns. Expected returns represent the central question for any investor, making this book a cornerstone for practitioner and academic alike. There are many strengths; firstly the book is bang up to date with the latest literature, including commentary on the 2007/ 08 credit crunch. Secondly it covers all asset classes ranging from stock, bonds through to alternatives. Thirdly it is as international as the literature enables, there is still a massive bias to the US but this is inevitable given that this is where almost all the research is carried out. Finally the author has an unwavering grasp of the subject and is an authority in this area. It must be emphasised however that the book is really a textbook in nature and is heavy going from page 1. Expect to have to read it several times and keep referring back to it. It is not a light read and does presume some prior knowledge. If you do not have a degree from business school you may be better off starting on an easier book because you are unlikely to understand more than half of the content. Overall it is an impressive feat of scholarship and a massive contribution to this area of study.