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Reddit mentions of Expected Returns: An Investor's Guide to Harvesting Market Rewards

Sentiment score: 7
Reddit mentions: 13

We found 13 Reddit mentions of Expected Returns: An Investor's Guide to Harvesting Market Rewards. Here are the top ones.

Expected Returns: An Investor's Guide to Harvesting Market Rewards
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Found 13 comments on Expected Returns: An Investor's Guide to Harvesting Market Rewards:

u/TheRealAntacular · 8 pointsr/investing

Don't have any textbooks to enumerate here, but as far as "regular" (or as regular as an esoteric topic like quant investing gets) books go:

u/HPCer · 7 pointsr/algotrading

Well, the trick is to do one step at a time. Your goal is a very reasonable one, but you'll want to focus on the foundation first. For a non-programmer, I would recommend starting off with Code Academy or Coursera. The advantage of the second link is that it immediately provides you with a sense of direction while learning a language. Code Academy's Python tutorial is really nice in providing interaction with your code. Regardless, you'll want to first gain a sense of syntax on your language of choice.

After you're familiar with at least one language, the next most important thing is to become familiar with data structures and algorithms. This book on Amazon is amazing for giving beginner advice in the area: http://www.amazon.com/gp/product/1468108867

The book is not overly complex and mathematical compared to many other books, and it provides a fairly reasonable foundation for any beginner. If you ever want to practice writing basic algorithms out (optional), visit Codility's lessons to try things out. Once you can comfortably complete some of their lessons with a high grade and understand their topics, you should be ready to dive into the math/finance side. I feel that at this point, the Max Dama paper is a great way to get an overview of the basics. Regardless of the financial instruments you're trading (I've mainly worked with equities), you'll need a sense of portfolio management. Here's two books that may be worth running through:

http://www.amazon.com/Quantitative-Equity-Portfolio-Management-Construction/dp/0071459391

http://www.amazon.com/Expected-Returns-Investors-Harvesting-Rewards/dp/1119990726

They're both equities based (and I could be wrong here about FX), but it's probably a good idea to get a sense of how to measure returns. Regardless of the asset class you're planning to trade, all algorithms should be rigorously backtested and simulated (traded with virtual money) prior to being moved into production, and one of the best ways to improve your outcome is to know how to measure the returns and risks associated in your backtesting/simulations.

Hope this isn't too much information at once, but it should be a start. The first two courses throw-it-out mentioned in Coursera is a great start too.

Edit: I'd also take some time to browse some of the links on the sidebar in this subreddit. Some of those links are immensely helpful (especially the Statistical Learning one). Many of the strategy links are fairly easy reads and are recommended as well.

u/Rufio6 · 6 pointsr/finance

Expected Returns

AQR publications (Cliff Asness / Antii Ilmanen): https://www.aqr.com/library

Other than that, CFA material. The CFA stuff that is relevant is golden, the rest of it is just good to know. If you don't want to be a charterholder, you can still find sets of the books for $180 or so.

u/josiahstevenson · 5 pointsr/badeconomics
  • Expected Returns by antti Ilmanen
  • Asset Management by Andrew Ang
  • maybe Asset Pricing by Cochrane

    The last one doesn't really give you an overview of real-world institutional details as much, whereas Ang and Ilmanen both have really extensive introductions to this. Both Ang and Ilmanen spend some time on the economics of why this works -- utility-function-based explanations of why we should expect things to have positive expected returns anyway -- but they add a lot on how this looks IRL (how the relevant instruments and markets for them actually work, what classes of investors tend to buy them and why, what kinds of risk factors they're exposed to, etc)

    Edit: I recommend against Ben Graham's book actually if you want a broad overview. I don't think he even touches factor investing, for example. Focuses on how to pick stocks by valuing the company on a fundamental basis which...shouldn't add value. Has little tie in to academic finance, unlike Ilmanen and Ang which both give you a good idea of what the seminal papers in various areas are and what's going on in the literature lately.
u/erlo · 5 pointsr/finance

I recommend you read this book.

Call it what you want. "Bullshit" or whatever. I don't disagree with Buffet btw, on a total return basis it's hard to beat the market. But if you care about other metrics, and you have access to cheap funding, and you're trying to preserve capital, then it's not "bullshit". There's a reason good pension funds are heavily diversified.

But yes, let's be abrasive because people don't agree with you.

u/jevonbiggums10 · 3 pointsr/math

Currency trading is a really elegant area of finance that, if you're talented, can lead to great rewards. Part of the reason for this is that currency markets trade 24/7, have almost unlimited liquidity (daily trading volume of over 4 trillion USD), and if you're in the right place, you can get access to very large leverage.

The mathematics of simple currency trading is also not all that complex. Don't get bogged down trying to learn the most complicated math! You are doing exactly the right thing by getting your hands dirty and actually trying to build strategies. If there were precise mathematics that governed how to predict the direction of an arbitrary pair wouldn't everyone do that? Think about the implications of this in terms of arbitrage (and why arbitrage makes any model that precisely predicts the future value of a currency pair impossible).

The best source for getting your feet wet in how currency trading is done, and what sorts of strategies work (i.e. carry strategies) is to read Anti Ilmanen's book. See chapter 13.

u/[deleted] · 3 pointsr/investing

This is actually a harder question to answer than it sounds. The problem is that there are two sets of variables: expected and historical. I'm sure you learned in finance class that an expected variable, ie expected returns is what you would expect after running an infinite number of trials. Even though this is a fixed constant, it is unobservable and we do not know exactly what this number is. We only have the historical returns, which are easily gleaned from past data.


So historically speaking, the literature is pretty clear cut: the average passive investor outperforms that average active investor. However, does this mean that the expected returns of passive investors is greater than active investors? I do not believe this is the case and the historical outperformance may just be because in the data samples used, large percent of market participants are active investors and thus on average, they will underperform due to fierece competition. If we flip the model so that large number of market participants are passive instead, I believe we would see active investors profiting in a greater manner. Hope this helps.

If this is a topic of interest, read Ilmanen's Expected Returns.

u/sirbragsalot · 2 pointsr/Accounting

HOLY SHIT YOU CAN READ?!

EDIT: Finish this in two days. I dare you.

u/econ_learner · 2 pointsr/Economics
  1. Academic finance and academic economics are joined at the hip. PhD students in Economics programs get jobs as Finance professors, and Finance professors will publish in Economics journals. Finance research uses the tools of economics, both theoretical (optimizing agents, equilibrium) and empirical (econometrics).

  2. Finance research and finance industry is less connected. PhDs in Economics tend to go into economist positions in banks, or analyst positions on the buy side. Their perspectives are very different from the traders who are making markets or executing orders for customers.

  3. Do you want a practical introduction, or do you want an introduction into how economists study those topics? If the former, try /r/investing or /r/finance. I hear good things about Expected Returns.

  4. For behavioral finance, some old-ish classics are Shiller's Market Volatility and Shleifer's Inefficient Markets. A more recent text might be Pedersen's Efficiently Inefficient.
u/krappa · 1 pointr/UKPersonalFinance

It's been a while now, but I think I got the idea from Expected Returns by Antti Ilmanen; it is an interesting read but it's quite heavy, so I only made it to chapter 4.

u/nuclear_throwaway · 1 pointr/UKPersonalFinance

I think that's just a summary (I have the hardback and it's 570 pages long). The full one is here: https://www.amazon.co.uk/Expected-Returns-Investors-Harvesting-Rewards/dp/1119990726/ref=pd_bxgy_14_img_2?_encoding=UTF8&psc=1&refRID=TFYJX39XTQ0RZB6NZVFK

It's good stuff.