Foreword / Clifford Asness
Part one: Overview, historical returns and academic theories. (1. Introduction ; 2. Whetting the appetite: historical averages and forward-looking returns ; 3. The historical record: the past 20 years in a longer perspective ; 4. Road map to terminology ; 5. Rational theories on expected return determination ; 6. Behavioral finance ; 7. Alternative interpretations for return predictability)
Part two: A dozen case studies. (8. Equity risk premium ; 9. Bond risk premium ; 10. Credit risk premium ; 11. Alternative asset premia ; 12. Value-oriented equity selection ; 13. Currency carry ; 14. Commodity momentum and trend following ; 15. Volatility selling (on equity indices) ; 16. Growth factor and growth premium ; 17. Inflation factor and inflation premium ; 18. Liquidity factor and illiquidity premium; 19. Tail risks (volatility, correlation, skewness).
Part three: Back to broader themes. (20. Endogenous return and risk: feedback effects on expected returns ; 21. Forward-looking measures of asset returns ; 22. Interpreting carry or non-zero yield spreads ; 23. Survey-based subjective expected returns ; 24. Tactical return forecasting models ; 25. Seasonal regularities ; 26. Cyclical variation in asset returns ; 27. Secular trends and the next 20 years ; 28. Enhancing returns through managing risks, horizon, skill, and costs ; 29. Takeaways for long-horizon investors)
Appendices (A: World wealth ; B: Data sources and data series construction).
