Macroeconomic History

MFP: Part II Readings

(Essential Reading in red font)

General References

1. Antti Ilmanen, Expected Returns: An Investor’s Guide to Harvesting Market Returns, 2011

1. Zvi Bodie, Alex Kane, and Alan Marcus, Essentials of Investments, 2010

II.1 Macro Variables/Policies and Asset Returns:

1. World Bank, Dealing with the Challenges of Macro Financial Linkages in Emerging Markets: http://www.worldbank.org/en/topic/poverty/publication/dealing-with-the-challenges-of-macro-financial-linkages-in-emerging-markets 

Or the summary/overview:

http://www.worldbank.org/content/dam/Worldbank/document/Poverty%20documents/EMERGING_WB_Overview_01-16.pdf 

1. Unconventional Monetary Policies—Recent Experience and Prospects, IMF April 2013:   https://www.imf.org/external/np/pp/eng/2013/041813a.pdf

1. Michael Joyce, David Miles, Andrew Scott and Dimitri Vayanos, Quantitative Easing and UMP – An Introduction, The Economic Journal, Nov 2012:  https://workspace.imperial.ac.uk/business-school/Public/people/dmiles/Analytical_6616470_1.PDF 

II.2 Main Inputs for Expected Return:

1. Antti Ilmanen, Expected Returns: An Investor’s Guide to Harvesting Market Returns, 2011

1. Chapter 1 (for overall summary of the issues)
2. Chapter 2 and 3 - historical returns series and what they can/can’t tell us
3. Chapter 5 - rational theories on expected returns
4. Chapter 21 - forward-looking measures of expected returns

II.3 Different Lenses on Asset Returns:

1. Antti Ilmanen, Expected Returns: An Investor’s Guide to Harvesting Market Returns, 2011

1. Part II (not compulsory now but very good for future reference).

1. Credit Suisse Global Investment Returns Yearbook 2015: https://publications.credit-suisse.com/tasks/render/file/?fileID=AE924F44-E396-A4E5-11E63B09CFE37CCB 

II.4 Simple Approaches and Models:

1. JP Morgan Asset Management, Long Term Capital Market Returns Assumptions, 2015: https://am.jpmorgan.com/gi/getdoc/1413613727995 

1. BNY Mellon Investment Management, 10-Year Capital Market Return Assumptions 2015: http://us.bnymellonam.com/core/library/documents/knowledge/market_commentary/2015_ten_year_capital_market_assumptions.pdf 

1. Pinebridge Investment,  Capital Market Line Q4 2014: http://www.pinebridge.com/pdfs/insights/capital-market-line_abridged-4q14.pdf

1. Blackrock, Strategic Perspectives: A Practical Portfolio Framework for Long-Term Investors: https://www.blackrock.com/institutions/en-axj/literature/market-commentary/strategic-perspectives-mar-2015-axj.pdf 

1. Bernanke Speech on Long-Term Interest Rates, March 1, 2013: http://www.federalreserve.gov/newsevents/speech/bernanke20130301a.htm 

1. Roger G. Ibbotson and Peng Chen, Long-Run Stock Returns: Participating in the Real Economy, Financial Analysts Journal, Jan/Feb 2003

Other references

1. Long-term return on US T-bill, bonds, and equity from Aswath Damodaran: http://pages.stern.nyu.edu/~adamodar/New_Home_Page/datafile/histretSP.html