{"id":24132890,"url":"https://github.com/justinmshea/expectedreturns","last_synced_at":"2026-02-15T08:32:56.884Z","repository":{"id":42646785,"uuid":"248428417","full_name":"JustinMShea/ExpectedReturns","owner":"JustinMShea","description":null,"archived":false,"fork":false,"pushed_at":"2025-08-12T09:34:30.000Z","size":25667,"stargazers_count":54,"open_issues_count":14,"forks_count":21,"subscribers_count":11,"default_branch":"master","last_synced_at":"2025-10-09T17:40:35.766Z","etag":null,"topics":[],"latest_commit_sha":null,"homepage":null,"language":"HTML","has_issues":true,"has_wiki":null,"has_pages":null,"mirror_url":null,"source_name":null,"license":null,"status":null,"scm":"git","pull_requests_enabled":true,"icon_url":"https://github.com/JustinMShea.png","metadata":{"files":{"readme":"README.md","changelog":null,"contributing":null,"funding":null,"license":null,"code_of_conduct":null,"threat_model":null,"audit":null,"citation":null,"codeowners":null,"security":null,"support":null,"governance":null,"roadmap":null,"authors":null,"dei":null,"publiccode":null,"codemeta":null,"zenodo":null,"notice":null,"maintainers":null,"copyright":null,"agents":null,"dco":null,"cla":null}},"created_at":"2020-03-19T06:34:00.000Z","updated_at":"2025-10-07T14:09:49.000Z","dependencies_parsed_at":"2024-01-25T05:09:26.976Z","dependency_job_id":"136a8c15-4344-4f4e-a736-8cafede4cd03","html_url":"https://github.com/JustinMShea/ExpectedReturns","commit_stats":null,"previous_names":[],"tags_count":0,"template":false,"template_full_name":null,"purl":"pkg:github/JustinMShea/ExpectedReturns","repository_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/JustinMShea%2FExpectedReturns","tags_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/JustinMShea%2FExpectedReturns/tags","releases_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/JustinMShea%2FExpectedReturns/releases","manifests_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/JustinMShea%2FExpectedReturns/manifests","owner_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners/JustinMShea","download_url":"https://codeload.github.com/JustinMShea/ExpectedReturns/tar.gz/refs/heads/master","sbom_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/JustinMShea%2FExpectedReturns/sbom","scorecard":null,"host":{"name":"GitHub","url":"https://github.com","kind":"github","repositories_count":286080680,"owners_count":29473718,"icon_url":"https://github.com/github.png","version":null,"created_at":"2022-05-30T11:31:42.601Z","updated_at":"2026-02-15T06:58:05.414Z","status":"ssl_error","status_checked_at":"2026-02-15T06:58:05.085Z","response_time":118,"last_error":"SSL_connect returned=1 errno=0 peeraddr=140.82.121.5:443 state=error: unexpected eof while reading","robots_txt_status":"success","robots_txt_updated_at":"2025-07-24T06:49:26.215Z","robots_txt_url":"https://github.com/robots.txt","online":false,"can_crawl_api":true,"host_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub","repositories_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories","repository_names_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repository_names","owners_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners"}},"keywords":[],"created_at":"2025-01-11T22:38:45.697Z","updated_at":"2026-02-15T08:32:56.867Z","avatar_url":"https://github.com/JustinMShea.png","language":"HTML","funding_links":[],"categories":[],"sub_categories":[],"readme":"[![Travis build status](https://travis-ci.org/JustinMShea/ExpectedReturns.svg?branch=master)](https://travis-ci.org/JustinMShea/ExpectedReturns)\n\n# GSoC-Expected-Returns-Ilmanen\n\n\n## Background\n\nA lack of portfolio diversification can severely impact the financial goals and \nlong term plans for individual retirement accounts, University Endowment funds, \nand Municipal Pension funds alike. And as financial market tumult surrounding `CoVid-19` has \nrevealed, many investors are often not as diversified as they initially believe. \nWhile advisors are adept at packaging various financial products into \n\"diversified portfolios\", relationships among various asset classes can change \nsuddenly during times of market crisis, upending the very diversification\nan otherwise meticulous crafted portfolio was built to provide. Why does \ndiversification fail for so many precisely when it's most needed and what can be done? \n\nIn this project, you shall explore and implement several potential solutions for\nenhancing portfolio diversification with `R`, as discussed in one of the best \ninvestment references of the recent decade, \n[Expected Returns: _An Investors Guide to Harvesting Market Rewards_](https://www.wiley.com/en-us/Expected+Returns%3A+An+Investor%27s+Guide+to+Harvesting+Market+Rewards-p-9781119990727) by [Antti Ilmanen](https://www.aqr.com/About-Us/OurFirm/Antti-Ilmanen).\n\nFrom the Description;\n\n\u003e This comprehensive reference delivers a toolkit for harvesting market rewards from a wide range of investments. Written by a world-renowned industry expert, the reference discusses how to forecast returns under different parameters. Expected returns of major asset classes, investment strategies, and the effects of underlying risk factors such as growth, inflation, liquidity, and different risk perspectives, are also explained. Judging expected returns requires balancing historical returns with both theoretical considerations and current market conditions. Expected Returns provides extensive empirical evidence, surveys of risk-based and behavioral theories, and practical insights.\n\nThe objective will be to reproduce key approaches suggested by the text and test performance on current market conditions with `R`. We will use functions found in popular `R` in finance packages such as `PerformanceAnalytics`, `FactorAnalytics`, and `PortfolioAnalytics`. \nIn some cases, we will also need to write additional functions to streamline workflows and implement solutions.\n\n\n## Areas of Interest\n\nWe'll focus on three broad sections with specific subsection to explore\n\n- Approaches to Dynamic asset weighting\n  * Value-oriented equity selection\n  * Currency Carry\n  * Commodity Momentum and Trend following\n  \n- Return Factors and their risk premia  \n  * Inflation factor and inflation premium\n  * Liquidity factor and illiquidity premium\n  * Tail risks (volatility, correlation, skewness)\n\n- Time-Varying Expected Returns\n  * Endogenous return and risk: Feedback effects on expected returns\n  * Tactical return forecasting models\n  * Cyclical variation in asset returns\n\n\n### Approaches to Dynamic asset weighting\n\n**Value-oriented equity selection**, chapter 12.\n\nOn sector neutrality, style timing, and other refinements, see Asness et al. (2000),\nBarberis–Shleifer (2003), Cohen–Polk–Vuolteenraho (2003), Qian–Hua–Sorensen\n(2007), Lancetti–Nordquist (2008), Phalippou (2008), and Mezrich (2010).\n\nOn the link to distress and credit risk, see Campbell–Hilscher–Szilagyi (2008) \nand Avramov et al. (2010). \n\nOn value strategy’s success outside equity selection, see Arnott–Hsu–West (2008), Asness–Moskowitz–Pedersen (2009), and Blitz–van Vliet (2009).\n\n**Currency carry strategies**, Chapter 13.\n\nThe academic literature on currency carry had already begun by around 1980 but \nthe renaissance occurred in recent years with notable papers by Lustig–Verdelhan \n(2007), Brunnermeier–Nagel–Pedersen (2008), Farhi et al. (2009), Jurek (2009), \nand Burnside et al. (2010a). \n\nAmong practitioner work, see Bilson (1993) and Nordvig (2007). \n\nOn other predictors than carry, see Ilmanen–Sayood (2002), Yilmaz (2009), and \nAng–Chen (2010). \n\nOn carry strategies in various asset classes, see Cochrane (1999), \nAsness–Moskowitz–Pedersen (2009), and Bacchetta–Mertens–van Wincoop (2009).\n\n**Commodity Momentum and trend following**, Chapter 14.\n\nMany authors have in recent years analyzed commodity momentum strategies: \nErb–Harvey (2006), Ribeiro–Normand–Loeys (2006), Gorton–Hayashi–Rouwenhorst (2007), \nMiffre–Rallis (2007), Fuertes–Miffre–Rallis (2010), and Shen–Szakmary–Sharma (2010). \n\nFor a broad survey, see Schneeweis–Kazemi–Spurgin (2008).\n\nOn momentum or trend-following strategies in broader contexts, see \nAsness–Liew–Stevens (1997), Griffin–Ji–Martin (2005), Bhojraj–Swaminathan (2006), \nRibeiro–Loeys (2006), Blitz–van Vliet (2008), Pukthuanthong–Levich–Thomas (2007), \nAsness–Moskowitz–Pedersen (2009), and Moskowitz–Ooi–Pedersen (2010). \nThe last two studies also review explanations of why these strategies work so well.\n\nOn lead–lag relations across economically related firms or countries, see \nCohen–Frazzini (2008) and Rizova (2010).\n\n### Return Factors and their risk premia\n\n**Inflation factor and inflation premium**, Chapter 17\n\nFor a historical perspective on the inflation factor, see Ferguson (2007),\nGreenspan (2007), and Reinhart–Rogoff (2008, 2009). \n\nOn the economic impact of inflation, see Barro (1995). \n\nOn the relation between inflation and equity returns, see Fama–Schwert (1979),\nModigliani–Cohn (1979), Boudoukh–Richardson (1993), Campbell–Vuolteenaho\n(2004b), Piazzesi–Schneider (2007), Bekaert–Engstrom (2010), and Lee (2009). \n\nOn different assets’ inflation-hedging abilities at various horizons, see Normand (2006),\nAmenc–Martellini–Ziemann (2009), Briere–Signori (2009), Bekaert–Wang (2010), and\nMartin (2010).\n\n**Liquidity factor and illiquidity premium**, Chatper 18.\n\nGiven the growing interest on liquidity, an excellent survey by \nAmihud–Mendelson–Pedersen (2005) is gradually becoming outdated. \n\nOn the relation of liquidity premia with business and monetary cycles, see \nJensen–Moorman (2010) and Naes–Skjeltorp–Odegaard (2011). \n\nOn time-varying liquidity premia, see Watanabe–Watanabe (2008). \n\nOn market timing using liquidity indicators, see Guo et al. (2010). \n\nOn the profits of liquidity provision strategies, see Nagel (2009) and Rinne–Suominen (2010).\n\nOn liquidity droughts, see Brunnermeier (2009), Brunnermeier–Pedersen (2009),\nGarleanu–Pedersen (2009a), Nagel (2009), Pedersen (2009), and Duffie (2010).\n\n**Tail risks (volatility, correlation, skewness)**, Chapter 19\n\nOn the time series relation between volatility and future market returns, see \nFrench–Schwert–Stambaugh (1987), Glosten–Jagannathan–Runkle (1993), Whitelaw (1994), Ghysels–Santa-Clara–Valkanov(2005), and Bollerslev–Zhou (2006).\n\nOn leverage constraints and the relative performance of low-beta and high-beta\nassets, see Black (1972), Baker–Bradley–Wurgler (2010), and Frazzini–Pedersen (2010).\n\nOn correlation-related patterns, see Deng (2007), Driessen–Maenhout–Vilkov (2009),\nKrishnan–Petkova–Ritchken (2008), Pollet–Wilson (2008) for equity markets and\nBhansali–Gingrich–Longstaff (2008), Longstaff–Rajan (2008), Coval–Jurek–Stafford\n(2009) for debt markets. \n\nOn hedge fund sensitivities to higher moments, see Bondarenko (2004), \nAgarwal–Bakshi–Huij (2007), Lo (2008), and Buraschi–Kosowski–Trojani\n(2010). \n\n### Time-Varying Expected Returns\n\n**Endogenous return and risk: Feedback effects on expected returns**, Chapter 20\n\nOn feedback effects that create endogenous return and risk, see Shiller (2000), \nLo (2004), Soros (2008), Brunnermeier–Nagel–Pedersen (2008), Brunnermeier–Pedersen (2009), Danielsson–Shin–Zigrand (2009), Geanakoplos (2009), Summers (2009), and Shin (2010). \n\nOn crowded trades, see Perold–Sharpe (1988), Khandani–Lo (2007), Pedersen (2009), \nand Stein (2009). \n\nOn short-term momentum and long-term reversals, see Cutler–Poterba–Summers (1991) \nand Ghayur et al. (2010).\n\n**Tactical return forecasting models**, Chapter 24: \n\nFor examples of simple forecasting models in the bond market context, see\nIlmanen (1997), Ilmanen–Sayood (2002), and Naik–Balakrishnan–Devarajan (2009).\n\nFor an example of fair value models, see Panigirtzoglou–Loeys (2005). \n\nFor books on quantitative forecasting models and trading approaches, all with \nequity orientation, see Grinold–Kahn (1999), Qian–Hua–Sorensen (2007), and \nFabozzi–Focardi–Kolm (2010). \n\nOn factor-mimicking portfolios, see Melas–Suryanarayanan–Cavaglia (2010). \n\nOn econometric issues see Campbell–Lo–McKinlay (1996) and Cochrane (2005a).\n\n**Cyclical variation in asset returns**, Chatper 26.\n\nFor examples of similar business cycle analysis, see Naik–Devarajan (2009) and \nLustig–Verdelhan (2010). See Kaya–Lee–Pornrojnangkool (2010) and Ang–Bekaert \n(2002) for applications of regime-switching models. \n\n\n## References\n\n[Ilmanen, Anti. 2011. “Expected Returns.” John Wiley \u0026 Sons Ltd. ISBN: 978-1-119-99072-7](https://www.wiley.com/en-us/Expected+Returns%3A+An+Investor%27s+Guide+to+Harvesting+Market+Rewards-p-9781119990727)\n\n","project_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fjustinmshea%2Fexpectedreturns","html_url":"https://awesome.ecosyste.ms/projects/github.com%2Fjustinmshea%2Fexpectedreturns","lists_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fjustinmshea%2Fexpectedreturns/lists"}