This part explores expected investment returns, challenging the traditional focus on historical performance and asset class allocation. It argues for a broader approach, incorporating historical performance, academic theories (including behavioral finance and rational risk factors), and forward-looking indicators. The author examines various return sources: major asset classes, trading strategies (value, carry, momentum), and risk factors (growth, inflation, liquidity). The text analyzes historical return data, highlighting limitations and sample biases while proposing methods to improve estimations. Finally, it emphasizes the importance of understanding time-varying expected returns and the role of investor behavior.