Todd E. Petzel

Modern Portfolio Management (eBook, PDF)

Moving Beyond Modern Portfolio Theory

• Format: PDF

Produktbeschreibung

Get a practical and thoroughly updated look at investment and portfolio management from an accomplished veteran of the discipline In Modern Portfolio Management: Moving Beyond Modern Portfolio Theory, investment executive and advisor Dr. Todd E. Petzel delivers a grounded and insightful exploration of developments in finance since the advent of Modern Portfolio Theory. You'll find the tools and concepts you need to evaluate new products and portfolios and identify practical issues in areas like operations, decision-making, and regulation. In this book, you'll also: * Discover why Modern Portfolio Theory is at odds with developments in the field of Behavioral Finance * Examine the never-ending argument between passive and active management and learn to set long-term goals and objectives * Find investor perspectives on perennial issues like corporate governance, manager turnover, fraud risks, and ESG investing Perfect for institutional and individual investors, investment committee members, and fiduciaries responsible for portfolio construction and oversight, Modern Portfolio Management is also a must-read for fund and portfolio managers who seek to better understand their investors.

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Produktdetails

• Verlag: John Wiley & Sons
• Seitenzahl: 656
• Erscheinungstermin: 8. September 2021
• Englisch
• ISBN-13: 9781119818205
• Artikelnr.: 62584611

Autorenporträt

Todd E. Petzel, PhD, is Chief Economist and Co-Chief Investment Officer of Offit Capital, an independent Registered Investment Advisor serving multi-generational wealthy families and not-for-profit organizations. He was previously Chief Investment Officer at Azimuth Trust and Commonfund. He has taught at Macalester College, Stanford University, and the University of Chicago.

Inhaltsangabe

Preface (to come)

1 Introduction

1.1 Why another book on wealth management?

1.2 How has thinking evolved?

1.3 How did "accepted wisdom" let investors down in 2007-2009?

1.4 Make sure the focus of investing portfolios is consistent with the goals of the individual or institution.

SECTION A The Foundation of a Modern Portfolio

2 Setting Objectives

2.1 What are the goals of the investment process?

2.2 Sleep-well-at-night money

2.3 Long-term growth portfolios

2.3.1 The power of compound interest

2.3.2 More risk should mean more return

2.3.3 Losing 100% is "game over"

2.4 Beta - the power of the markets to grow

2.5 Stocks versus bonds as a source of beta - what is the beta of hedge funds?

2.6 Liquidity and access to the credit markets

2.7 Not-for-profits and spending rules

3 The Pillars of Portfolio Theory and their Limitations

3.1 Risk premiums across assets

3.2 The "Free Lunch" of diversification

3.3 Owning the "market" is the most risk efficient portfolio

3.4 The Efficient Market Hypothesis in its many forms; rational expectations

3.5 Modigliani-Miller

3.6 Riskless/Costless Market Arbitrage Pricing

3.7 Advances in Behavioral Finance

4 Building a Modern Portfolio in the Real World; defining your strategy

4.1 The Sleep-Well-at-Night portfolio

4.1.1 Defining how much is enough.

4.1.2 How to preserve wealth and maybe make a little bit along the way

4.1.3 The temptation to reach for yield

4.2 The Basics of the Growth Portfolio

4.2.1 Bonds

4.2.2 Stocks

4.2.3 Alternative Investments

4.2.4 Real Assets

4.2.5 Further variation across the investment landscape - currencies, credit, etc.

4.3 The Fundamental Liquidity Question

Why liquidity matters: your situation changes; the market changes; you simply change your mind; the credit market is not always there when you want it. Giving up liquidity in PE partnerships and hedge funds must be done in terms of alternative opportunities.

4.4 Establishing a portfolio mix and a strategy objective

4.4.1 Determining the goals for return and risk

4.4.2 Broad assumptions about the risk and return of investment options

4.4.3 The fallacy of relying on Optimizers

4.4.4 The fallacy of relying on Simulators

4.4.5 Establishing the Target Growth Portfolio

SECTION B Building the Modern Portfolio

5 Executing the Plan: The Devil is in the Details

5.1 How Much Diversification is Right?

5.1.1 Questioning the Efficient Markets Hypothesis? Do you have special information or skills?

5.1.2 Can you "own the market?" Do you want to given the tools available?

5.1.3 Real Diversification versus owning a bunch of different names

5.1.4 Real Diversification versus owning offsetting (and expensive) trades

5.2 Active managers versus the Index

5.2.1 What is alpha and how can you identify its presence? Sources of alpha

5.2.1.1 Better information

5.2.1.2 Better processing of information

5.2.1.3 More Efficient Execution

5.2.2 Beta and the reality of costs

5.2.3 Bucketing strategies and managers into narrow categories. What is achieved and at what cost?

5.2.4 Passive investing is great IF you want to own the index at that point in time.

5.2.5 Smart Beta - a quasi-active strategy

5.2.6 Active managers can avoid major pitfalls if they are not benchmark constra