The New Science of Asset Allocation (eBook, PDF)
Risk Management in a Multi-Asset World
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The New Science of Asset Allocation (eBook, PDF)
Risk Management in a Multi-Asset World
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A feasible asset allocation framework for the post 2008 financial world Asset allocation has long been a cornerstone of prudent investment management; however, traditional allocation plans failed investors miserably in 2008. Asset allocation still remains an essential part of the investment arena, and through a new approach, you'll discover how to make it work. In The New Science of Asset Allocation, authors Thomas Schneeweis, Garry Crowder, and Hossein Kazemi first explore the myths that plague this field then quickly move on to examine how the practice of asset allocation has failed in…mehr
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- Produktdetails
- Verlag: John Wiley & Sons
- Seitenzahl: 320
- Erscheinungstermin: 18. Februar 2010
- Englisch
- ISBN-13: 9780470608395
- Artikelnr.: 37297903
- Verlag: John Wiley & Sons
- Seitenzahl: 320
- Erscheinungstermin: 18. Februar 2010
- Englisch
- ISBN-13: 9780470608395
- Artikelnr.: 37297903
the Beginning. A Review of the Capital Asset Pricing Model. Asset Pricing
in Cash and Derivative Markets. Models of Return and Risk Post-1980. Asset
Allocation in the Modern World. Product Development: Yesterday, Today, and
Tomorrow. Notes. Chapter 2 Measuring Risk. What Is Risk? Traditional
Approaches to Risk Measurement. Classic Sharpe Ratio. Other Measures of
Risk Assessment. Portfolio Risk Measures. Other Measures of Portfolio Risk
Measurement. Value at Risk. Notes. Chapter 3 Alpha and Beta, and the Search
for a True Measure of Manager Value. What Is Alpha? Issues in Alpha and
Beta Determination. Problems in Alpha and Beta Determination. Multi-Factor
Return Estimation: An Example. Tracking Alternatives in Alpha
Determination. Notes. Chapter 4 Asset Classes: What They Are And Where To
Put Them. Overview and Limitations of the Existing Asset Allocation
Process. Asset Allocation in Traditional and Alternative Investments: A
Road Map. Historical Return and Risk Attributes and Strategy Allocation.
Traditional Stock/Bond Allocation versus Multi-Asset Allocation. Risk and
Return Comparisons Under Differing Historical Time Periods. Extreme Market
Sensitivity. Market Segment or Market Sensitivity: Does It Matter? How New
Is New? Notes. Chapter 5 Strategic, Tactical, and Dynamic Asset Allocation.
Asset Allocation Optimization Models. Strategic Asset Allocation. Tactical
Asset Allocation. Dynamic Asset Allocation. Notes. Chapter 6 Core and
Satellite Investment: Market/Manager Based Alternatives. Determining the
Appropriate Benchmarks and Groupings. Sample Allocations. Core Allocation.
Satellite Investment. Algorithmic and Discretionary Aspects of
Core/Satellite Exposure. Replication Based Indices. Peer Group Creation -
Style Purity. Notes. Chapter 7 Sources of Risk and Return in Alternative
Investments. Asset Class Performance. Hedge Funds. Managed Futures
(Commodity Trading Advisors). Private Equity. Real Estate. Commodities.
Notes. Chapter 8 Return and Risk Differences among Similar Asset Class
Benchmarks. Making Sense Out of Traditional Stock and Bond Indices. Private
Equity. Real Estate. Alternative REIT Investments Indices. Commodity
Investment. Hedge Funds. Investable Manager Based Hedge Fund Indices. CTA
Investment. Index versus Fund Investment: A Hedge Fund Example. Notes.
Chapter 9 Risk Budgeting and Asset Allocation. Process of Risk Management:
Multi-Factor Approach. Process of Risk Management: Volatility Target. Risk
Decomposition of Portfolio. Risk Management Using Futures. Risk Management
Using Options. Covered Call. Long Collar. Notes. Chapter 10 Myths of Asset
Allocation. Investor Attitudes, not Economic Information, Drive Asset
Values. Diversification Across Domestic or International Equity Securities
is Sufficient. Historical Security and Index Performance Provides a Simple
Means to Forecast Future Excess Risk-Adjusted Returns. Recent Manager Fund
Return Performance Provides the Best Forecast of Future Return. Superior
Managers or Superior Investment Ideas Do Not Exist. Performance Analytics
Provide a Complete Means to Determine Better Performing Managers.
Traditional Assets Reflect "Actual Values" Better Than Alternative
Investments. Stock and Bond Investment Means Investors Have No Derivatives
Exposure. Stock and Bond Investment Removes Investor Concerns as to
Leverage. Given the Efficiency of the Stock and Bond Markets, Managers
Provide No Useful Service. Investors Can Rely on Academics and Investment
Professionals to Provide Current Investment Models and Theories.
Alternative Assets Are Riskier Than Equity and Fixed Income Securities.
Alternative Assets Such as Hedge Funds Are Absolute Return Vehicles.
Alternative Investments Such as Hedge Funds Are Unique in Their Investment
Strategies. Hedge Funds Are Black Box Trading Systems Unintelligible to
Investors. Hedge Funds Are Traders, Not Investment Managers. Alternative
Investment Strategies Are So Unique That They Cannot be Replicated. It
Makes Little Difference Which Traditional or Alternative Indices Are Used
in an Asset Allocation Model. Modern Portfolio Theory Is Too Simplistic to
Deal with Private Equity, Real Estate, and Hedge Funds. Notes. Chapter 11
The Importance of Discretion in Asset Allocation Decisions. The Why and
Wherefore of Asset Allocation Models. Value of Manager Discretion. Manager
Evaluation and Review: The Due Diligence Process. Madoff: Due Diligence
Gone Wrong or Never Conducted. Notes. Chapter 12 Asset Allocation: Where Is
It Headed? An Uncertain Future. What Is the Definition of Order? Costs and
Benefits. Today's Issue. Possible Governmental and Private Fund Responses
to Current Market Concerns. Note. Appendix: Risk and Return of Asset
Classes and Risk Factors Through Business Cycles. Glossary: Asset Class
Benchmarks. Bibliography. About the Authors. Index.
the Beginning. A Review of the Capital Asset Pricing Model. Asset Pricing
in Cash and Derivative Markets. Models of Return and Risk Post-1980. Asset
Allocation in the Modern World. Product Development: Yesterday, Today, and
Tomorrow. Notes. Chapter 2 Measuring Risk. What Is Risk? Traditional
Approaches to Risk Measurement. Classic Sharpe Ratio. Other Measures of
Risk Assessment. Portfolio Risk Measures. Other Measures of Portfolio Risk
Measurement. Value at Risk. Notes. Chapter 3 Alpha and Beta, and the Search
for a True Measure of Manager Value. What Is Alpha? Issues in Alpha and
Beta Determination. Problems in Alpha and Beta Determination. Multi-Factor
Return Estimation: An Example. Tracking Alternatives in Alpha
Determination. Notes. Chapter 4 Asset Classes: What They Are And Where To
Put Them. Overview and Limitations of the Existing Asset Allocation
Process. Asset Allocation in Traditional and Alternative Investments: A
Road Map. Historical Return and Risk Attributes and Strategy Allocation.
Traditional Stock/Bond Allocation versus Multi-Asset Allocation. Risk and
Return Comparisons Under Differing Historical Time Periods. Extreme Market
Sensitivity. Market Segment or Market Sensitivity: Does It Matter? How New
Is New? Notes. Chapter 5 Strategic, Tactical, and Dynamic Asset Allocation.
Asset Allocation Optimization Models. Strategic Asset Allocation. Tactical
Asset Allocation. Dynamic Asset Allocation. Notes. Chapter 6 Core and
Satellite Investment: Market/Manager Based Alternatives. Determining the
Appropriate Benchmarks and Groupings. Sample Allocations. Core Allocation.
Satellite Investment. Algorithmic and Discretionary Aspects of
Core/Satellite Exposure. Replication Based Indices. Peer Group Creation -
Style Purity. Notes. Chapter 7 Sources of Risk and Return in Alternative
Investments. Asset Class Performance. Hedge Funds. Managed Futures
(Commodity Trading Advisors). Private Equity. Real Estate. Commodities.
Notes. Chapter 8 Return and Risk Differences among Similar Asset Class
Benchmarks. Making Sense Out of Traditional Stock and Bond Indices. Private
Equity. Real Estate. Alternative REIT Investments Indices. Commodity
Investment. Hedge Funds. Investable Manager Based Hedge Fund Indices. CTA
Investment. Index versus Fund Investment: A Hedge Fund Example. Notes.
Chapter 9 Risk Budgeting and Asset Allocation. Process of Risk Management:
Multi-Factor Approach. Process of Risk Management: Volatility Target. Risk
Decomposition of Portfolio. Risk Management Using Futures. Risk Management
Using Options. Covered Call. Long Collar. Notes. Chapter 10 Myths of Asset
Allocation. Investor Attitudes, not Economic Information, Drive Asset
Values. Diversification Across Domestic or International Equity Securities
is Sufficient. Historical Security and Index Performance Provides a Simple
Means to Forecast Future Excess Risk-Adjusted Returns. Recent Manager Fund
Return Performance Provides the Best Forecast of Future Return. Superior
Managers or Superior Investment Ideas Do Not Exist. Performance Analytics
Provide a Complete Means to Determine Better Performing Managers.
Traditional Assets Reflect "Actual Values" Better Than Alternative
Investments. Stock and Bond Investment Means Investors Have No Derivatives
Exposure. Stock and Bond Investment Removes Investor Concerns as to
Leverage. Given the Efficiency of the Stock and Bond Markets, Managers
Provide No Useful Service. Investors Can Rely on Academics and Investment
Professionals to Provide Current Investment Models and Theories.
Alternative Assets Are Riskier Than Equity and Fixed Income Securities.
Alternative Assets Such as Hedge Funds Are Absolute Return Vehicles.
Alternative Investments Such as Hedge Funds Are Unique in Their Investment
Strategies. Hedge Funds Are Black Box Trading Systems Unintelligible to
Investors. Hedge Funds Are Traders, Not Investment Managers. Alternative
Investment Strategies Are So Unique That They Cannot be Replicated. It
Makes Little Difference Which Traditional or Alternative Indices Are Used
in an Asset Allocation Model. Modern Portfolio Theory Is Too Simplistic to
Deal with Private Equity, Real Estate, and Hedge Funds. Notes. Chapter 11
The Importance of Discretion in Asset Allocation Decisions. The Why and
Wherefore of Asset Allocation Models. Value of Manager Discretion. Manager
Evaluation and Review: The Due Diligence Process. Madoff: Due Diligence
Gone Wrong or Never Conducted. Notes. Chapter 12 Asset Allocation: Where Is
It Headed? An Uncertain Future. What Is the Definition of Order? Costs and
Benefits. Today's Issue. Possible Governmental and Private Fund Responses
to Current Market Concerns. Note. Appendix: Risk and Return of Asset
Classes and Risk Factors Through Business Cycles. Glossary: Asset Class
Benchmarks. Bibliography. About the Authors. Index.