Asset Management: Portfolio Construction, Performance and Returns

Front Matter....Pages i-xix
Introduction....Pages 1-8
Performance of UK Equity Unit Trusts....Pages 9-35
A Demystification of the Black-Litterman Model: Managing Quantitative and Traditional Portfolio Construction....Pages 36-53
Tracking Error: Ex Ante Versus Ex Post Measures....Pages 54-62
Performance Clustering and Incentives in the UK Pension Fund Industry....Pages 63-94
Do Hedge Funds Add Value to a Passive Portfolio? Correcting for Non-Normal Returns and Disappearing Funds....Pages 95-126
The Performance of Value and Momentum Investment Portfolios: Recent Experience in the Major European Markets....Pages 127-163
The Performance of Value and Momentum Investment Portfolios: Recent Experience in the Major European Markets Part 2....Pages 164-190
Cointegration Portfolios of European Equities for Index Tracking and Market Neutral Strategies....Pages 191-223
Emerging Markets of South-East and Central Asia: Do They Still Offer a Diversification Benefit?....Pages 224-257
Measuring Investor Sentiment in Equity Markets....Pages 258-269
Incorporating Estimation Errors into Portfolio Selection: Robust Portfolio Construction....Pages 270-294
Best-Practice Pension Fund Governance....Pages 295-322
Fundamental Indexation in Europe....Pages 323-330
Fundamental Indexation: An Active Value Strategy in Disguise....Pages 331-338
A Robust Optimization Approach to Pension Fund Management....Pages 339-363
Back Matter....Pages 364-369