Managing Investment Portfolios: A Dynamic Process

0470080140......Page 1
CONTENTS......Page 8
FOREWORD: NICE PORTFOLIOS AND THE UNKNOWN FUTURE......Page 16
PREFACE......Page 20
ACKNOWLEDGMENTS......Page 22
PARENTAGE......Page 24
BENEFITS......Page 25
CONVENTIONAL WISDOM......Page 26
THE TEXTS......Page 27
1. INTRODUCTION......Page 30
2. INVESTMENT MANAGEMENT......Page 31
4. PORTFOLIO MANAGEMENT AS A PROCESS......Page 33
5. THE PORTFOLIO MANAGEMENT PROCESS LOGIC......Page 34
6. INVESTMENT OBJECTIVES AND CONSTRAINTS......Page 40
7. THE DYNAMICS OF THE PROCESS......Page 46
9. THE ETHICAL RESPONSIBILITIES OF PORTFOLIO MANAGERS......Page 47
1. INTRODUCTION......Page 49
2. CASE STUDY......Page 50
3. INVESTOR CHARACTERISTICS......Page 53
4. INVESTMENT POLICY STATEMENT......Page 63
5. AN INTRODUCTION TO ASSET ALLOCATION......Page 79
1. OVERVIEW......Page 92
2. PENSION FUNDS......Page 93
3. FOUNDATIONS AND ENDOWMENTS......Page 114
4. THE INSURANCE INDUSTRY......Page 130
5. BANKS AND OTHER INSTITUTIONAL INVESTORS......Page 149
1. INTRODUCTION......Page 157
2. ORGANIZING THE TASK: FRAMEWORK AND CHALLENGES......Page 158
3. TOOLS FOR FORMULATING CAPITAL MARKET EXPECTATIONS......Page 175
4. ECONOMIC ANALYSIS......Page 203
1. INTRODUCTION......Page 259
2. WHAT IS ASSET ALLOCATION?......Page 260
3. ASSET ALLOCATION AND THE INVESTOR’S RISK AND RETURN OBJECTIVES......Page 265
4. THE SELECTION OF ASSET CLASSES......Page 277
5. THE STEPS IN ASSET ALLOCATION......Page 283
6. OPTIMIZATION......Page 286
7. IMPLEMENTING THE STRATEGIC ASSET ALLOCATION......Page 325
8. STRATEGIC ASSET ALLOCATION FOR INDIVIDUAL INVESTORS......Page 328
9. STRATEGIC ASSET ALLOCATION FOR INSTITUTIONAL INVESTORS......Page 336
10. TACTICAL ASSET ALLOCATION79......Page 349
1. INTRODUCTION......Page 357
2. A FRAMEWORK FOR FIXED-INCOME PORTFOLIO MANAGEMENT......Page 358
3. MANAGING FUNDS AGAINST A BOND MARKET INDEX......Page 360
4. MANAGING FUNDS AGAINST LIABILITIES......Page 375
5. OTHER FIXED-INCOME STRATEGIES......Page 398
6. INTERNATIONAL BOND INVESTING......Page 419
7. SELECTING A FIXED-INCOME MANAGER......Page 431
1. INTRODUCTION......Page 436
2. THE ROLE OF THE EQUITY PORTFOLIO......Page 437
3. APPROACHES TO EQUITY INVESTMENT......Page 439
4. PASSIVE EQUITY INVESTING......Page 441
5. ACTIVE EQUITY INVESTING......Page 458
6. SEMIACTIVE EQUITY INVESTING......Page 484
7. MANAGING A PORTFOLIO OF MANAGERS......Page 487
8. IDENTIFYING, SELECTING, AND CONTRACTING WITH EQUITY PORTFOLIO MANAGERS......Page 495
9. STRUCTURING EQUITY RESEARCH AND SECURITY SELECTION......Page 503
1. INTRODUCTION......Page 506
2. ALTERNATIVE INVESTMENTS: DEFINITIONS, SIMILARITIES, AND CONTRASTS......Page 507
3. REAL ESTATE......Page 514
4. PRIVATE EQUITY/VENTURE CAPITAL......Page 527
5. COMMODITY INVESTMENTS......Page 545
6. HEDGE FUNDS......Page 559
7. MANAGED FUTURES......Page 586
8. DISTRESSED SECURITIES......Page 597
1. INTRODUCTION......Page 608
2. RISK MANAGEMENT AS A PROCESS......Page 609
3. RISK GOVERNANCE......Page 612
4. IDENTIFYING RISKS......Page 614
5. MEASURING RISK......Page 625
6. MANAGING RISK......Page 653
1. INTRODUCTION......Page 666
2. THE CONTEXT OF TRADING: MARKET MICROSTRUCTURE......Page 667
3. THE COSTS OF TRADING......Page 682
4. TYPES OF TRADERS AND THEIR PREFERRED ORDER TYPES......Page 692
5. TRADE EXECUTION DECISIONS AND TACTICS......Page 695
6. SERVING THE CLIENT’S INTERESTS......Page 707
7. CONCLUDING REMARKS......Page 710
1. INTRODUCTION......Page 711
2. MONITORING......Page 712
3. REBALANCING THE PORTFOLIO......Page 730
4. CONCLUDING REMARKS......Page 745
1. INTRODUCTION......Page 746
2. THE IMPORTANCE OF PERFORMANCE EVALUATION......Page 747
3. THE THREE COMPONENTS OF PERFORMANCE EVALUATION......Page 748
4. PERFORMANCE MEASUREMENT......Page 749
5. BENCHMARKS......Page 760
6. PERFORMANCE ATTRIBUTION......Page 773
7. PERFORMANCE APPRAISAL......Page 795
8. THE PRACTICE OF PERFORMANCE EVALUATION......Page 804
1. INTRODUCTION......Page 812
2. BACKGROUND OF THE GIPS STANDARDS......Page 813
3. PROVISIONS OF THE GIPS STANDARDS......Page 821
4. VERIFICATION......Page 869
5. GIPS ADVERTISING GUIDELINES......Page 874
6. OTHER ISSUES......Page 876
APPENDIX: GIPS GLOSSARY......Page 885
GLOSSARY......Page 893
REFERENCES......Page 917
ABOUT THE CFA PROGRAM......Page 932
ABOUT THE AUTHORS......Page 933
Index......Page 942