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Produktbild: Multi-Asset Investing

Multi-Asset Investing A Practitioner's Framework

122,99 €

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Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

16.05.2016

Verlag

John Wiley & Sons Inc

Seitenzahl

296

Maße (L/B/H)

25,2/17,9/2,5 cm

Gewicht

612 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-1-119-24152-2

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

16.05.2016

Verlag

John Wiley & Sons Inc

Seitenzahl

296

Maße (L/B/H)

25,2/17,9/2,5 cm

Gewicht

612 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-1-119-24152-2

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  • Produktbild: Multi-Asset Investing

  • Preface xiii

    About the Authors xv

    1. An Introduction to the Multi-Asset Investment Problem 1

    1.1 What is Multi-Asset Investing? 2

    1.2 The Conventional Structure 4

    1.3 Transitioning from Active Management to Exposure Allocation 4

    1.4 Creating an Improved Allocation Structure 5

    1.5 Constructing a Multi-Asset Portfolio to Manage Tail Risks 6

    1.6 Multi-Asset Investing in Emerging Markets 6

    1.7 From Multi-Asset Strategies to Multi-Asset Solutions 7

    1.8 Structuring a Multi-Asset Business 7

    2. The Traditional Allocation Structure 9

    2.1 The Traditional Investment Process 10

    2.2 The Asset Allocation Process 12

    2.3 The Belief in Diversification 13

    2.4 Harnessing Equity Risk Premium and the Investment Horizon 19

    2.5 Asset Classes as Mutually Exclusive Silos 20

    2.6 Organization Structure and Resource Allocation 20

    2.7 Implications for Skill Required in Asset Allocation 21

    2.8 Requirements for a Revised Allocation Solution 22

    2.9 Parallel Debates Created in the Search for a Revised Allocation Solution 23

    3. Transitioning from Active Management to Exposure Allocation 25

    3.1 A Historic Rationalization of Alpha and Beta 26

    3.2 Progression of Active Management 27

    3.3 Generalizing the Beta Concept 27

    3.4 The Demise of Asset Class Demarcated Allocation 28

    3.5 Implications for the Active Investment Process 29

    3.6 Investment Strategy Categorization 30

    3.6.1 Fundamental, Quantitative and Technical 30

    3.6.2 Top-down, Bottom-up and Relative Value 31

    3.7 Positioning of Alternative Investments 31

    3.8 Obsolescence of Portable Alpha 32

    3.9 Positioning of Fundamental Indexation and Smart Beta 32

    3.10 Risk in an Exposure-Based Framework 33

    3.11 Horizon-Based Organizational Demarcation 34

    3.12 Transition from an Asset-Based to an Exposure-Based Organization 34

    3.13 Conclusion 37

    4. Redefining Risk Premium for Multi-Asset Allocation Decisions 39

    4.1 Incumbent Risk and Risk Premium Frameworks 40

    4.2 Framework for the Concurrent Presence of All Asset Classes 41

    4.3 Incorporating Intra-Horizon Risk 42

    4.4 Risk and Return Premium for Allocation Silos 43

    4.5 Asset Class Premiums - Comparison of Traditional and Proposed Methods 45

    4.6 Asset Class Premiums - Impact of Different Investment Horizons 46

    4.7 Asset Class Risk - Comparison of Traditional and Proposed Methods 47

    4.8 Asset Class Risk - Impact of Different Investment Horizons 48

    4.9 Sovereign Risk and Risk Premium 49

    4.10 Application to Various Multi?]Asset Investment Problem Scenarios 51

    4.11 Conclusion 52

    5. A Multi-Strategy Allocation Structure 53

    5.1 Categories of Allocation Approaches 54

    5.2 A Multi-Strategy Framework for the Allocation Problem 58

    5.3 The Benefits of Strategy Diversification 59

    5.4 Individual Allocation Methodology Requirements 61

    5.5 Example of a Multi-Strategy Allocation Approach 63

    5.6 Conclusion 66

    6. A Fundamental Exposure Allocation Approach-Business Cycles 67

    6.1 The Passive Economic Model 67

    6.2 An Active Economic Approach 68

    6.3 A Five Cycle Asset Allocation Approach 69

    6.3.1 Cycle I - The Global Business Cycle 69

    6.3.2 Cycle II - The Local Business Cycle 70

    6.3.3 Cycle III - The Monetary Cycle 71

    6.3.4 Cycle IV - The Credit and Capex Cycles 73

    6.3.5 Cycle V - Market Cycle 73

    6.4 Cycle Limiting Risk Parameters 73

    6.5 Segregating the Core and Cyclical Components 74

    6.6 The Composite Five Cycle Framework 75

    7. A Systematic Exposure Allocation Process - Active Risk Budgeting 77

    7.1 Modeling the Business Cycle 78

    7.2 Modeling the Monetary Cycle 80

    7.3 Risk Adjustment for Equity Valuation 81

    7.4 Creating an Adjusted Risk Budgeting Allocation Methodology 82

    7.5 Simulated Performance Results 85

    7.6 Confirming Robustness of ARB Allocation Methodology 90

    7.6.1 Performance in Different Time Periods 90

    7.6.2 Performance in Different Market Conditions 90

    7.7 Implementation of a Drawdown Management Process 94

    8. Estimation of Asset Allocation 97

    8.1 The Consensus Asset Allocation Dataset 97

    8.2 Using Consensus Data for Allocation Decisions 98

    8.2.1 Basic Allocation Decisions 98

    8.2.2 Creating Tactical Allocation Changes 99

    8.2.3 Conviction Level in Allocation Stances 102

    8.2.4 Currency Hedge Ratio Decisions 103

    8.2.5 Separating the Poor Forecasters from the Accurate Ones 105

    8.2.6 Contrasting the Variety of Allocation Methodologies 105

    9. Optimization for Multi-Asset Portfolios 107

    9.1 Evolution of the Mean Variance Framework 107

    9.2 Portfolio Allocation and Measures of Performance 109

    9.3 A Utility-Based Approach 110

    9.4 The Fund Manager's Objectives 110

    9.5 The Efficient Frontier 112

    9.6 Optimal Portfolio Choice 113

    9.7 Incorporating the Constraints 114

    9.8 Tail Risk Constraint 115

    9.9 Event Risk 115

    9.10 Macro Risk 116

    9.11 Regime Risk 116

    9.12 Correlation Risk 117

    9.13 Formulation of the Optimization Problem 118

    9.14 The Unconstrained Allocation 119

    9.15 Applying the Constraints 121

    9.16 The Preferred Portfolio 127

    9.17 Conclusions 130

    10. Managing Tail Risk in Multi-Asset Portfolios 133

    10.1 Portfolio Management - The Practical Setting 134

    10.2 Asset Allocation - The Practical Setting 134

    10.3 Creating a Real Risk Measure: End-of-Horizon vs. Intra-Horizon Risk 135

    10.4 Model Uncertainty 139

    10.5 Stop-Losses 143

    10.6 Implementing Tail Risk Management 150

    10.7 Notation and Variables 153

    11. Multi-Asset Investing in Emerging Markets 155

    11.1 Observation 1: Sub-Optimal Geographic Categorization of Emerging Markets 155

    11.2 Observation 2: Inappropriate Sector Classification for Emerging Markets 156

    11.3 Observation 3: Stock Concentration in Equity Indices 158

    11.4 Observation 4: The Potential for Active Management 159

    11.5 Observation 5: Performance of Active Managers 159

    11.6 Observation 6: Over-Dependence on a Single Investment Decision 162

    11.7 Summary of Observations 162

    11.8 Pitfalls in Emerging Market Investment Frameworks 163

    11.9 An Improved Framework for Emerging Market Investments 164

    12. The Importance of Asset Allocation in Asian Equities 169

    12.1 Impact of Breadth on Portfolio Excess Return 169

    12.2 Impact of Varying Cross-Sectional Dispersion on Portfolio Excess Return 170

    12.3 The Relative Importance of Asset Allocation and Stock Selection 172

    12.4 Comparing the US and Asian Equity Investment Universe 173

    12.5 Conclusions 176

    13. Implementing a Multi-Asset Strategy - Active or Passive 179

    13.1 Investment Determinants for the Active-Passive Decision 179

    13.2 Asset Owner Constraints Impacting the Active-Passive Decision 184

    14. An Exposure-Based Risk Diagnostics Framework 185

    14.1 Shortcomings of a Traditional Risk Analysis Approach 185

    14.2 Evaluating Intended and Unintended Risk 186

    14.3 A Multi-Dimensional Risk Architecture 187

    14.3.1 Skill Analysis 188

    14.3.2 Investment Process Component Analysis 189

    14.3.3 Regime Risk Analysis 189

    14.3.4 Style and Factor Risk Analysis 190

    14.3.5 Macro Risk Analysis 190

    14.3.6 Stress Event Risk Analysis 191

    14.3.7 Peer Group Comparison Analysis 192

    15. Impact of Manager Compensation on Allocation Decisions 195

    15.1 Compensation Structure 196

    15.2 Managerial Constraints 197

    15.2.1 Managerial Skill 198

    15.2.2 Managerial Risk Preferences 198

    15.3 Optimal Activeness 199

    15.4 The Distribution of Performance 202

    15.5 The Importance of Skill 203

    15.6 Activeness and Age 205

    15.7 Implications for a Multi-Period Setting 206

    15.7.1 Compensation Structure 206

    15.7.2 The Distribution of Performance 206

    15.8 Examples of Managerial Contracts 208

    15.9 Conclusions 209

    16. From Multi-Asset Strategies to Multi-Asset Solutions 211

    16.1 Current Phase of Industry Transition 213

    16.2 Multi-Asset Solutions as an Industry Function 214

    16.3 Characteristics of a Multi-Asset Solution Provider 215

    16.4 Customization Parameters for an Investment Solution 215

    16.5 Requirements for a Standardized Implementation 219

    16.6 The Importance of Attributing Performance 219

    16.7 Conclusions 220

    17. Multi-Asset Investing for Private Wealth Assets 221

    17.1 The Private Wealth Multi-Asset Investment Problem 221

    17.2 Business Model and Organizational Issues 224

    17.3 Incumbent Investment Frameworks 226

    17.4 A Multi-Asset Private Wealth Investment Platform 227

    17.5 Goals-Based Allocation 228

    17.6 Implication for the Long-Only Active Manager 230

    17.7 Conclusions 230

    18. Structuring a Multi-Asset Investing Business 233

    18.1 Product Structure and Positioning 233

    18.2 Product Advantages and Disadvantages 235

    18.3 Product Investment Skills 236

    18.4 Target Client Segmentation 237

    18.5 Where Did Existing Products Fall Short? 238

    18.6 Client Segment - Expectations and Evaluation 242

    19. Competing for Better Institutional Investment Outcomes 245

    19.1 Mission and Beliefs - The First and Most Critical Step 246

    19.2 Frameworks: Traditional Asset Class Versus Risk Premium 248

    19.3 Linking Beliefs With Return Drivers and Portfolio Construction Decisions 250

    19.3.1 A New Perspective 252

    19.3.2 A Wider Opportunity Set for Exploiting Alpha 253

    19.3.3 Ensuring That Everything Is Consistent with Beliefs 255

    19.4 Governance Consideration 256

    19.4.1 Closing the Governance Gap: Build or Buy 256

    19.4.2 The Separation of Governing and Executive Functions 257

    19.5 Choosing an Implementation Route for Delegation 259

    19.5.1 Bundling Multiple Investment Strategies into Pooled Funds 259

    19.5.2 Fully Bespoke Implementation 260

    19.6 Monitoring 262

    19.7 Conclusions 263

    Bibliography and References 265

    Index 269