Details

Managing Investment Portfolios


Managing Investment Portfolios

A Dynamic Process
CFA Institute Investment Series, Band 3 3. Aufl.

von: John L. Maginn, Donald L. Tuttle, Dennis W. McLeavey, Jerald E. Pinto

64,99 €

Verlag: Wiley
Format: PDF
Veröffentl.: 15.03.2007
ISBN/EAN: 9780470117163
Sprache: englisch
Anzahl Seiten: 960

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Beschreibungen

"A rare blend of a well-organized, comprehensive guide to portfolio management and a deep, cutting-edge treatment of the key topics by distinguished authors who have all practiced what they preach. The subtitle, A Dynamic Process, points to the fresh, modern ideas that sparkle throughout this new edition. Just reading Peter Bernstein's thoughtful Foreword can move you forward in your thinking about this critical subject." —Martin L. Leibowitz, Morgan Stanley "Managing Investment Portfolios remains the definitive volume in explaining investment management as a process, providing organization and structure to a complex, multipart set of concepts and procedures. Anyone involved in the management of portfolios will benefit from a careful reading of this new edition." —Charles P. Jones, CFA, Edwin Gill Professor of Finance, College of Management, North Carolina State University
Foreword xiii Preface xvii Acknowledgments xix Introduction xxi CHAPTER 1 The Portfolio Management Process and the Investment Policy Statement 1 1 Introduction 1 2 Investment Management 2 3 The Portfolio Perspective 4 4 Portfolio Management as a Process 4 5 The Portfolio Management Process Logic 5 5.1 The Planning Step 5 5.2 The Execution Step 8 5.3 The Feedback Step 9 5.4 A Definition of Portfolio Management 10 6 Investment Objectives and Constraints 11 6.1 Objectives 11 6.2 Constraints 15 7 The Dynamics of the Process 17 8 The Future of Portfolio Management 18 9 The Ethical Responsibilities of Portfolio Managers 18 CHAPTER 2 Managing Individual Investor Portfolios 20 1 Introduction 20 2 CaseStudy 21 2.1 The Inger Family 21 2.2 Inger Family Data 22 2.3 Jourdan’s Findings and Personal Observations 23 3 Investor Characteristics 24 3.1 Situational Profiling 25 3.2 Psychological Profiling 28 4 Investment Policy Statement 34 4.1 Setting Return and Risk Objectives 34 4.2 Constraints 38 5 An Introduction to Asset Allocation 50 5.1 Asset Allocation Concepts 50 5.2 Monte Carlo Simulation in Personal Retirement Planning 58 CHAPTER 3 Managing Institutional Investor Portfolios 63 1 Overview 63 2 PensionFunds 64 2.1 Defined-Benefit Plans: Background and Investment Setting 66 2.2 Defined-Contribution Plans: Background and Investment Setting 79 2.3 Hybrid and Other Plans 84 3 Foundations and Endowments 85 3.1 Foundations: Background and Investment Setting 86 3.2 Endowments: Background and Investment Setting 91 4 The Insurance Industry 101 4.1 Life Insurance Companies: Background and Investment Setting 101 4.2 Non–Life Insurance Companies: Background and Investment Setting 112 5 Banks and Other Institutional Investors 120 5.1 Banks: Background and Investment Setting 120 5.2 Other Institutional Investors: Investment Intermediaries 127 CHAPTER 4 Capital Market Expectations 128 1 Introduction 128 2 Organizing the Task: Framework and Challenges 129 2.1 A Framework for Developing Capital Market Expectations 129 2.2 Challenges in Forecasting 135 3 Tools for Formulating Capital Market Expectations 146 3.1 Formal Tools 146 3.2 Survey and Panel Methods 171 3.3 Judgment 173 4 Economic Analysis 174 4.1 Business Cycle Analysis 174 4.2 Economic Growth Trends 190 4.3 Exogenous Shocks 196 4.4 International Interactions 198 4.5 Economic Forecasting 202 4.6 Using Economic Information in Forecasting Asset Class Returns 210 4.7 Information Sources for Economic Data and Forecasts 227 CHAPTER 5 Asset Allocation 230 1 Introduction 230 2 What is Asset Allocation? 231 2.1 The Role of Strategic Asset Allocation in Relation to Systematic Risk 232 2.2 Strategic versus Tactical Asset Allocation 233 2.3 The Empirical Debate on the Importance of Asset Allocation 234 3 Asset Allocation and the Investor’s Risk and Return Objectives 236 3.1 Asset-Only and Asset/LiabilityManagement Approaches to Strategic Asset Allocation 236 3.2 Return Objectives and Strategic Asset Allocation 239 3.3 Risk Objectives and Strategic Asset Allocation 241 3.4 Behavioral Influences on Asset Allocation 245 4 The Selection of Asset Classes 248 4.1 Criteria for Specifying Asset Classes 248 4.2 The Inclusion of International Assets (Developed and Emerging Markets) 251 4.3 Alternative Investments 253 5 The Steps in Asset Allocation 254 6 Optimization 257 6.1 The Mean–Variance Approach 257 6.2 The Resampled Efficient Frontier 275 6.3 The Black–Litterman Approach 276 6.4 Monte Carlo Simulation 284 6.5 Asset/Liability Management 286 6.6 Experience-Based Approaches 295 7 Implementing the Strategic Asset Allocation 296 7.1 Implementation Choices 297 7.2 Currency Risk Management Decisions 298 7.3 Rebalancing to the Strategic Asset Allocation 298 8 Strategic Asset Allocation for Individual Investors 299 8.1 Human Capital 299 8.2 Other Considerations in Asset Allocation for Individual Investors 304 9 Strategic Asset Allocation for Institutional Investors 307 9.1 Defined-Benefit Plans 307 9.2 Foundations and Endowments 312 9.3 Insurance Companies 315 9.4 Banks 319 10 Tactical Asset Allocation 320 CHAPTER 6 Fixed-Income Portfolio Management 328 1 Introduction 328 2 A Framework for Fixed-Income Portfolio Management 329 3 Managing Funds Against a Bond Market Index 331 3.1 Classification of Strategies 331 3.2 Indexing (Pure and Enhanced) 332 3.3 Active Strategies 344 3.4 Monitoring/Adjusting the Portfolio and Performance Evaluation 346 4. Managing Funds Against Liabilities 346 4.1 Dedication Strategies 346 4.2 Cash-Flow Matching Strategies 365 5 Other Fixed-Income Strategies 369 5.1 Combination Strategies 369 5.2 Leverage 369 5.3 Derivatives-Enabled Strategies 373 6 International Bond Investing 390 6.1 Active versus Passive Management 391 6.2 Currency Risk 393 6.3 Breakeven Spread Analysis 398 6.4 Emerging Market Debt 399 7 Selecting a Fixed-Income Manager 402 7.1 Historical Performance as a Predictor of Future Performance 402 7.2 Developing Criteria for the Selection 403 7.3 Comparison with Selection of Equity Managers 403 CHAPTER 7 Equity Portfolio Management 407 1 Introduction 407 2 The Role of the Equity Portfolio 408 3 Approaches to Equity Investment 410 4 Passive Equity Investing 412 4.1 Equity Indices 413 4.2 Passive Investment Vehicles 422 5 Active Equity Investing 429 5.1 Equity Styles 429 5.2 Socially Responsible Investing 450 5.3 Long–Short Investing 450 5.4 Sell Disciplines/Trading 454 6 Semiactive Equity Investing 455 7 Managing a Portfolio of Managers 458 7.1 Core Satellite 461 7.2 Completeness Fund 464 7.3 Other Approaches: Alpha and Beta Separation 465 8 Identifying, Selecting, and Contracting with Equity Portfolio Managers 466 8.1 Developing a Universe of Suitable Manager Candidates 466 8.2 The Predictive Power of Past Performance 466 8.3 Fee Structures 467 8.4 The Equity Manager Questionnaire 467 9 Structuring Equity Research and Security Selection 474 9.1 Top-Down versus Bottom-Up Approaches 474 9.2 Buy-Side versus Sell-Side Research 475 9.3 Industry Classification 475 CHAPTER 8 Alternative Investments Portfolio Management 477 1 Introduction 477 2 Alternative Investments: Definitions, Similarities, and Contrasts 478 3 Real Estate 485 3.1 The Real Estate Market 485 3.2 Benchmarks and Historical Performance 487 3.3 Real Estate: Investment Characteristics and Roles 490 4 Private Equity/Venture Capital 498 4.1 The Private Equity Market 500 4.2 Benchmarks and Historical Performance 507 4.3 Private Equity: Investment Characteristics and Roles 509 5 Commodity Investments 516 5.1 The Commodity Market 516 5.2 Benchmarks and Historical Performance 517 5.3 Commodities: Investment Characteristics and Roles 523 6 Hedge Funds 530 6.1 The Hedge Fund Market 531 6.2 Benchmarks and Historical Performance 535 6.3 Hedge Funds: Investment Characteristics and Roles 545 6.4 Performance Evaluation Concerns 552 7 Managed Futures 557 7.1 The Managed Futures Market 557 7.2 Benchmarks and Historical Performance 560 7.3 Managed Futures: Investment Characteristics and Roles 563 8 Distressed Securities 568 8.1 The Distressed Securities Market 568 8.2 Benchmarks and Historical Performance 570 8.3 Distressed Securities: Investment Characteristics and Roles 571 CHAPTER 9 Risk Management 579 1 Introduction 579 2 Risk Management as a Process 580 3 Risk Governance 583 4 Identifying Risks 585 4.1 Market Risk 587 4.2 Credit Risk 587 4.3 Liquidity Risk 588 4.4 Operational Risk 589 4.5 Model Risk 590 4.6 Settlement (Herstatt) Risk 591 4.7 Regulatory Risk 591 4.8 Legal/Contract Risk 592 4.9 Tax Risk 593 4.10 Accounting Risk 593 4.11 Sovereign and Political Risks 594 4.12 Other Risks 595 5 Measuring Risk 596 5.1 Measuring Market Risk 596 5.2 Value at Risk 598 5.3 The Advantages and Limitations of VaR 611 5.4 Extensions and Supplements to VaR 613 5.5 Stress Testing 614 5.6 Measuring Credit Risk 615 5.7 Liquidity Risk 622 5.8 Measuring Nonfinancial Risks 623 6 Managing Risk 624 6.1 Managing Market Risk 625 6.2 Managing Credit Risk 628 6.3 Performance Evaluation 632 6.4 Capital Allocation 634 6.5 Psychological and Behavioral Considerations 635 CHAPTER 10 Execution of Portfolio Decisions 637 1 Introduction 637 2 The Context of Trading: Market Microstructure 638 2.1 Order Types 638 2.2 Types of Markets 640 2.3 The Roles of Brokers and Dealers 649 2.4 Evaluating Market Quality 650 3 The Costs of Trading 653 3.1 Transaction Cost Components 654 3.2 Pretrade Analysis: Econometric Models for Costs 661 4 Types of Traders and Their Preferred Order Types 663 4.1 The Types of Traders 664 4.2 Traders’ Selection of Order Types 665 5 Trade Execution Decisions and Tactics 666 5.1 Decisions Related to the Handling of a Trade 666 5.2 Objectives in Trading and Trading Tactics 668 5.3 Automated Trading 670 6 Serving the Client’s Interests 678 6.1 CFA Institute Trade Management Guidelines 679 6.2 The Importance of an Ethical Focus 680 7 Concluding Remarks 681 CHAPTER 11 Monitoring And Rebalancing 682 1 Introduction 682 2 Monitoring 683 2.1 Monitoring Changes in Investor Circumstances and Constraints 684 2.2 Monitoring Market and Economic Changes 695 2.3 Monitoring the Portfolio 698 3 Rebalancing the Portfolio 701 3.1 The Benefits and Costs of Rebalancing 701 3.2 Rebalancing Disciplines 705 3.3 The Perold–Sharpe Analysis of Rebalancing Strategies 710 3.4 Execution Choices in Rebalancing 715 4 Concluding Remarks 716 CHAPTER 12 Evaluating Portfolio Performance 717 1 Introduction 717 2 The Importance of Performance Evaluation 718 2.1 The Fund Sponsor’s Perspective 718 2.2 The Investment Manager’s Perspective 719 3 The Three Components of Performance Evaluation 719 4 Performance Measurement 720 4.1 Performance Measurement without Intraperiod External Cash Flows 720 4.2 Total Rate of Return 723 4.3 The Time-Weighted Rate of Return 724 4.4 The Money-Weighted Rate of Return 726 4.5 TWR versus MWR 727 4.6 The Linked Internal Rate of Return 729 4.7 Annualized Return 730 4.8 Data Quality Issues 730 5 Benchmarks 731 5.1 Concept of a Benchmark 731 5.2 Properties of a Valid Benchmark 733 5.3 Types of Benchmarks 734 5.4 Building Custom Security-Based Benchmarks 738 5.5 Critique of Manager Universes as Benchmarks 738 5.6 Tests of Benchmark Quality 740 5.7 Hedge Funds and Hedge Fund Benchmarks 742 6 Performance Attribution 744 6.1 Impact Equals Weight Times Return 745 6.2 Macro Attribution Overview 746 6.3 Macro Attribution Inputs 747 6.4 Conducting a Macro Attribution Analysis 749 6.5 Micro Attribution Overview 753 6.6 Sector Weighting/Stock Selection Micro Attribution 755 6.7 Fundamental Factor Model Micro Attribution 759 6.8 Fixed-Income Attribution 761 7 Performance Appraisal 766 7.1 Risk-Adjusted Performance Appraisal Measures 767 7.2 Quality Control Charts 771 7.3 Interpreting the Quality Control Chart 773 8 The Practice of Performance Evaluation 775 8.1 Noisiness of Performance Data 776 8.2 Manager Continuation Policy 778 8.3 Manager Continuation Policy as a Filter 780 CHAPTER 13 Global Investment Performance Standards 783 1 Introduction 783 2 Background of the GIPS Standards 784 2.1 The Need for Global Investment Performance Standards 784 2.2 The Development of Performance Presentation Standards 786 2.3 Governance of the GIPS Standards 787 2.4 Overview of the GIPS Standards 788 3 Provisions of the GIPS Standards 792 3.1 Fundamentals of Compliance 792 3.2 Input Data 795 3.3 Calculation Methodology: Time-Weighted Total Return 798 3.4 Return Calculations: External Cash Flows 801 3.5 Additional Portfolio Return Calculation Standards 804 3.6 Composite Return Calculation Standards 807 3.7 Constructing Composites I—Defining Discretion 810 3.8 Constructing Composites II—Defining Investment Strategies 813 3.9 Constructing Composites III—Including and Excluding Portfolios 815 3.10 Constructing Composites IV—Carve-Out Segments 819 3.11 Disclosure Standards 822 3.12 Presentation and Reporting Requirements 825 3.13 Presentation and Reporting Recommendations 829 3.14 Introduction to the Real Estate and Private Equity Provisions 832 3.15 Real Estate Standards 832 3.16 Private Equity Standards 837 4 Verification 840 5 GIPS Advertising Guidelines 845 6 Other Issues 847 6.1 After-Tax Return Calculation Methodology 847 6.2 Keeping Current with the GIPS Standards 855 Appendix: GIPS Glossary 856 Glossary 864 References 888 About the CFA Program 903 About the Authors 904 Index 913
JOHN L. MAGINN, CFA, is President of Maginn Associates, Inc., a financial consulting firm. He is also an adjunct professor in the MBA program at Creighton University. He is retired from Mutual of Omaha, where he was the chief investment officer and treasurer, and is also a past chairman of the board of trustees of AIMR, the predecessor to CFA Institute. DONALD L. TUTTLE, PHD, CFA, was vice president of CFA Institute in its Curriculum and Examinations Department from 1992 until his retirement in 2004. He received his PhD from the University of North Carolina at Chapel Hill. JERALD E. PINTO, PHD, CFA, is Director in the CFA and CIPM Programs Division at CFA Institute. Before coming to CFA Institute in 2002, he was a consultant to corporations, foundations, and partnerships in investment planning, portfolio analysis, and quantitative analysis. He has also worked in the investment and banking industries in New York City and taught finance at New York University's Stern School of Business. He holds an MBA from Baruch College and a PhD in finance from the Stern School. Pinto obtained his CFA charter in 1992. DENNIS W. MCLEAVEY, CFA, is Head of Professional Development Products at CFA Institute. During his twenty-five-year academic career, he taught at the University of Western Ontario, the University of Connecticut, the University of Rhode Island (where he founded a student-managed fund), and Babson College. McLeavey completed a doctorate in production management and industrial engineering at Indiana University in 1972, and earned his CFA charter in 1990.
As part of the CFA Institute Investment Series, the Third Edition of Managing Investment Portfolios has been designed for a wide range of individuals, from graduate-level students focused on finance to practicing investment professionals. This book, valuable for self-study as well as for general reference, provides complete coverage of the most important issues surrounding modern portfolio management. In this latest edition, financial experts John Maginn, Donald Tuttle, Jerald Pinto, and Dennis McLeavey—along with a number of experienced contributors—fully update information associated with this important discipline by examining everything from asset allocation strategies to risk management frameworks. Blending theory with practice, they skillfully outline the entire flow of the portfolio management process—from formulating an investment policy statement to portfolio construction, trade execution, and monitoring and rebalancing a portfolio. Throughout the text, special attention is paid to ensuring the evenness of subject matter, consistency of mathematical notation, and continuity of topic coverage that is so critical to the learning process. Other elements that are discussed in detail include: Managing individual and institutional investor portfolios Capital market expectations Fixed income and equity portfolio management Evaluating portfolio performance Alternative investment portfolio management Global investment performance standards And to further enhance your understanding of the tools and techniques explored here, don't forget to pick up Managing Investment Portfolios Workbook, Third Edition—a comprehensive companion study guide containing Learning Outcomes and Summary Overview sections along with challenging practice questions and solutions. With each contributor bringing his own unique experiences and perspectives to the portfolio management process, Managing Investment Portfolios, Third Edition distills the knowledge, skills, and abilities you need to succeed in today's fast-paced financial world.
"A rare blend of a well-organized, comprehensive guide to portfolio management and a deep, cutting-edge treatment of the key topics by distinguished authors who have all practiced what they preach. The subtitle, A Dynamic Process, points to the fresh, modern ideas that sparkle throughout this new edition. Just reading Peter Bernstein's thoughtful Foreword can move you forward in your thinking about this critical subject." —Martin L. Leibowitz, Morgan Stanley "Managing Investment Portfolios remains the definitive volume in explaining investment management as a process, providing organization and structure to a complex, multipart set of concepts and procedures. Anyone involved in the management of portfolios will benefit from a careful reading of this new edition." —Charles P. Jones, CFA, Edwin Gill Professor of Finance, College of Management, North Carolina State University

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