book

The New Science of Asset Allocation: Risk Management in a Multi-Asset World

by Thomas Schneeweis, Garry B. Crowder, Hossein Kazemi

March 2010

Intermediate to advanced

294 pages

8h 23m

English

Wiley

Read now

Unlock full access

OVERVIEW OF THE BOOK
IN THE BEGINNINGA REVIEW OF THE CAPITAL ASSET PRICING MODELASSET PRICING IN CASH AND DERIVATIVE MARKETSMODELS OF RETURN AND RISK POST-1980ASSET ALLOCATION IN THE MODERN WORLDPRODUCT DEVELOPMENT: YESTERDAY, TODAY, AND TOMORROWNOTES
WHAT IS RISK?TRADITIONAL APPROACHES TO RISK MEASUREMENTCLASSIC SHARPE RATIOOTHER MEASURES OF RISK ASSESSMENTPORTFOLIO RISK MEASURESOTHER MEASURES OF PORTFOLIO RISK MEASUREMENTVALUE AT RISKNOTES
WHAT IS ALPHA?ISSUES IN ALPHA AND BETA DETERMINATIONPROBLEMS IN ALPHA AND BETA DETERMINATIONMULTI-FACTOR RETURN ESTIMATION: AN EXAMPLETRACKING ALTERNATIVES IN ALPHA DETERMINATIONNOTES
OVERVIEW AND LIMITATIONS OF THE EXISTING ASSET ALLOCATION PROCESSASSET ALLOCATION IN TRADITIONAL AND ALTERNATIVE INVESTMENTS: A ROAD MAPHISTORICAL RETURN AND RISK ATTRIBUTES AND STRATEGY ALLOCATIONTRADITIONAL STOCK/BOND ALLOCATION VERSUS MULTI-ASSET ALLOCATIONRISK AND RETURN COMPARISONS UNDER DIFFERING HISTORICAL TIME PERIODSEXTREME MARKET SENSITIVITYMARKET SEGMENT OR MARKET SENSITIVITY: DOES IT MATTER?HOW NEW IS NEW?NOTES
ASSET ALLOCATION OPTIMIZATION MODELSSTRATEGIC ASSET ALLOCATIONTACTICAL ASSET ALLOCATIONDYNAMIC ASSET ALLOCATIONNOTES
DETERMINING THE APPROPRIATE BENCHMARKS AND GROUPINGSSAMPLE ALLOCATIONSCORE ALLOCATIONSATELLITE INVESTMENTALGORITHMIC AND DISCRETIONARY ASPECTS OF CORE/SATELLITE EXPOSUREREPLICATION BASED INDICESPEER GROUP CREATION—STYLE PURITYNOTES

ASSET CLASS PERFORMANCEHEDGE FUNDSMANAGED FUTURES (COMMODITY TRADING ADVISORS)PRIVATE EQUITYREAL ESTATECOMMODITIESNOTES
MAKING SENSE OUT OF TRADITIONAL STOCK AND BOND INDICESPRIVATE EQUITYREAL ESTATEALTERNATIVE REIT INVESTMENTS INDICESCOMMODITY INVESTMENTHEDGE FUNDSINVESTABLE MANAGER BASED HEDGE FUND INDICESCTA INVESTMENTINDEX VERSUS FUND INVESTMENT: A HEDGE FUND EXAMPLENOTES
PROCESS OF RISK MANAGEMENT: MULTI-FACTOR APPROACHPROCESS OF RISK MANAGEMENT: VOLATILITY TARGETRISK DECOMPOSITION OF PORTFOLIORISK MANAGEMENT USING FUTURESRISK MANAGEMENT USING OPTIONSCOVERED CALLLONG COLLARNOTES
INVESTOR ATTITUDES, NOT ECONOMIC INFORMATION, DRIVE ASSET VALUESDIVERSIFICATION ACROSS DOMESTIC OR INTERNATIONAL EQUITY SECURITIES IS SUFFICIENTHISTORICAL SECURITY AND INDEX PERFORMANCE PROVIDES A SIMPLE MEANS TO FORECAST ...RECENT MANAGER FUND RETURN PERFORMANCE PROVIDES THE BEST FORECAST OF FUTURE RETURNSUPERIOR MANAGERS OR SUPERIOR INVESTMENT IDEAS DO NOT EXISTPERFORMANCE ANALYTICS PROVIDE A COMPLETE MEANS TO DETERMINE BETTER PERFORMING MANAGERSTRADITIONAL ASSETS REFLECT “ACTUAL VALUES” BETTER THAN ALTERNATIVE INVESTMENTSSTOCK AND BOND INVESTMENT MEANS INVESTORS HAVE NO DERIVATIVES EXPOSURESTOCK AND BOND INVESTMENT REMOVES INVESTOR CONCERNS AS TO LEVERAGEGIVEN THE EFFICIENCY OF THE STOCK AND BOND MARKETS, MANAGERS PROVIDE NO USEFUL SERVICEINVESTORS CAN RELY ON ACADEMICS AND INVESTMENT PROFESSIONALS TO PROVIDE ...ALTERNATIVE ASSETS ARE RISKIER THAN EQUITY AND FIXED INCOME SECURITIESALTERNATIVE ASSETS SUCH AS HEDGE FUNDS ARE ABSOLUTE RETURN VEHICLESALTERNATIVE INVESTMENTS SUCH AS HEDGE FUNDS ARE UNIQUE IN THEIR INVESTMENT STRATEGIESHEDGE FUNDS ARE BLACK BOX TRADING SYSTEMS UNINTELLIGIBLE TO INVESTORSHEDGE FUNDS ARE TRADERS, NOT INVESTMENT MANAGERSALTERNATIVE INVESTMENT STRATEGIES ARE SO UNIQUE THAT THEY CANNOT BE REPLICATEDIT MAKES LITTLE DIFFERENCE WHICH TRADITIONAL OR ALTERNATIVE INDICES ARE USED IN ...MODERN PORTFOLIO THEORY IS TOO SIMPLISTIC TO DEAL WITH PRIVATE EQUITY, REAL ...NOTES
THE WHY AND WHEREFORE OF ASSET ALLOCATION MODELSVALUE OF MANAGER DISCRETIONMANAGER EVALUATION AND REVIEW: THE DUE DILIGENCE PROCESSMADOFF: DUE DILIGENCE GONE WRONG OR NEVER CONDUCTEDNOTES
AN UNCERTAIN FUTUREWHAT IS THE DEFINITION OF ORDER?COSTS AND BENEFITSTODAY’S ISSUEPOSSIBLE GOVERNMENTAL AND PRIVATE FUND RESPONSES TO CURRENT MARKET CONCERNSNOTE

Overview

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 recent years. They then propose new allocation models that employ liquidity, transparency, and real risk controls across multiple asset classes.

Outlines a new approach to asset allocation in a post-2008 world, where risk seems hidden
The "great manager" problem is examined with solutions on how to capture manager alpha while limiting downside risk
A complete case study is presented that allocates for beta and alpha

Written by an experienced team of industry leaders and academic experts, The New Science of Asset Allocation explains how you can effectively apply this approach to a financial world that continues to change.