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.
Table of Contents
- Title Page
- Copyright Page
- CHAPTER 1 - A Brief History of Asset Allocation
- CHAPTER 2 - Measuring Risk
- CHAPTER 3 - Alpha and Beta, and the Search for a True Measure of Manager Value
CHAPTER 4 - Asset Classes: What They Are and Where to Put Them
- OVERVIEW AND LIMITATIONS OF THE EXISTING ASSET ALLOCATION PROCESS
- ASSET ALLOCATION IN TRADITIONAL AND ALTERNATIVE INVESTMENTS: A ROAD MAP
- HISTORICAL RETURN AND RISK ATTRIBUTES AND STRATEGY ALLOCATION
- TRADITIONAL STOCK/BOND ALLOCATION VERSUS MULTI-ASSET ALLOCATION
- RISK AND RETURN COMPARISONS UNDER DIFFERING HISTORICAL TIME PERIODS
- EXTREME MARKET SENSITIVITY
- MARKET SEGMENT OR MARKET SENSITIVITY: DOES IT MATTER?
- HOW NEW IS NEW?
- CHAPTER 5 - Strategic, Tactical, and Dynamic Asset Allocation
- CHAPTER 6 - Core and Satellite Investment: Market/Manager Based Alternatives
- CHAPTER 7 - Sources of Risk and Return in Alternative Investments
- CHAPTER 8 - Return and Risk Differences among Similar Asset Class Benchmarks
- CHAPTER 9 - Risk Budgeting and Asset Allocation
CHAPTER 10 - Myths of Asset Allocation
- INVESTOR ATTITUDES, NOT ECONOMIC INFORMATION, DRIVE ASSET VALUES
- DIVERSIFICATION ACROSS DOMESTIC OR INTERNATIONAL EQUITY SECURITIES IS SUFFICIENT
- HISTORICAL SECURITY AND INDEX PERFORMANCE PROVIDES A SIMPLE MEANS TO FORECAST ...
- RECENT MANAGER FUND RETURN PERFORMANCE PROVIDES THE BEST FORECAST OF FUTURE RETURN
- SUPERIOR MANAGERS OR SUPERIOR INVESTMENT IDEAS DO NOT EXIST
- PERFORMANCE ANALYTICS PROVIDE A COMPLETE MEANS TO DETERMINE BETTER PERFORMING MANAGERS
- TRADITIONAL ASSETS REFLECT “ACTUAL VALUES” BETTER THAN ALTERNATIVE INVESTMENTS
- STOCK AND BOND INVESTMENT MEANS INVESTORS HAVE NO DERIVATIVES EXPOSURE
- STOCK AND BOND INVESTMENT REMOVES INVESTOR CONCERNS AS TO LEVERAGE
- GIVEN THE EFFICIENCY OF THE STOCK AND BOND MARKETS, MANAGERS PROVIDE NO USEFUL SERVICE
- INVESTORS CAN RELY ON ACADEMICS AND INVESTMENT PROFESSIONALS TO PROVIDE ...
- ALTERNATIVE ASSETS ARE RISKIER THAN EQUITY AND FIXED INCOME SECURITIES
- ALTERNATIVE ASSETS SUCH AS HEDGE FUNDS ARE ABSOLUTE RETURN VEHICLES
- ALTERNATIVE INVESTMENTS SUCH AS HEDGE FUNDS ARE UNIQUE IN THEIR INVESTMENT STRATEGIES
- HEDGE FUNDS ARE BLACK BOX TRADING SYSTEMS UNINTELLIGIBLE TO INVESTORS
- HEDGE FUNDS ARE TRADERS, NOT INVESTMENT MANAGERS
- ALTERNATIVE INVESTMENT STRATEGIES ARE SO UNIQUE THAT THEY CANNOT BE REPLICATED
- IT MAKES LITTLE DIFFERENCE WHICH TRADITIONAL OR ALTERNATIVE INDICES ARE USED IN ...
- MODERN PORTFOLIO THEORY IS TOO SIMPLISTIC TO DEAL WITH PRIVATE EQUITY, REAL ...
- CHAPTER 11 - The Importance of Discretion in Asset Allocation Decisions
- CHAPTER 12 - Asset Allocation: Where Is It Headed?
- APPENDIX - Risk and Return of Asset Classes and Risk Factors Through Business Cycles
- Glossary: Asset Class Benchmarks
- About the Authors
- Title: The New Science of Asset Allocation: Risk Management in a Multi-Asset World
- Release date: March 2010
- Publisher(s): Wiley
- ISBN: 9780470537404