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

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

Glossary: Asset Class Benchmarks

EQUITY

S&P 500: The S&P 500 is a value-weighted index. The stocks included in the S&P 500 are those of large publicly held companies that trade on either of the two largest American stock market companies; the NYSE Euronext and the NASDAQ OMX. The index does include a handful of non-U.S. companies (six as of July 1, 2009). This group includes both former U.S. companies that have reincorporated outside the United States and firms that have never been incorporated in the United States. The components of the S &P 500 are selected by committee.

Russell 1000: A market capitalization-weighted benchmark index made up of the 1,000 highest-ranking U.S. stocks in the Russell 3000.

Russell 2000: The Russell 2000 Index is a small-cap stock market index of the bottom 2,000 stocks in the Russell 3000 Index.

MSCI EAFE: The MSCI EAFE Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization index designed to measure the equity market performance of developed markets, excluding the United States and Canada. As of June 2007, the MSCI EAFE Index consisted of the following 21 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. The index is maintained by Morgan Stanley Capital International/Barra; the EAFE acronym stands for Europe, Australasia, ...