Managing investment portfolios: a dynamic process
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Boston u.a.
Warren, Gorham & Lamont
1990
|
| Ausgabe: | 2. ed. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Getr. Zählung graph. Darst. |
| ISBN: | 0791303225 |
Internformat
MARC
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| 245 | 1 | 0 | |a Managing investment portfolios |b a dynamic process |c ed. by John L. Maginn ... |
| 250 | |a 2. ed. | ||
| 264 | 1 | |a Boston u.a. |b Warren, Gorham & Lamont |c 1990 | |
| 300 | |a Getr. Zählung |b graph. Darst. | ||
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Datensatz im Suchindex
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| adam_text | Table of Contents
Part I Principles of Financial Asset Management
1 The Portfolio Management Process and Its Dynamics
John L. Maginn, CFA, and Donald L. Tuttle, CFA
Overview 1
Portfolio Management as a Process 2
The Process Logic 3
The Dynamics of the Process 5
Principles of Asset Management 6 Determination of Portfolio
Policies 6 Expectational Factors 7 Integrating Policies and
Expectations 7 Execution and Trading 9 Restructuring the
Portfolio 9 Performance Evaluation 10
Portfolio Management Comes of Age—Challenges of the Future 10
y 2 Portfolio Management Basics
Charles A. D Ambrosio, CFA
Overview 1
Time and Investing 2
Time Value of Money 2 Time as a Risk Moderator 2
Asset Markets 2
Efficient Market Hypotheses 3 Weak Form EMH 3
Semistrong Form EMH 3 Strong Form EMH 4
Calculating Asset Returns 4
Total Return vs. Mean Returns 5 Net Returns 6
Inflation Adjustment 8
Return Expectations 10
Historical vs. Expected Returns 10 Scenario Analysis 10
Expected Returns and Risk Premiums 10
Risk Analysis 11
Pervasive Risks 12 Purchasing Power Risk 12 Political
Risk 12 Currency (Exchange) Risk 12 Systematic Risks 12
Interest Rate Risk 12 Market Risk 13 Real Estate Risk 13
Unsystematic Risks 13 Credit!Company Risk 14 Sector!
Industry Risk 14 Real Estate Investment Risk 15
xix
xx CONTENTS
Measuring Risk 15
Standard Deviation Calculation 15 Beta Calculation 17
Modern Portfolio Theory 18
Portfolio Expected Return 19 Portfolio Risk 20 Correlation
Effects 20 Diversification Adequacy 23 International
Investing 23 Modifying Portfolio Risk 25
Asset Pricing Theories 25
Capital Asset Pricing Model 28 Capital Market Line 29
Security Market Line 30 The SML and Asset Selection 30
Estimated Market Line 31 Market Model 33 Arbitrage Pricing
Model 33 Pervasive Factors 34 Factor Identification 35
International Asset Pricing 36
Real Estate 36
Measuring Returns and Risk 36 MPT and Real Estate
Investing 37
Investor Risk Aversion 37
Portfolio Management 39
Asset Selection 39 Fundamental Approach 39 Bottom Up
Fundamentals 41 Top Down Fundamentals 42 Technical
Analysis 42 Portfolio Analysis 42 Passive Approach 42
Active Approach 42 Portfolio Performance Measurement 43
Summary 43
Further Reading 45
Bibliography 45
Part II Investor Objectives and Constraints: Determination of
Portfolio Policies
3 Individual Investors
Ronald W. Kaiser
Overview 1
Introducing the Individual Investor 1
Individuals Contrasted With Institutions 2 What Is Risk? 2
Losing Money 3 Unfamiliar Instruments 3 Previous Losses in
Familiar Instruments 4 Contrary Investing 4 Risk: Potential
vs. Actual 5
The Psychographics of the Individual Investor 5
Barnewall Two Way Model 6 Passive Investors 6
CONTENTS xxi
Active Investors 6 Using the Active/Passive Classifications 7
The Bailard, Biehl Kaiser Five Way Model 7
The Five Personalities 8 Using the Five Way Classification
Model 9 Adventurers 9 Celebrities 10 Individualists 10
Guardians 10 Straight Arrows 11 Who Are the Potential
Clients? 11 Scoring Systems 12 Special Concerns of Inherited
Wealth 15
The Demographics of the Individual Investor 15
The Wealth of American Citizens 15 Life Cycle View 17
Accumulation Phase 18 Consolidation Phase 18
Spending Phase 19 Gifting Phase 19
Goal Achievement: The Rational Portfolio Approach 19
Types of Goals 20 Near Term High Priority Goals 20
Long Term High Priority Goals 20 Lower Priority Goals 20
Entrepreneurial or Money Making Goals 20
Investment Constraints 21
Liquidity: Real Needs and Perceived Needs 21 Personal Trust
Considerations 22 Revocable vs. Irrevocable Trusts 22
The Evolving Prudent Man Rule 22 Income Beneficiaries vs.
Remaindermen 23 Income Tax Considerations 24 Role of Tax
Counsel 24 Capital Gains: Tax Timing vs. Investment Timing 25
Tax Free vs. Taxable Interest: Trade Offs of Yield. Liquidity, and
Quality 25 Year End Tax Planning 26 IRAs and 40Ilk)
Plans 27 Passive Loss Rules 27 Splitting Money Into
Different Pots vs. Economy of One Pot 28 Alternative Minimum
Tax 29 Estate Taxes 29 Gift and Estate Planning—
Overview 30 Method of Transfer 30 Transfer Tax 30
Remaining Wealth 30 Income Tax Effect 31 Asset Selection
for Gifts to Children 31 Asset Selection for Gifts to Charitable
Organizations 32 Tax Basis of Property Transferred at Death 32
Predeath Estate Tax Planning 33 Postdeath Estate Taxes 33
Personal Trust Tax 33 Tax Risk: Another Uncertainty for
Investors 34 Integration With Outside Assets 34 Income vs.
Principal: The Traditional View and Its Limitations 35 Tying All
This Together 36
Determination of Portfolio Policies 36
Absence of Policy: Issue by Issue Selection 36 Traditional Policy
Approaches 37 Income 37 Income and Growth 37
Growth 37 Aggressive Growth 37 A Multi Asset, Total Return
Policy 38 Risk Control Issues 39 Goal Integration 43
Summary 44
Further Reading 45
Bibliography 45
xxii CONTENTS
4 Determination of Portfolio Policies: Institutional Investors
Keith P. Ambachtsheer, John L. Maginn, CFA, and
Jay Vawter, CFA
Overview 1
Employee Benefit Funds 2
Pension Assets Attract Increasing Attention 3 Pension Asset
Principals 4 Defined Benefit Pension Plans 4 Ownership of
Defined Benefit Plan Assets 5 Defined Benefit Plan
Controversies 6 Excise Tax on Surplus Assets 6 Funding
Regulations and Benefit Insurance 6 Inflation Protection 6
Defined Contribution Plans 7 The Defined Contribution Plan
Model 8 Other Types of Pension Plans 8 Health Care
Benefits 9
Return Objectives of Employee Benefit Funds 10
The Defined Benefit Plan Model 10
Risk Tolerance of Employee Benefit Funds 10
Defined Benefit vs. Defined Contribution Risk 10
Role of Capital Market Expectations in Pension Investment Policy 11
Pension Plan Investment Policy 12
Pension Fund Investment Policy in the Institutional Investor
Context 13 Importance of Plan Asset and Liability Value
Fluctuations 13 Pension Industry Balance Sheet Volatility
Debate 14 New Accounting Rules 14 The Degree of Main
Business and Pension Plan Integration 15 The Tax Arbitrage
Argument 16 The Asset Mix Policy Decision 16 Implementing
Asset Mix Policy 17 Pension Fund Organizational Issues 18
Cost Control in Pension Fund Management 18 Changes in Asset
Allocation 19 Changes in Within Asset Class Management 20
Pension Plan Charter 20
Statement of Investment Policies and Goals 21 Investment
Management Mandates 21 Making Private and Public Interests
Converge 25
Endowment Funds 26
Scope of Endowment Funds 26
Return Requirements 27 Total Return Approach 28
Relationship to Spending Rate 28 Return Objective 29 Risk
Tolerance 29 Relationship to Overall Budget 31 Liquidity
Requirements 32 Tax Considerations 32 Regulatory and Legal
Considerations 33 Unique Needs, Circumstances, and
Preferences 33 Movement Toward Total Return Approach 34
Effect of Inflation 34 Desire for Income Stability 35
CONTENTS xxiii
Professional and Trade Associations 36
Determination of Portfolio Policies for Endowments and Professional/Trade
Associations 37
Endowment Management Observations 38
Insurance Companies and Banks 38
Size and Scope of the Insurance Industry 39
Life Insurance Companies 40
Asset/Liability Management 41 Return Requirements 42
Spread Management 42 More Competitive Returns 43 New
Policy Forms 45 Growth of Surplus 46 Risk Tolerance 46
Valuation Concerns 47 Cash Flow Volatility 48 Reinvestment
Risk 48 Credit Risk 49 Liquidity Requirements 49
Disintermediation 49 Importance of Maturity Schedules and/or
Marketability 50 Time Horizon 51 Tax Considerations 51
Regulatory and Legal Considerations 52 Eligible Investments 52
Prudent Man Rule 53 Valuation Methods 53 Unique Needs,
Circumstances, and Preferences 53 Determination of Portfolio
Policies 54 Effect of Industry Product Trends 54
Consolidation of Financial Services 55 Changing Product/Asset
Mix 55 Portfolio Segmentation 56 Policy Coordination 57
Investment Policy Statement 57
Nonlife Insurance Companies 57
Asset/Liability Management 59 Return Requirements 60
Competitive Policy Pricing 61 Profitability 61 Growth of
Surplus 61 Traditional Asset Mix 62 After Tax Returns 62
Total Return 62 Risk Tolerance 63 Cash Flow
Characteristics 63 Common Stock to Surplus Ratio 64
Liquidity Requirements 64 Marketability and Maturity
Considerations 65 Time Horizon 65 Tax Considerations 66
Regulatory and Legal Considerations 67 Determination of Portfolio
Policies 67
Commercial Banks 68
Risk Return Trade Off 69 Liquidity Requirements 70 Time
Horizon 71 Regulatory and Legal Considerations 71 Unique
Needs, Circumstances, and Preferences 72 Determination of
Portfolio Policies 72
Investment Companies 72
Summary 73
Further Reading 74
Bibliography 75
xxiv CONTENTS
Part III Expectational Factors
5 Capital Market Expectations: The Macro Factors
Jeffrey J. Diermeier, CFA
Overview 1
The Expectations Forming Process 2
The Consensus Process 2
Forecasting the Capital Market Environment 2
Forecasting Inputs for the Analyst 3 The Standard Valuation
Model 3 Cash Flow Forecasting 3 Comparability of Cash
Flows 7 The Discount Mechanism 9 Bond and Real Estate
Analysts 10 Bond Analysis 10 Real Estate Analysis 11
Forecasting Inputs for the Portfolio Manager 12 Client
Preferences 12 Requirements for Asset Allocation 13 Factor
Forecasts 13
Framing the Forecast by Asset Class 16
The Long Term Setting 17 Aggregate Economic Output 17
Real Interest and Growth Rates 17 Economic Wealth 18
Country Specific vs. Global 18 Shares to Factors of
Production 19 Capital Market Returns 19 Allocating Returns
Across Asset Classes 23 Segmented vs. Integrated Approaches to
Risk 24 Risk, Return, Correlation, and Autocorrelation 25
Investable Capital Market 26 Asset Class Statistics 28
Macroeconomic Variables 30
The Long Term Setting 31 Real Economic Growth 31 Factor
Income Share 35 Capital Income Shares 35 Stability of Long
Term Expectations 36 Sources of Instability 36 Short Term
Expectations 39 Forecasting Techniques 39 Leading
Indicators Approach 39 Liquidity/Flow of Funds Approach 40
Econometric and Time Series Approaches 42 The Private
Sector 42 The Public Sector 44 The International Sector 45
Forecasting Exchange Rates 45
Inflation and Deflation: Symptoms of Disequilibrium and Their Effects 48
Nature of the Problem 48 Debasement of Financial Claims: A
Wealth Transfer 49 Volatility in Inflation Expectations 50
Forming Inflation Expectations 50 Combination Expectations
Approach 51 Inflation Index Approach 51 Effect on Stock
Valuation 52 Inflation and Costs 53 Inflation and
Management Decisions 54 Historical Inflation and Stock Value
Experience 54 Inflation in International Markets 59 Effect on
Bond Valuation 59 International Interest Rates and Inflation
Rates 61 Effect on Real Estate Valuation 61 Real Estate
Cash Flows and Inflation 62 Real Estate Leverage and
Inflation 62 Effect on Exchange Rates 63
CONTENTS xxv
Scenario Forecasting and Its Consequences 63
Scenario Forecasting Techniques 64 Reconciling Scenario and
Stochastic Forecasting 65 Examples of Specific Scenarios 66
Summary 73
Further Reading 74
Source Material 74 Inflation Expectations 74 Economic
Factors and Security Returns 74 Inflation and Security
Returns 74 International Economics and Security Returns 74
Bibliography 75
6 Individual Asset Expectations
William S. Gray III, CFA
Overview 1
Fixed Income Expectational Inputs 2
Interest Rate or Systematic Risk 2 Duration 3 Convexity 8
Covariance 9 Determinants of Interest Rates and Their Term
Structure 9 General Level of Interest Rates 10 Term
Structure 11 Slope of Yield Curve 12 Forecasts of Interest
Rates 14 Interest Rates as the Price of Money 16 The
Consensus Outlook 16 International Fixed Income Risk
Factors 16 Currency Risk 17 Financial or Unsystematic
Risk 19 Credit Risk 19 Credit Ratings 19 Yield
Spreads 20 High Yield Bonds 21 Credit Analysis and Ratings
for Domestic Corporate Securities 23 Debt Service Coverage 23
Financial Statement Analysis 24 Company Characteristics 24
Indenture Provisions 25 Credit Analysis and Ratings for Domestic
Municipal Securities 26 General Obligation Bonds 26 Revenue
Bonds 26 Credit and Other Unsystematic International Risk
Factors 27 Sovereign Risk 27 Disclosure and Comparability
of Information 27 Credit Risk 28 Indenture Provisions 29
Equity Expectational Inputs 29
Systematic Risk and Return 30 Systematic Risk 31 Historical
Betas 31 Fundamental Betas 32 Arbitrage Pricing Theory 33
Return for Risk Bearing 33 Covariance 33 Determinants of
Stock Market Value and Volatility 34 Value 34 Volatility 36
Forecasts of Stock Market Value 36 Systematic Risk 39
Valuation 41 Unsystematic Risk and Return 41 Reward for
Unsystematic Risk 43 Sector/Industry Analysis for Domestic
Stocks 44 Economic/Industry Sectors 44 Company Size 45
Homogeneous Return Patterns 46 Valuation Yardsticks 47
Momentum 47 Company Analysis for Domestic Stocks 48
Financial Statement Analysis 48 Comparative Observations 49
Answering the Question: Why? 49 Sector/Industry, Company, and
Other Unsystematic International Factors 51 Industry Factors 51
Company Factors 52
XXvi CONTENTS
Real Estate Expectational Inputs 52
Macroeconomic Factors Affecting Real Estate 53 Microeconomic
Factors Affecting Real Estate 55 Overview of Real Estate
Investment Analysis 56 Cost or Value Estimate 56 Income/
Expense Projection 56 Selling Price Projection 57 Financing
Projection 58 Tax Calculations 58 Valuation Measures 60
Interpretation of Results and Sensitivity Analysis 60 Holding
Period Considerations 60 The Appraisal Process 61 Cost
Approach 61 Income Approach 61 Market Data
Approach 62 Real Estate Risk and Return Modifiers 63
Leverage Potential 63 Liquidity and Marketability 64
Efficiency of Real Estate Markets 64 Unsystematic Risk 65
Risk and Return Trade Offs for Alternative Vehicles 66 Equity
Real Estate 66 Real Estate Debt Investments 67 Hybrid Debt
Equity Investments 67
Modifying Expectations With Futures and Options 68
Valuation of Futures Contracts 69 Treasury Bill Futures 70
Treasury Bond Futures 70 S P 500 Stock Index Futures 71
Valuation of Option Contracts 72 Intrinsic Value and Time
Value 73 Black Scholes Model 75 Problems With the Black
Scholes Model 76
Assembling and Integrating Assets Into a Portfolio 77
Integration Across Asset Classes 77 Integration Within Asset
Classes 78
Summary 78
Further Reading 79
Fixed Income Expectational Inputs 79 Equity Expectational
Inputs 80 Modifying Expectations With Futures and Options 81
Bibliography 81
Part IV Integration of Portfolio Policies and Expectational Factors
7 Asset Allocation
William F. Sharpe
The Role of Asset Allocation 1
Investment as a Multiple Stage Process 1 The Importance of Asset
Allocation 3
Approaching the Asset Mix Decision 5
Investment Opportunities 5 Investor Preferences 8 Taking
Opportunities and Preferences Into Account 11 Investment
Manager Discretion 11 Investor Choice 12 Mixed
Approaches 12
Asset Allocation as Exposures to Key Factors 13
Choosing Asset Classes 13 Return Factor Models 13
CONTENTS xxvii
Desirable Return Factor Model Characteristics 14 The Effects of
Diversification 14 Asset Class Return Factor Models 16
Desirable Asset Class Characteristics 17 Choosing an Effective
Asset Mix 18
Major Steps in Asset Allocation 18
Integrated, Strategic, Tactical, and Insured Asset Allocation 21
Integrated Asset Allocation 21 Strategic Asset Allocation 22
Tactical Asset Allocation 24 Insured Asset Allocation 25
Investor Objectives and Constraints 27
Defining the Objective 27 Constraints and Other Aspects 28
Individual Investors 28 Mutual and Other Commingled Funds 29
Defined Contribution Pension Plans 29 Defined Benefit Pension
Plans 30 Liability Returns 32 Measures of Pension
Liabilities 32 The Effects of Indexing on Asset Allocation 34
Capital Market Forecasts 35
Needed Estimates 35 Extrapolation of Historic Results 36
Scenario Approaches 37 Scenario Approach Problems 38
Risk and Correlation Models 39 Equilibrium Expected Returns 40
Societal Risk Tolerance 42 Asset Alphas 43
Selection Techniques 44
Linear Programming Approaches 44 Monte Carlo Simulation 46
The Monte Carlo Approach 48 Utility Function Evaluation 49
Quadratic Programming Approaches 51
Dynamic Strategies 54
Dynamic and Strategic Approaches to Asset Allocation 54 Changes
in Investor Risk Tolerance 54 Changes in Market Conditions:
Tactical Allocation 57 Individual vs. Societal Risk Tolerance 59
Implementation: Theory vs. Reality 61
Balancing Costs and Benefits 62 Rapidly Changing Market
Conditions 62 The October 1987 Crash 63 Determining an
Effective Asset Mix 63 Regression Approach 64 Quadratic
Programming Approach 65 Reallocating Assets 66 Allocating
Assets Among Active Managers 66 Allocating Assets Among Pure
Asset Plays 68 Asset Allocation Accounts 68
Summary 69
Further Reading 69
Bibliography 70
8 Portfolio Construction: Fixed Income
H. Gifford Fong
Overview 1
Roles of the Fixed Income Portfolio 1
Return and Risk Characteristics Including Time Horizon Factor 2
Yield Curves 2 Term Structure Analysis 5
xxviii CONTENTS
Passive Buy and Hold Strategy 7
Income Maximizing Investors 7 Techniques, Vehicles, and
Costs 8
Quasi Passive Indexation Strategies 8
Market Return Replication Investors 9 Techniques, Vehicles, and
Costs 9 Alternative Vehicles 9 Sampling Approach 10
Stratified Approach 10 Stratification Example 12
Semiactive Management: Immunization 14
Accumulation Maximizing Investors 14 Techniques and
Vehicles 14 Duration 16 Target Rate of Return 17 Time
Horizon 17 Interest Rate Shifts 18 Maturity Variance 20
Semiactive Management: Dedicated Portfolios 21
Methodology 21 Immunization Approach 21 Cash Flow
Matching 22 Universe Considerations 25 Optimization 25
Monitoring 26
Active Strategies 26
Total Return Maximizing Investors 26 Techniques and
Vehicles 26 Interest Rate Anticipation Strategies 27 Scenario
Analysis 27 Relative Return Value Analysis 29 Strategic
Frontier Analysis 31 Timing 33 Bond Feature Effects 35
Sector and Security Strategies 35 Credit Analysis 35 Spread
Analysis 36 Valuation Analysis 37 Optimization 40
Variance/Covariance Approach 40 Worst Case Approach 41
Other Active Strategies or Tactics 41 Pure Yield Pickup Trade or
Exchange 41 Substitution Trade or Exchange 41 Intermarket
or Sector Spread Trade or Exchange 42 Interest Rate Swaps 42
Currency Swaps 45 Currency Interest Rate Swaps 45
Maturity Spacing Strategies 45 Contingent Claims Analysis 46
Effects of Call Option Valuation 48
Combination Strategies 51
Active/Passive Combination 52 Active/Immunization
Combination 52 Contingent Immunization 52 Combination by
Formula 58 Multiple Asset Performance 59
International Strategies 62
Rationale for International Investing 62 International Investment
Considerations 63 International Diversification 68
Summary 69
Further Reading 69
Computer Applications 70
Bibliography 71
CONTENTS xxix
9 Equity Portfolio Management
Kathleen A. Condon, CFA
Overview 1
Role of the Equity Portfolio 1
International Equities 2
Efficient Markets 3
Passive Strategies 4
Index Funds 5 Domestic and Global Indexes 7 Construction
Techniques 7 Trading 8 Package Trades 9 Arbitrage 10
Customized Funds 11 Completeness Funds 12 Factor!Style
Funds 12
Hybrid Products 14
Active/Passive Combinations 14 Integrating Active With
Passive 15
Active Strategies 16
The Appeal of Active Management 16 Styles 16 Normal
Portfolios 17 Short Term Performance Pressures 18 Trading
vs. Investing 18 Limiting Portfolio Turnover 19 Structuring an
Active Portfolio 19 Factor Models 20 Quadratic vs. Linear
Programming Techniques 20 Strategies 20 Top Down 21
Bottom Up 21 Core Management 22 Specialized 23
Quantitative 23
Combining Active and Passive 23
Active/Core Portfolios 23 Active/Completeness Fund
Portfolios 24
Summary 24
Further Reading 25
Bibliography 25
10 Real Estate Portfolio Management
Randall C. Zisler
Overview 1
Real Estate in a Portfolio Context 1
Current State of Affairs 2 Need for a Portfolio Approach 6
Need for Well Defined Strategies 7 Need for Better Data 7
Real Estate and the Problem of Return Measurement 8
Total Return 8 Real Estate Markets 8 Appraisals and
Returns 9 Comparison of Returns 9 Real Estate Indexes 9
FRC Cap Adjusted Index 10 Correlation Characteristics 11
Effect of Leverage 13 Return Variance 15
xxx CONTENTS
Commercial Real Estate: A Unique Asset Class 15
Fixed Income and Equity Characteristics 15
Real Estate Risk Analysis 16
Systematic Risk 16 The Model 17 Unanticipated Inflation 20
Investor Confidence 22 Long Run Expected Inflation 23
Business Cycles 23 Tax Factors 24 Government as a
Partner 24 Convertible Mortgages 25 Unsystematic Risk 26
Lease Structure 26 Lease Simulations 27 Effect of Interest
Rate Changes 29 Credit or Default Risk 31 Role of
Fundamental Analysis 32 Office Property Leasing
Fundamentals 32 Retail Property Leasing Fundamentals 34
Real Estate Portfolio Diversification 41
Geographic Diversification 41 Regional Risk and Return
Characteristics 42 Naive Diversification 45 Defining Regional
Markets 46 Property Type Diversification 47 International
Diversification 50 Data Limitations 50 Diversification
Benefits 52 Diversified Portfolio of Stocks, Bonds, and Real
Estate 53
Summary and Implications for Portfolio Management 59
Further Reading 60
Real Estate Finance and Investment Principles 60 Appraisals 61
Real Estate and Urban Economics 61
Bibliography 61
11 Futures and Options Strategies in Portfolio Management
David M. Dunford, CFA
Introduction 1
Modifying Portfolio Risk 1
i Risk Modification With Futures Contracts 2 Selling Futures
Contracts 4 Buying Futures Contracts 6 Risk Modification
With Options Contracts 8 Buying Call Options 8 Buying Calls
Plus Cash Equivalents 11 Writing Covered Call Options 14
Buying Put Options 16 Option Spread Strategies 17 Results of
Empirical Studies 19
Modifying Systematic Risk 20
^ Fixed Income Portfolios 21 Equity Portfolios 22
Modifying Unsystematic Risk 24
Asset Allocation 25
Futures in Asset Allocation 25 Execution Costs 25 Brokerage
^v Commission 26 Market Impact 26 Transaction Time 26
,V Disruption 26 Example of an Asset Mix Change With Futures 27
Advantages in a Multiple Manager Environment 28 Country
Allocation in International Portfolios 28 Options in Asset
Allocation 30 Skewness Preference Strategies 30
CONTENTS xxxi
Writing Call Options 30 Buying Protective Put Options 31
Buying Bills and Call Options 31 Example of an Asset Mix Change
With Options 31
Derivative Instruments in Equity Portfolio Management 35
General Equity Portfolio Management 35 Hedging a Cash
Contribution 36 Hedging a Cash Withdrawal 36 Options
Hedges for Contributions and Withdrawals 37 Passive Equity
Portfolio Management 38 Offsetting Cash Inflows 38
Enhanced Index Fund Construction 38 Mispricing Strategies 39
Active Equity Portfolio Management 40 Control of Systematic
Risk 40 Control of Unsystematic Risk 41 Altering Risk
Exposure 43 Active/Passive Equity Portfolio Management 45
Creation and Use of Synthetic Equity Securities 46 Cash
Equivalents 46 Dynamic Hedging 48 Simulation of Dynamic
Hedging 49 Cost of Dynamic Hedging 50 Dynamic Hedging
Implementation 52
Program Trading to Hedge Market Inefficiencies 53
Derivative Instruments in Fixed Income Portfolio Management 54
Hedging Using Fixed Income Futures 55 Selection of the Hedge
Vehicle 55 The Underlying Security 56 Basis Risk in Using
Fixed Income Futures 56 The Hedge Ratio 58 General Fixed
Income Portfolio Management 61 Passive Fixed Income Portfolio
Management 62 Active Fixed Income Portfolio Management 64
Control of Systematic Risk 64 Control of Unsystematic Risk 65
Active/Passive Fixed Income Portfolio Management 67 Matching
Asset and Liability Durations 67 Duration Adjustment in
Immunized Portfolios 68 Hedging Timing Differences 68
Creation of Synthetic Fixed Income Instruments 69 Synthetic Long
Bonds 70 Synthetic Money Market Securities 71 Floating to
Fixed Rate Conversions 71 Synthetic Mortgage Backed
Securities 72 Rate Anticipation Trading 72
Summary 73
Further Reading 73
Bibliography 74
12 Implementation of Portfolio Building: Execution
Jack L. Treynor and Wayne H. Wagner
Overview 1
The Key Players 2
Value Based Transactors 3 Spread Represents a Consensus 5
Information Based Transactors 6 Contrasting Analyses Used 8
Trading Between VBTs and IBTs 9 Trading Risk and Spread
Size 10 The Trading Paradox 11 Liquidity Based
Transactors 11 Pseudo Information Based Transactors 12
Winners and Losers 12
xxxii CONTENTS
Role of the Dealer 14
Width of the Dealer s Spread 16 Time Rate of Transactions 16
Price of the Security 16 Size of Trade 16 Insider Trading 17
Dealer Layoffs and Buy Ins 18 Location of Dealer Trades 19
Inside vs. Outside Spreads 20 Efficiency and Resiliency 21
Shifting Costs to Transactors 23 Sophisticated Trading
Strategies 24 Value Based Transactors 25 Passive
Investors 26 Liquidity Based Investors 27
Managing the Trading Function 27
The Portfolio Manager/Trader Relationship 29
The Buy Side/Sell Side Relationship 31
Brokerage Commissions 32 Execution Services 32
The Costs of Trading 33
Trading Cost Categories 34
How the Market Works 37
Types of Trades 39
Trading Tactics 41
Liquidity at Any Cost 41 Costs Not Important 43 Possible
Hazard, Need Agent 43 Advertised Orders 44 Low Cost,
Whatever the Liquidity 44
Traders Orders 44
Value Motivated Traders 45 Information Motivated Traders 45
Liquidity Motivated Traders 45 Passive Traders 46
Evaluating Trading Effectiveness 46
The Ethics of the Trading Community 47
Summary 47
Further Reading 48
Bibliography 48
Part V Managing the Investor s Portfolio
13 Monitoring and Rebalancing the Portfolio
Robert D. Arnott and Robert M. Lovell, Jr.
Overview 1
Observations on Portfolio Rebalancing 1
The Wrong Way to Revise Portfolios 2 Straying From Established
Roles 2 Clashing Cultures 3 Traditional Portfolio Revision 3
Factors Suggesting Portfolio Rebalancing 4
Changes Affecting the Client 4 Change in Wealth 4 Changing
Time Horizons 4 Changing Liquidity Requirements 5
CONTENTS xxxiii
Tax Circumstances 5 Laws and Regulations 5 Unique
Circumstances/Preferences 6 New Investment Alternatives 6
Changes in Asset Risk Attributes 7 Bull and Bear Markets 8
Central Bank Policy 9 Inflation Rate Changes 11 Changing
Return Prospects 12
The Transaction Cost Barrier 12
The Measurement Puzzle: A Zero Sum Game? 14 Transaction
Costs and Simulated Portfolios 14 Transaction Management 15
Avoiding the Pitfalls 16
Principles of Monitoring and Rebalancing 18
Asset Mix Rebalancing Benefits 18 Drifting Mix 18
Disciplined Rebalancing 18 Disciplined Rebalancing vs. Ad Hoc
Changes 20 The Burden of Excess Cash 21 Asset Mix
Changes Based on Market Timing 23 Can Ad Hoc Tactical Shifts
Add Value? 23 Tactical Asset Allocation: Theoretic
Underpinnings 24 Markets Tell Explicitly What Returns Are
Available 25 Relative Expected Returns Reflect Consensus 25
Expected Returns Provide Clues to Actual Returns 25 Tactical
Allocation Simulation for Rebalancing 27 Rebalancing Without
Futures 29
Rebalancing With Stock Screens 32
Return Erosion 33 Introducing Turnover 35
Active Management/Rebalancing: Why Bother? 36
Trading s Positive Side 39
Summary 40
Further Reading 40
Bibliography 41
14 Evaluating Portfolio Performance
Peter O. Dietz and Jeannette R. Kirschman
Monitoring Investment Strategy and Manager Skills 1
Evolution of Performance Measurement 2
Time Weighted Returns 2
Principles of Performance Measurement 3
Valuation Methods 5 Equities 5 Bonds 6 Matrix Pricing
Method 6 Non U.S. Securities 6 Significance of Pricing
Errors 7 Real Estate and Other Assets 7 Futures and
Options 8 Accrual Basis vs. Cash Basis 10 Trade Date vs.
Settlement Date 10
Methods of Performance Measurement 12
Calculation of Rate of Return 12 Internal or Dollar Weighted Rate
~ / of Return 12 Time Weighted Rate of Return 13 CPPS
/¦ • Study 14 Time Intervals 14 Day Weighting Method 15
xxxiv CONTENTS
Annualized Returns 15 Portfolio Segment Measurement 17
Adjusting for Risk 18 Trey nor Measure 19 Sharpe
Measure 19 Jensen Measure 20 Problems in Use of
CAPM 21 Arbitrage Pricing Theory Approach 22
Decomposition of Returns 22 Use of a Two Parameter
Measure 22
Evaluation of Investment Performance 23
Performance Attribution 24 Allocation Effect 24 Selection
Effect 26 Evaluation of Bond Strategies 27 Universe
Comparison Problems 28 Comparisons With Benchmarks 31
Normal Portfolio Comparisons 32 Analysis of Sources of
Return 33 Example of Return Sources and Attribution 33
Evaluation of Equity Strategies 35 Identification of Styles 35
Performance Comparisons for Mutual Fund Study 37 Benchmark
Development 39 Performance Comparisons Within Styles 41
Portfolio Analysis 44 Analysis of Extra Market Risk Approach 46
Evaluation of Real Estate Strategies 47
Performance Fees 49
Problems With Performance Measurement 49
Client Pressures 49 Performance in Perspective 50
Summary 51
Further Reading 52
Computer Applications 52
Bibliography 53
Index 1 1
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| any_adam_object | 1 |
| building | Verbundindex |
| bvnumber | BV004573837 |
| classification_rvk | QP 343 |
| ctrlnum | (OCoLC)266174565 (DE-599)BVBBV004573837 |
| dewey-full | 332.6 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6 |
| dewey-search | 332.6 |
| dewey-sort | 3332.6 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 2. ed. |
| format | Book |
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| genre | (DE-588)4143413-4 Aufsatzsammlung gnd-content |
| genre_facet | Aufsatzsammlung |
| id | DE-604.BV004573837 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T16:14:30Z |
| institution | BVB |
| isbn | 0791303225 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-002813701 |
| oclc_num | 266174565 |
| open_access_boolean | |
| owner | DE-384 DE-N2 |
| owner_facet | DE-384 DE-N2 |
| physical | Getr. Zählung graph. Darst. |
| publishDate | 1990 |
| publishDateSearch | 1990 |
| publishDateSort | 1990 |
| publisher | Warren, Gorham & Lamont |
| record_format | marc |
| spelling | Managing investment portfolios a dynamic process ed. by John L. Maginn ... 2. ed. Boston u.a. Warren, Gorham & Lamont 1990 Getr. Zählung graph. Darst. txt rdacontent n rdamedia nc rdacarrier Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Portfoliomanagement (DE-588)4115601-8 s DE-604 Maginn, John L. Sonstige oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=002813701&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Managing investment portfolios a dynamic process Portfoliomanagement (DE-588)4115601-8 gnd |
| subject_GND | (DE-588)4115601-8 (DE-588)4143413-4 |
| title | Managing investment portfolios a dynamic process |
| title_auth | Managing investment portfolios a dynamic process |
| title_exact_search | Managing investment portfolios a dynamic process |
| title_full | Managing investment portfolios a dynamic process ed. by John L. Maginn ... |
| title_fullStr | Managing investment portfolios a dynamic process ed. by John L. Maginn ... |
| title_full_unstemmed | Managing investment portfolios a dynamic process ed. by John L. Maginn ... |
| title_short | Managing investment portfolios |
| title_sort | managing investment portfolios a dynamic process |
| title_sub | a dynamic process |
| topic | Portfoliomanagement (DE-588)4115601-8 gnd |
| topic_facet | Portfoliomanagement Aufsatzsammlung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=002813701&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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