Practical quantitative investment management with derivatives:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Basingstoke
Palgrave
2002
|
| Ausgabe: | 1. publ. |
| Schriftenreihe: | Finance and capital markets
|
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XXVI, 502 S. graph. Darst. 1 CD-ROM |
| ISBN: | 0333926218 |
Internformat
MARC
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| 100 | 1 | |a Cowell, Frances |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Practical quantitative investment management with derivatives |c Frances Cowell |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a Basingstoke |b Palgrave |c 2002 | |
| 300 | |a XXVI, 502 S. |b graph. Darst. |e 1 CD-ROM | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Finance and capital markets | |
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Datensatz im Suchindex
| _version_ | 1804142371704668160 |
|---|---|
| adam_text | List of Tables and Examples xv
Preface xxi
Origins of the Book xxi
Objectives xxii
Scope xxii
The Cast xxiii
Overlap of Traditional and Quantitative xxiii
Case Studies xxiii
Spreadsheets xxiv
Glossary xxiv
Acknowledgements xxv
PARTI INTRODUCTION
/ Introduction 3
What has Changed? 3
Defining the Investment Fund Structure 6
The Role of the Investment Consultant 8
The Investment Strategy 11
The Investment Management Mandate 17
Manager Selection 20
Portfolio Evaluation 21
The Role of the Custodian 22
2 The Traditional Approach 25
Allocation to Asset Classes 28
Security Selection within Asset Classes 31
Limitations of Traditional Approaches 33
Trends in Traditional Investment Management 34
3 Investment Management Theory 36
The Efficient Markets Hypothesis (EMH) 36
The Capital Asset Pricing Model (CAPM) 38
Optimal Portfolios and Portfolio Optimization 41
Expected and Observed Return and Risk 46
Value-at-Risk (VAR) 48
Risk Budgeting 49
Reverse Optimization 50
Interest Rates 51
PART II PORTFOLIO CONSTRUCTION
4 Quantitative Asset Allocation Models 55
Applications 55
Theory 56
Long-Term Asset Allocation 57
Short-Term Asset Allocation 75
Risk Management 78
Implementation of Short-term Asset Allocation 79
Use of Derivatives 83
Ongoing Management 84
Administration 85
Valuation 85
Performance Measurement and Attribution 87
Pitfalls 90
Case Study 90
5 Portfolio Protection 94
Applications 94
Theory 97
Option Pricing 100
Black-Scholes versus CPPI 105
Implementation 105
Ongoing Management 106
Currency Management 107
Administration 108
Valuation 108
Performance Measurement and Attribution 110
Pitfalls 110
The 1987 Market Crash 111
Case Study 113
6 Capital Guaranteed Portfolios 7 78
Applications 118
Theory 118
Implementation 120
Currency Management 121
Ongoing Management 122
Administration 123
Valuation 124
Performance Measurement and Attribution 124
Pitfalls 124
Case Study 125
7 Passive Asset Allocation 128
Applications 128
Theory 129
Implementation 130
Currency Management 130
Use of Derivatives 131
Ongoing Management 132
Administration 134
Valuation 134
Performance Measurement and Attribution 134
Pitfalls 137
Case Study 137
8 Quantitative Models for Domestic Equity Portfolios 143
Applications 143
Theory 143
Defining the Benchmark 144
Return Forecasting 144
Risk Forecasting and Management 158
Currency Management 159
Implementation 160
Use of Derivatives 162
Corporate Actions 162
Ongoing Management 164
Administration 165
Valuation 165
Performance Measurement and Attribution 166
Pitfalls 167
Case Study 168
9 Quantitative Models for International Equity Portfolios 173
Applications 173
Theory 174
Defining the Benchmark 175
Return Forecasting 175
Implementation 187
Ongoing Management 190
Use of Derivatives 191
Administration 192
Valuation I92
Performance Measurement and Attribution 192
Pitfalls 195
Case Study 196
10 Optimized Stock Selection Models 200
Applications 200
Theory 201
Optimizers for Asset Allocation and Stock Selection 203
Estimating the Risk Factor Model 203
The Relationship Between Stock Selection and
Asset Allocation 208
Applying Global Factors 211
Portfolio Risk Analysis 213
Portfolio Construction 216
Currency Management 219
Use of Derivatives 219
Ongoing Management and Administration 220
Performance Measurement and Attribution 220
Reverse Optimization 220
Pitfalls 223
71 Indexation 225
Applications 225
Theory 226
Defining the Benchmark 228
Currency Management 235
Use of Derivatives 235
Index Enhancements 236
Customized Indexed Portfolios 240
Indexation of Domestic Fixed Interest Portfolios 241
Indexation of International Fixed Interest Portfolios 243
Indexation of Property Portfolios 243
Ongoing Management 243
Administration 245
Valuation 245
Performance Measurement and Attribution 246
Pitfalls 248
Case Study 248
12 Fixed Interest Portfolios 252
Applications 252
Theory 253
Calculating the Price of Fixed Interest Securities 255
Credit Risk 259
Portfolio Construction 262
Interest Rate Risk Management 263
Yield Curve Modelling 267
Implementation 269
Use of Derivatives 270
Currency Management 271
Ongoing Management 272
Administration 273
Valuation 273
Performance Measurement and Attribution 274
Pitfalls 274
Case Study 275
13 Property Portfolios 277
Applications 277
Theory 277
Implementation 278
Use of Derivatives 280
Ongoing Management 281
Administration 282
Valuation 282
Performance Measurement and Attribution 283
Pitfalls 285
Case Study 286
14 Market Neutral (Hedge) Portfolios and Other Alternative
Investment Classes 288
Characteristics of Alternative Investment Funds 288
Applications 290
Theory 291
Alternative Investment Strategies 291
Implementation 300
Currency Management 301
Ongoing Management 302
Administration 303
Valuation 303
Performance Measurement and Attribution 304
Pitfalls 305
Case Study 305
15 Portfolio Transition and Transition Portfolios 310
Portfolio Transition 310
Transition Management 312
Transition Portfolios 314
Objectives 314
Implementation 315
Currency Management 316
Ongoing Management 317
Administration 317
Valuation 317
Performance Measurement and Attribution 318
Pitfalls 318
Case Study 320
16 Currency Management 322
Applications 322
Theory 324
Approaches to Active Currency Management 327
Defining the Currency Management Mandate 329
Implementation 330
Use of Derivatives 331
Ongoing Management 331
Administration 332
Valuation 333
Performance Measurement and Attribution 334
Pitfalls 335
PART III PERIPHERALS
17 Implementation of Equity Portfolios 339
The Traditional Approach 339
Basket Trading 342
Stock Borrowing and Lending 344
Soft Dollars 346
Directed Commissions 348
18 Performance Measurement and Attribution 350
Single Period Return Measurement 350
Multiple Period Return Measurement 354
The Limitations of Returns 355
Single Period Attribution Analysis 358
Analysis of Deadweight and Active Holdings 361
Multiple Period Attribution Analysis 362
19 The Use of Software in Investment Management 366
Market Information 367
Return Forecasting for Asset Classes and Individual Securities 368
Risk Modelling, Portfolio Analysis and Construction 368
Analysis of Derivatives 371
Recording and Reconciling Transactions 372
Maintaining Portfolio Records 374
Tax 374
Portfolio Valuation 375
Return Measurement, Attribution and Reporting 377
Buy versus Build 378
Integrated versus Cherry-picking with Middleware 379
20 Trends in Investment Management 380
Ownership and Structure of Investment
Management Firms 380
Boutiques versus Full Service Managers 381
Fee Structures 382
The Custodian as Investment Manager 384
The Role of the Consultant 385
Corporate Governance 386
The Role of the Compliance Officer 388
People versus Processes: Atomization of Investment
Management Functions 390
21 Conclusions: Traditional versus Quantitative 393
Models for Investment Management 394
Traditional versus Quantitative Investment Management 396
The Grey Areas 398
PART IV APPENDICES
Appendix 1: Pricing Interest Rate Securities 403
The Settlement Value of a Discount Security 403
The Point Value of a Discount Security 404
The Settlement Value of a Bond 405
The Point Value of a Bond 406
Appendix 2: Forward Contracts 407
Theory 407
Pricing 408
Foreign Exchange Forwards 410
Interest Rate Forwards 411
Implementation 413
Ongoing Management 415
Administration 416
Appendix 3: Futures Contracts 418
Theory 418
Pricing 418
Applications 419
Futures on Discount Interest-bearing Securities 420
Futures on Bonds 421
Pricing a Bond Future 422
Implementation 422
Ongoing Management 425
Administration 426
Performance Measurement and Attribution 428
Appendix 4: Swaps 43I
Theory 431
Pricing 433
Implementation 434
Administration 435
Performance Attribution 436
Synthetic Swaps 436
Advantages and Disadvantages of Swaps Over Futures and Forwards 439
Appendix 5: Options 440
Pricing 441
Options on Futures 442
Assumptions 445
Put-call Parity 445
Option Volatility - Gamma 450
Implied Volatility 452
Implementation 452
Options on Physical Securities 453
Over-the-counter 453
Ongoing Management 454
Administration 455
Performance Measurement and Attribution 455
Appendix 6: Convertible and Converting Notes 457
Theory 457
Pricing 458
Convertible Notes 458
Converting Notes 461
Applications 462
Implementation 463
Ongoing Management 463
Administration 464
Performance Measurement and Attribution 464
Glossary of Terms 467
Bibliography 490
Index 492
Tables
1.1 A typical investment management process 5
1.2 How many investment managers? 16
12.1 Example credit ratings 260
Examples
1.1 Assessing the value of short-term asset allocation 22
2.1 Scenario analysis 29
3.1 The efficient frontier 37
3.2 Value of dividend tax credits for domestic and international investors 38
3.3 Active portfolio and market returns 41
3.4.1 Quantifying diversification: a 2-stock portfolio 42
3.4.2 Quantifying diversification: a 3-stock portfolio 42
3.4.3 Quantifying diversification: asset correlations 42
3.5 Correlation matrix changes over time 44
3.6 Observed tracking error 47
3.7 Value-at-risk 49
3.8 The yield curve 52
4.1 Extrapolating from past returns 61
4.2 Calculating the present value of dividends 63
C xv I
4.3 Interest rate parity 65
4.4 Purchasing power parity 66
4.5 Currency fluctuations 69
4.6 A simple hedge to base currency 70
4.7 Comparing correlation matrices 71
4.8 Linear and exponentially weighted correlations 72
4.9 Optimization of long-term allocation: constrained and unconstrained 74
4.10 Reverse optimization 77
4.11 Contribution to portfolio variance 78
4.12.1 Short-term allocation shift using futures and forwards 81
4.12.2 Transaction summary - start of period 82
4.12.3 Transaction summary - end of period 83
4.13 Valuation of short-term asset allocation overlay 86
4.14 Return contribution for short-term asset allocation 88
4.15 Return calculation 88
4.16 Observed tracking error 89
5.1 Hold shares and buy put options versus sell portfolio
and buy call options 96
5.2 Cost of option versus equity participation 98
5.3 Actual versus replicating options 101
5.4.1 Constant proportions portfolio insurance (CPPI) 103
5.4.2 CPPI: asset allocation 104
5.4.3 CPPI: asset allocation adjustment 104
5.5.1 Valuation of bought put option 108
5.5.2 Valuation of replicated put option 109
5.5.3 Valuation of CPPI 109
5.6 An option on a basket of assets versus a basket of options 115
5.7.1 Comparison of protection methods 116
5.7.2 Comparison between unprotected portfolio and three
protection methods 117
6.1 The cost and price of a guarantee 119
6.2 Estimated capital requirement for various asset allocations 121
6.3 Portfolio liquidation values 123
6.4 Market conditions 1988-90 126
7.1 Rebalancing passive asset allocation 133
7.2 Return to the portfolio and asset classes 135
7.3 Attribution analysis for passive asset allocation with active
and passive sector management 136
7.4.1 Long-term asset allocation 138
7.4.2 Portfolio structure 140
7.4.3 Portfolio returns 141
7.4.4 Attribution analysis 142
8.1 Technical analysis 145
8.2 Analysis of momentum 146
8.3 Dividend discounting 147
8.4 A simplified single stock model 148
8.5 Arbitrage pricing theory 151
8.6 Portfolio exposures to currencies 156
8.7 Risk and return 157
8.8 Forecast tracking error: sectors, industry groups and currencies
as factors 159
8.9 Foreign currency exposures within domestic portfolios 161
8.10 Return measurement 166
8.11.1 Comparison of return and volatility for Australian All Ordinaries,
All Industrials and All Resources indices 169
8.11.2 Comparison of return and volatility for Australian All Ordinaries,
All Industrials and All Resources indices: 1993 and 1994 170
8.11.3 Results for Australian All Ordinaries, All Industrials and
All Resources indices and 90/10 portfolio from 1996 to 1999 170
8.11.4 Risk-return trade-off for Australian All Ordinaries, All Industrials
and All Resources indices and 90/10 portfolio from 1980 to 1999 170
8.11.5 Actual portfolio performance 1996 to 1997 172
9.1 Risk and return for domestic and international portfolios 174
9.2 Categorization of international portfolio by country 178
9.3 Categorization of international portfolio by industry 180
9.4 Categorization of emerging markets portfolio by country 182
9.5 Foreign currency exposure of a portfolio with a nominal
currency hedge 185
9.6 Portfolio valuation 193
9.7 Single period performance attribution 194
9.8.1 Composition of the international indexed portfolio and benchmark 197
9.8.2 Performance of the international indexed portfolio and
benchmark: 1992-96 198
9.8.3 Summary attribution analysis of the international indexed portfolio 199
10.1 A typical portfolio asset allocation 209
10.2 Foreign currency exposure in two domestic portfolios 210
10.3 Currency sensitivities of Rolls-Royce from a UK pound base 212
10.4 Factor beta versus contribution to portfolio risk 215
10.5 Constrained and unconstrained optimization 218
10.6.1 Effect of changed forecast returns on optimization 221
10.6.2 Optimization with forecast returns #1 221
10.6.3 Optimization with forecast returns #2 222
10.7 Reverse optimization 223
11.1.1 Stratified samples 232
11.1.2 Expected beta and tracking error - stratified and optimized sample 233
11.2.1 Exploiting mispriced derivatives and initial prices 237
11.2.2 Exploiting mispriced derivatives and outcome 237
11.3.1 Sample indexed portfolio for domestic fixed interest 241
11.3.2 Summary of exposure and duration 242
11.4.1 Monthly performance of domestic equities indexed portfolio 246
11.4.2 Return summary, domestic equities indexed portfolio
to 30 June 1996 246
11.4.3 Performance summary, domestic equities indexed portfolio
to 31 May 1996 247
11.5 Tracking error versus number of stocks 250
12.1 The yield curve 254
12.2 Discounting 255
12.3.1 Compounding within one year 256
12.3.2 Compounding over more than one year 256
12.4 Continuous compounding 257
12.5 Calculating the bond price 257
12.6 The bond price over the coupon cycle (cum-interest) 258
12.7.1 Portfolio value per basis point for two bonds 263
12.7.2 Modified duration for two bonds 264
12.7.3 Convexity of two bonds 265
12.8 Pull to par 265
12.9 Effect on the bond price of a change in credit risk 266
12.10 A simple fitted curve 268
12.11 Put-call parity in terms of yield.../...and settlement value 276
13.1 Frequency of valuation 284
14.1 Leverage from borrowing and bought futures positions 295
14.2 Discounted cash flow 304
14.3.1 Short call and put at the same exercise price 306
14.3.2 Short call and put at the same exercise price 307
14.3.3 Short call and put at the same exercise price with short
stock position 307
14.3.4 Payoff to option strategy 309
15.1 Portfolio transition 316
15.2 Performance of a transition portfolio 321
16.1.1 Single period return in local and base currency: unhedged 323
16.1.2 Single period return in local and base currency: hedged 324
16.2 Purchasing power parity 325
16.3 Interest rate parity: calculating the forward exchange rate 326
16.4 Long-term exchange rate trends 327
16.5 Single period return in local and base currency: hedged 334
18.1 Single period portfolio return with cash flow 353
18.2 Arithmetic and geometric linking 355
18.3.1 Monthly portfolio returns 356
18.3.2 Return summary to 30 June 1996 356
18.3.3 Return summary to 31 May 1996 356
18.3.4 Expected and observed beta and tracking error 357
18.4.1 Summary attribution analysis by industry group 359
18.4.2 Attribution analysis by industry group 360
18.5 Portfolio equals benchmark plus long-short 362
18.6 Attribution analysis: three assets, three periods, arithmetic
and geometric linking 364
19.1 Futures exposure 376
Al.1.1 The settlement value of a discount security 404
Al.1.2 The point value of a discount security 405
Al.2.1 The settlement value of a bond 405
Al.2.2 The point value of a bond 406
A2.1.1 The settlement value of a forward contract 409
A2.1.2 The settlement value of a forward contract 409
A2.2 The value of a foreign exchange forward contract 411
A2.3 Interest rate forward: physical 2-month investment plus 3-month
forward versus 5-month physical investment 412
A3.1 Futures on share price indices 419
A3.2 Interest rate future: physical 2-month investment plus 3-month
forward versus 5-month physical investment 421
A3.3 Pricing a bond future 422
A3.4 Pricing a futures roll 424
A3.5 Calculation of simple variation margins 426
A3.6 Valuation and attribution analysis for a bought futures contract 429
A4.1 Asset swap 432
A4.2 Pricing an asset swap 434
A4.3 Revaluation and reset of an asset swap 435
A4.4.1 Synthetic swap structure 437
A4.4.2 Synthetic swap outcome 438
A5.1.1 The call option 443
A5.1.2 The option premium 444
A5.2.1 Put-call parity 446
A5.2.2 Sell stock and buy call versus hold stock and buy put 447
A5.3 Replicating options 448
A5.4 Replicated call options 449
A5.5 Delta and gamma of an option portfolio 451
A5.6 Valuation and attribution analysis for a bought call option on a
futures contract 456
A6.1.1 A simple convertible note 460
A6.1.2 A simple convertible note 461
A6.2 A simple converting note 462
A6.3 Valuation and attribution analysis for a simple convertible note 465
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| institution | BVB |
| isbn | 0333926218 |
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| series2 | Finance and capital markets |
| spelling | Cowell, Frances Verfasser aut Practical quantitative investment management with derivatives Frances Cowell 1. publ. Basingstoke Palgrave 2002 XXVI, 502 S. graph. Darst. 1 CD-ROM txt rdacontent n rdamedia nc rdacarrier Finance and capital markets HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=019933406&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Cowell, Frances Practical quantitative investment management with derivatives |
| title | Practical quantitative investment management with derivatives |
| title_auth | Practical quantitative investment management with derivatives |
| title_exact_search | Practical quantitative investment management with derivatives |
| title_full | Practical quantitative investment management with derivatives Frances Cowell |
| title_fullStr | Practical quantitative investment management with derivatives Frances Cowell |
| title_full_unstemmed | Practical quantitative investment management with derivatives Frances Cowell |
| title_short | Practical quantitative investment management with derivatives |
| title_sort | practical quantitative investment management with derivatives |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=019933406&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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