Analysis of investments and management of portfolios:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Andover
Cengage Learning
2015
|
| Ausgabe: | Europe, Middle East and Africa ed. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | This work is adapted from Analysis of investments and management of portfolios, 10th international edition by Frank K. Reilly and Keith C. Brown, 2012. |
| Beschreibung: | XVII, 748 S. graph. Darst. |
| ISBN: | 9781473704794 |
Internformat
MARC
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| 300 | |a XVII, 748 S. |b graph. Darst. | ||
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| 500 | |a This work is adapted from Analysis of investments and management of portfolios, 10th international edition by Frank K. Reilly and Keith C. Brown, 2012. | ||
| 650 | 4 | |a Investments | |
| 650 | 4 | |a Investment analysis | |
| 650 | 4 | |a Portfolio management | |
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Datensatz im Suchindex
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| adam_text | Titel: Analysis of investments and management of portfolios
Autor: Reilly, Frank K
Jahr: 2015
CONTENTS
Preface xiv
Acknowledgements xv
About the Authors xvi
Digital Resources xvii
PART I The Investment Background 1
1 The Investment Process 2
1.1 What is an Investment? 3
1.1.1 Investment defined 3
1.2 Measures of Return and Risk 3
1.2.1 Measures of historical rates of
return 4
1.2.2 Calculating mean historical returns 6
1.2.3 Calculating expected rates of return 8
1.2.4 Measuring the risk of expected rates
of return 11
1.2.5 Risk measures for historical returns 12
1.3 Determinants of Required Rates of
Return 13
1.3.1 The real risk-free rate 13
1.3.2 Factors influencing the nominal risk-free
rate (NRFR) 14
1.3.3 Risk premium 16
1.3.4 Risk premium and portfolio theory 17
1.3.5 Fundamental risk versus systematic
risk 18
1.3.6 Summary of required rate of return 18
1.4 Relationship Between Risk and Return 19
1.4.1 Movements along the SML 19
1.4.2 Changes in the slope of the SML 20
1.4.3 Changes in capital market conditions or
expected inflation 22
1.4.4 Summary of changes in the required rate
of return 22
2 The Global Market Investment
Decision 26
2.1 The Case for Global Investments 27
2.1.1 Relative size of and composition of
financial markets 27
2.1.2 Rates of return on domestic and foreign
securities 29
2.1.3 Risk of combined country
investments 29
2.2 Global Investment Choices 33
2.2.1 Fixed-income investments 34
2.2.2 International bond investing 36
2.2.3 Equity instruments 37
2.2.4 Special equity instruments: options 38
2.2.5 Futures contracts 38
2.2.6 Investment companies 39
2.2.7 Property 40
2.2.8 Low-liquidity investments 41
2.3 Historical Risk-Returns on Alternative
Investments 42
2.3.1 World portfolio performance 42
2.3.2 Art and antiques 46
2.3.3 Land and property 46
3 Securities Markets: Organisation and
Operation 51
3.1 What is a Market? 52
3.1.1 Characteristics of a good market 52
3.1.2 Securities markets are divided into
primary and secondary markets 53
3.2 Primary Capital Markets 53
3.2.1 Government bond issues 53
3.2.2 Municipal bond issues 53
3.2.3 Corporate bond issues 54
3.2.4 Corporate stock issues 55
3.2.5 Private placements and Rule 144A 56
3.3 Secondary Financial Markets 56
3.3.1 Why secondary markets are
important 56
3.3.2 Secondary bond markets 56
3.3.3 Financial futures 58
3.3.4 Secondary equity markets 58
3.4 Classification of Secondary Equity
Markets 59
3.4.1 Primary listing markets 59
3.4.2 Regional stock exchanges 62
3.4.3 The third market 62
3.4.4 Trend toward electronic trading 62
3.5 Alternative Types of Orders Available 63
3.5.1 Market orders 63
3.5.2 Limit orders 63
3.5.3 Special orders 64
3.5.4 Margin transactions 64
3.5.5 Short sales 66
3.5.6 Exchange market-makers 67
3.5.7 New trading systems 67
3.5.8 Exchange merger mania 68
PART II Developments in Investment
Theory 71
4 Efficient Capital Markets 72
4.1 Why Should Capital Markets Be
Efficient? 73
4.2 Alternative Efficient Market Hypotheses 73
4.2.1 Weak-form efficient market
hypothesis 73
4.2.2 Semistrong-form efficient market
hypothesis 74
4.2.3 Strong-form efficient market
hypothesis 74
4.3 Tests and Results of Efficient Market
Hypotheses 74
4.3.1 Weak-form hypothesis: tests and
results 74
4.3.2 Semistrong-form hypothesis: tests and
results 76
4.3.3 Strong-form hypothesis: tests and
results 85
4.4 Behavioural Finance 88
4.4.1 Explaining biases 89
4.4.2 Fusion investing 90
4.5 Implications of Efficient Capital Markets 91
4.5.1 Efficient markets and technical
analysis 91
4.5.2 Efficient markets and fundamental
analysis 91
4.5.3 Efficient markets and portfolio
management 93
5 Portfolio Management 99
5.1 Some Background Assumptions 100
5.1.1 Risk aversion 100
5.1.2 Definition of risk 100
5.2 Markowitz Portfolio Theory 100
5.2.1 Alternative measures of risk 101
5.2.2 Expected rates of return 101
5.2.3 Variance (standard deviation) of returns
for an individual investment 102
5.2.4 Variance (standard deviation) of returns
for a portfolio 102
5.2.5 Standard deviation of a portfolio 108
5.2.6 A three-asset portfolio 114
5.2.7 Estimation issues 115
5.2.8 The efficient frontier 116
5.2.9 The efficient frontier and investor
utility 116
6 Asset Pricing Models 122
6.1 Capital Market Theory: An Overview 123
6.1.1 Background for capital market
theory 123
6.1.2 Developing the capital market line 123
6.1.3 Risk, diversification and the market
portfolio 127
6.1.4 Investing with the CML: an
example 129
6.2 The Capital Asset Pricing Model 130
6.2.1 A conceptual development of the
CAPM 131
6.2.2 The security market line 132
6.3 Relaxing the Assumptions 139
6.3.1 Differential borrowing and lending
rates 139
6.3.2 Zero-beta model 139
6.3.3 Transaction costs 141
6.3.4 Heterogeneous expectations and
planning periods 142
6.3.5 Taxes 142
6.4 Additional Empirical Tests of the CAPM 142
6.4.1 Stability of beta 142
6.4.2 Relationship between systematic risk
and return 143
6.4.3 Summary of CAPM risk-return
empirical results 144
6.5 The Market Portfolio: Theory versus
Practice 145
7 Multifactor Models of Risk and
Return 151
7.1 Arbitrage Pricing Theory 152
7.1.1 Using the APT 154
7.1.2 Security valuation with the APT: An
example 155
7.1.3 Empirical Tests of the APT 157
7.2 Multifactor Models and Risk Estimation 159
7.2.1 Multifactor models in practice 159
7.2.2 Estimating risk in a multifactor setting:
Examples 164
PART III Valuation Principles and
Practices 173
8 Analysis of Financial Statements 174
8.1 Major Financial Statements 175
8.1.1 Generally accepted accounting
principles 175
8.1.2 Balance sheet 175
8.1.3 Income statement 176
8.1.4 Statement of cash flows 177
8.1.5 Measures of cash flow 179
8.1.6 Purpose of financial statement
analysis 180
8.2 Analysis of Financial Ratios 180
8.2.1 Importance of relative financial
ratios 180
8.3 Computation of Financial Ratios 181
8.3.1 Common size statements 181
8.4 Evaluating Internal Liquidity 182
8.4.1 Internal liquidity ratios 183
8.4.2 Inventory turnover 185
8.5 Evaluating Operating Performance 187
8.5.1 Operating efficiency ratios 187
8.5.2 Operating profitability ratios 189
8.6 Risk Analysis 195
8.6.1 Business risk 196
8.6.2 Financial risk 197
8.6.3 External market liquidity risk 204
8.7 Analysis of Growth Potential 205
8.7.1 Importance of growth analysis 205
8.7.2 Determinants of growth 205
8.8 Comparative Analysis of Ratios 207
8.8.1 Internal liquidity 207
8.8.2 Operating performance 209
8.8.3 Risk analysis 209
8.8.4 Growth analysis 209
8.9 The Quality of Financial Statements 209
8.9.1 Balance sheet 209
8.9.2 Income statement 210
8.9.3 Footnotes 210
8.10 The Value of Financial Statement
Analysis 210
8.11 Specific Uses of Financial Ratios 211
8.11.1 Stock valuation models 211
8.11.2 Estimating the ratings on bonds 211
8.11.3 Predicting insolvency
(bankruptcy) 212
8.11.4 Limitations of financial ratios 212
9 Security Valuation Principles 220
9.1 An Overview of the Valuation Process 221
9.2 Why a Three-Step Valuation Process? 222
9.2.1 General economic influences 222
9.2.2 Industry influences 223
9.2.3 Company analysis 224
9.2.4 Does the three-step process
work? 224
9.3 Theory of Valuation 224
9.3.1 Stream of expected returns (cash
flows) 225
9.3.2 Required rate of return 225
9.3.3 Investment decision process: a
comparison of estimated values
and market prices 225
9.4 Valuation of Alternative Investments 226
9.4.1 Valuation of bonds 226
9.4.2 Valuation of preferred stock 227
9.4.3 Approaches to the valuation of
common stock 228
9.4.4 Why and when to use the discounted
cash flow valuation approach 228
9.4.5 Why and when to use the relative
valuation techniques 229
9.4.6 Discounted cash flow valuation
techniques 229
9.4.7 Infinite period DDM and growth
companies 234
9.4.8 Valuation with temporary
supernormal growth 235
9.4.9 Present value of operating free cash
flows 236
9.4.10 Present value of free cash flows to
equity 237
9.5 Relative Valuation Techniques 238
9.5.1 Earnings Multiplier Model 238
9.5.2 The price/cash flow ratio 240
9.5.3 The price/book value ratio 241
9.5.4 The price/sales ratio 241
9.5.5 Implementing the relative valuation
technique 242
9.6 Estimating the Inputs: The Required Rate
of Return and the Expected Growth Rate of
Valuation Variables 242
9.6.1 Required rate of return (k) 242
9.6.2 Estimating the required return for
foreign securities 243
9.6.3 Expected growth rates 246
9.6.4 Estimating dividend growth for
foreign stocks 248
PART IV Analysis and Management of
Common Stocks 252
10 Macroanalysis and Microvaluation of the
Stock Market 253
10.1 The Components of Market Analysis 254
10.2 Macromarket Analysis 254
10.2.1 Economic activity and security
markets 254
10.2.2 Economic series and stock
prices 254
10.2.3 The cyclical indicator
approach 255
10.2.4 Monetary variables, the economy and
stock prices 258
10.2.5 Money supply and the economy 258
10.2.6 Money supply and stock prices 258
10.2.7 Monetary policy and stock
returns 258
10.2.8 Inflation, interest rates and security
prices 259
10.2.9 Analysis of world security
markets 261
10.3 Microvaluation Analysis 261
10.3.1 Applying the DDM valuation model
to the market 261
10.3.2 Market valuation using the Free Cash
Flow to Equity (FCFE) model 268
10.4 Valuation Using the Earnings Multiplier
Approach 270
10.4.1 Two-part valuation procedure 270
10.4.2 Importance of both components of
value 271
10.5 Estimating Expected Earnings per
Share 273
10.5.1 Estimating gross domestic
product 273
10.5.2 Estimating sales per share for a
market series 273
10.5.3 Alternative estimates of corporate net
profits 275
10.5.4 Estimating aggregate operating profit
margin 275
10.5.5 Estimating interest expense 278
10.5.6 Estimating the tax rate 278
10.5.7 Calculating earnings per share: an
example 279
10.6 Estimating the Stock Market Earnings
Multiplier 281
10.6.1 Determinants of the earnings
multiplier 281
10.6.2 Estimating the required rate of return
(k) 282
10.6.3 Estimating the growth rate of
dividends (g) 282
10.6.4 Estimating the dividend-payout ratio
(Di./Ei.) 282
10.6.5 Estimating an earnings multiplier: an
example 284
10.6.6 Calculating an estimate of the value
for the market series 286
10.6.7 Using other relative valuation
ratios 286
10.7 Microvaluation of World Markets 288
11 Industry Analysis 293
11.1 Why Do Industry Analysis?
294
11.1.1 Cross-sectional industry
performance 294
11.1.2 Industry performance over time 295
11.1.3 Performance of the companies within
an industry 295
11.1.4 Differences in industry risk 296
11.1.5 Summary of research on industry
analysis 296
11.1.6 Industry analysis process 296
11.2 The Business Cycle and Industry
Sectors 297
11.2.1 Inflation 298
11.2.2 Interest rates 298
11.2.3 International economics 298
11.2.4 Consumer sentiment 298
11.3 Structural Economic Changes and Alternative
Industries 298
11.3.1 Demographics 298
11.3.2 Lifestyles 299
11.3.3 Technology 299
11.3.4 Politics and regulations 299
11.4 Evaluating the Industry Life Cycle 300
11.5 Analysis of Industry Competition 301
11.5.1 Competition and expected industry
returns 301
11.6 Estimating Industry Rates of Return 303
11.6.1 Valuation using the reduced form
DDM 303
11.6.2 Industry valuation using the free
cash flow to equity (FCFE)
model 309
11.7 Industry Analysis Using the Relative
Valuation Approach
11.7.1 The earnings multiple
technique 312
11.8 Other Relative Valuation Ratios 321
11.8.1 The price/book value ratio 324
11.8.2 The price/cash flow ratio 324
11.8.3 The price/sales ratio 324
11.8.4 Summary of industry/market
ratios 325
11.9 Global Industry Analysis 326
12 Company Analysis and Stock
Valuation 329
12.1 Company Analysis versus Stock
Valuation 330
12.1.1 Growth companies and growth
stocks 330
12.1.2 Defensive companies and stocks 331
12.1.3 Cyclical companies and stocks 331
12.1.4 Speculative companies and
stocks 331
12.1.5 Value versus growth investing 331
12.2 Economic, Industry and Structural Links
to Company Analysis 331
12.2.1 Economic and industry
influences 331
12.2.2 Structural influences 332
12.3 Company Analysis 332
12.3.1 Firm competitive strategies 332
12.3.2 Focusing a strategy 332
12.3.3 SWOT analysis 333
12.3.4 Some lessons from lynch 334
12.3.5 Tenets of warren buffett 334
12.4 Estimating Intrinsic Value 335
12.4.1 Present value of dividends 335
12.4.2 Present value of dividends model
(DDM) 338
12.4.3 Present value of free cash flow to
equity 339
12.4.4 Present value of operating free cash
flow 342
12.4.5 Relative valuation ratio
techniques 345
12.5 Estimating Company Earnings per
Share 345
12.5.1 Company sales forecast 345
12.5.2 Estimating the company profit
margin 350
12.6 Walgreen Co. s Competitive Strategies 350
12.6.1 The internal performance 350
12.6.2 Importance of quarterly
estimates 352
12.7 Estimating Company Earnings
Multipliers 353
12.7.1 Macroanalysis of the earnings
multiple 353
12.7.2 Microanalysis of the earnings
multiplier 354
12.7.3 Making the investment
decision 358
12.8 Additional Measures of Relative Value 359
12.8.1 Price/Book value (P/BV)
ratio 359
12.8.2 Price/Cash flow (P/CF) ratio 361
12.8.3 Prices/Sales {P/S) ratio 362
12.8.4 Summary of relative valuation
ratios 362
12.9 Analysis of Growth Companies 364
12.9.1 Growth company defined 364
12.9.2 Actual returns above required
returns 364
12.9.3 Growth companies and growth
stocks 365
12.9.4 Alternative growth models 365
12.9.5 No-growth firm 365
12.9.6 Long-run growth models 365
12.9.7 The real world 368
12.10 Measures of Value Added 368
12.10.1 Economic value added (EVA) 368
12.10.2 Market value added (MVA) 370
12.10.3 Relationships between EVA and
MVA 371
12.10.4 The franchise factor 371
12.10.5 Growth duration model 372
12.11 Site Visits and the Art of the Interview 375
12.12 When to Sell 375
12.13 Influences on Analysts 376
12.13.1 Efficient markets 376
12.13.2 Paralysis of analysis 376
12.13.3 Analyst conflicts of interest 376
12.14 Global Company and Stock Analysis 376
12.14.1 Availability of data 376
12.14.2 Differential accounting
conventions 377
12.14.3 Currency differences (exchange rate
risk) 377
12.14.4 Political (country) risk 377
12.14.5 Transaction costs and
liquidity 377
12.14.6 Valuation differences 377
12.14.7 Summary 377
13 Equity Portfolio Management
Strategies 381
13.1 Passive versus Active Management 382
13.2 An Overview of Passive Equity Portfolio
Management Strategies 383
13.2.1 Index portfolio construction
techniques 383
13.2.2 Tracking error and index portfolio
construction 384
13.2.3 Methods of index portfolio
investing 386
13.3 An Overview of Active Equity Portfolio
Management Strategies 389
13.3.1 Fundamental strategies 390
13.3.2 Technical strategies 391
13.3.3 Anomalies and attributes 393
13.3.4 Forming momentum-based stock
portfolios: two examples 394
13.3.5 Tax efficiency and active equity
management 396
13.4 Value versus Growth Investing: A Closer
Look 399
13.5 An Overview of Style Analysis 403
13.6 Asset Allocation Strategies 406
13.6.1 Integrated asset allocation 407
13.6.2 Strategic asset allocation 408
13.6.3 Tactical asset allocation 409
13.6.4 Insured asset allocation 409
13.6.5 Selecting an active allocation
method 409
PART V Analysis and Management of
Bonds 413
14 Bond Fundamentals 414
14.1 Basic Features of a Bond 414
14.1.1 Interpreting bond quotes 415
14.1.2 Rates of return on bonds 416
14.2 The Global Bond Market Structure 417
14.2.1 Participating issuers 417
14.2.2 Participating investors 419
14.2.3 Bond ratings 420
14.3 Alternative Bond Issues 420
14.3.1 Domestic government bonds 420
14.3.2 Government agency issues 423
14.3.3 Municipal bonds 424
14.3.4 Corporate bonds 424
14.3.5 International Bonds 431
14.4 Obtaining Information on Bond Prices 431
14.4.1 Interpreting bond quotes 432
15 The Analysis and Valuation of Bonds 441
15.1 The Fundamentals of Bond Valuation 442
15.1.1 The present value model 442
15.1.2 The yield model 444
15.2 Calculating Bond Yields 445
15.2.1 Nominal yield 445
15.2.2 Current yield 445
15.2.3 Promised yield to maturity 446
15.2.4 Promised yield to call 448
15.2.5 Realised (Horizon) yield 449
15.3 Calculating Future Bond Prices 449
15.3.1 Realised (Horizon) yield with
differential reinvestment rates 450
15.3.2 Price and yield determination on
noninterest dates 452
15.3.3 Yield adjustments for tax-exempt
bonds 452
15.3.4 Bond yield books 453
15.4 Bond Valuation Using Spot Rates 453
15.5 What Determines Interest Rates? 455
15.5.1 Forecasting interest rates 456
15.5.2 Fundamental determinants of interest
rates 456
15.5.3 The term structure of interest
rates 458
15.6 Calculating Forward Rates from the Spot
Rate Curve 463
15.7 Term Structure Theories 465
15.7.1 Expectations hypothesis 465
15.7.2 Liquidity preference (Term premium)
hypothesis 467
15.7.3 Segmented market hypothesis 468
15.7.4 Trading implications of the term
structure 468
15.7.5 Yield spreads 468
15.8 What Determines the Price Volatility for
Bonds? 469
15.8.1 Trading strategies 471
15.8.2 Duration measures 471
15.8.3 Modified duration and bond price
volatility 474
15.8.4 Bond convexity 476
15.8.5 Duration and convexity for callable
bonds 481
15.8.6 Limitations of macaulay and modified
duration 483
15.9 Yield Spreads with Embedded Options 491
15.9.1 Static yield spreads 491
15.9.2 Option-adjusted spread 492
16 Bond Portfolio Management
Strategies 497
16.1 Bond Portfolio Performance, Style and
Strategy 497
16.2 Passive Management Strategies 500
16.2.1 Buy-and-hold strategy 500
16.2.2 Indexing strategy 501
16.2.3 Bond indexing in practice: An
example 501
16.3 Active Management Strategies 502
16.3.1 Interest rate anticipation 503
16.3.2 Valuation analysis 505
16.3.3 Credit analysis 505
16.3.4 Yield spread analysis 510
16.3.5 Implementing an active bond
transaction 510
16.3.6 Active global bond investing: An
example 513
16.4 Core-Plus Management Strategies 515
16.5 Matched-Funding Management
Strategies 516
16.5.1 Dedicated portfolios 517
16.5.2 Immunisation strategies 518
16.5.3 Horizon matching 523
16.6 Contingent and Structured Management
Strategies 524
16.6.1 Contingent Immunisation 524
PART VI Derivative Security
Analysis 532
17 Derivative Markets and Securities 533
17.1 Overview of Derivative Markets 534
17.1.1 The language and structure of
forward and futures markets 534
17.1.2 Interpreting futures price quotations:
An example 535
17.1.3 The language and structure of option
markets 538
17.1.4 Interpreting option price quotations:
An example 539
17.2 Investing with Derivative Securities 541
17.2.1 The basic nature of derivative
investing 541
17.2.2 Basic payoff and profit diagrams for
forward contracts 543
17.2.3 Basic payoff and profit diagrams for
call and put options 544
17.2.4 Option profit diagrams: an
example 547
17.3 The Relationship between Forward and
Option Contracts 549
17.3.1 Put-call-spot parity 549
17.3.2 Put-call parity: an example 551
17.3.3 Creating synthetic securities using
put-call parity 552
17.3.4 Adjusting put-call-spot parity for
dividends 553
17.3.5 Put-call-forward parity 554
17.4 An Introduction to the Use of Derivatives in
Portfolio Management 555
17.4.1 Restructuring asset portfolios with
forward contracts 555
17.4.2 Protecting portfolio value with put
options 557
17.4.3 An alternative way to pay for a
protective put 559
18 Forward and Futures Contracts 565
18.1 An Overview of Forward and Futures
Trading 565
18.1.1 Futures contract mechanics 567
18.1.2 Comparing forward and futures
contracts 569
18.2 Hedging with Forwards and Futures 569
18.2.1 Hedging and the basis 569
18.2.2 Understanding basis risk 570
18.2.3 Calculating the optimal hedge
ratio 571
18.3 Forward and Futures Contracts: Basic
Valuation Concepts 572
18.3.1 Valuing forwards and futures 572
18.3.2 The relationship between spot and
forward prices 573
18.4 Financial Forwards and Futures:
Applications and Strategies 574
18.4.1 Interest rate forwards and
futures 574
18.4.2 Long-term interest rate futures 575
18.4.3 Short-term interest rate futures 579
18.4.4 Stock index futures 583
18.4.5 Currency forwards and futures 589
19 Option Contracts 597
19.1 An Overview of Option Markets and
Contracts 598
19.1.1 Option market conventions 598
19.1.2 Price quotations for exchange-traded
options 598
19.2 The Fundamentals of Option Valuation 605
19.2.1 The basic approach 605
19.2.2 Improving forecast accuracy 606
19.2.3 The binomial option pricing
model 611
19.2.4 The black-scholes valuation
model 613
19.2.5 Estimating volatility 615
19.2.6 Problems with black-scholes
valuation 618
19.3 Option Valuation: Extensions and Advanced
Topics 618
19.3.1 Valuing european-style put
options 618
19.3.2 Valuing options on dividend-bearing
securities 619
19.3.3 Other extensions of the black-scholes
model 620
19.4 Option Trading Strategies 622
19.4.1 Protective put options 623
19.4.2 Covered call options 623
19.4.3 Straddles, strips and straps 625
19.4.4 Strangles 626
19.4.5 Chooser options 627
19.4.6 Spreads 628
19.4.7 Range forwards 631
PART VII Specification and Evaluation of
Asset Management 635
20 Professional Money Management,
Alternative Assets and Industry Ethics 636
20.1 The Asset Management Industry: Structure
and Evolution 637
20.2 Private Management and Advisory
Firms 641
20.2.1 Investment strategy at a private
money management firm 642
20.3 Organisation and Management of
Investment Companies 643
20.3.1 Valuing investment company
shares 644
20.3.2 Closed-end versus open-end
investment companies 644
20.3.3 Fund management fees 646
20.3.4 Investment company portfolio
objectives 646
20.3.5 Breakdown by fund
characteristics 648
20.3.6 Global investment companies 648
20.4 Investing in Alternative Asset Classes 650
20.4.1 Hedge funds 651
20.4.2 Characteristics of a hedge fund 652
20.4.3 Hedge fund strategies 653
20.4.4 Risk arbitrage investing: A closer
look 654
20.4.5 Hedge fund performance 655
20.4.6 Private equity 655
20.5 Ethics and Regulation in the Professional
Asset Management Industry 662
20.5.1 Regulation in the asset management
industry 662
20.5.2 Standards for ethical behaviour 664
20.5.3 Examples of ethical conflicts 665
20.6 What Do You Want from a Professional Asset
Manager? 666
21 Evaluation of Portfolio Performance 671
21.1 What is required of a portfolio
manager? 672
21.2 Early performance measurement
techniques 673
21.2.1 Portfolio evaluation before
1960 673
21.2.2 Peer group comparisons 673
21.3 Composite portfolio performance
measures 675
21.3.1 Treynor portfolio performance
measure 675
21.3.2 Sharpe portfolio performance
measure 677
21.3.3 Jensen portfolio performance
measure 678
21.3.4 The information ratio performance
measure 680
21.3.5 Comparing the composite
performance measures 682
21.4 Application of portfolio performance
measures 683
21.5 Portfolio Performance Evaluation: Some
Extensions 689
21.5.1 Components of investment
performance 689
21.5.2 Performance measurement with
downside risk 691
21.5.3 Holdings-based performance
measurement 693
21.5.4 Performance attribution
analysis 696
21.5.5 Measuring market timing
skills 699
21.6 Factors That Affect Use of Performance
Measures 700
21.6.1 Demonstration of the global
benchmark problem 700
21.6.2 Implications of the benchmark
problems 702
21.6.3 Required characteristics of
benchmarks 702
21.7 Evaluation of Bond Portfolio
Performance 702
21.7.1 Returns-based bond performance
measurement 703
21.7.2 Bond performance attribution 703
21.8 Reporting Investment Performance 705
21.8.1 Time-weighted and money-weighted
returns 705
21.8.2 Performance presentation
standards 707
Glossary 713
Index 729
Symbols list 737
Credits 739
|
| any_adam_object | 1 |
| author | Reilly, Frank K. Brown, Keith C. |
| author_GND | (DE-588)170027376 (DE-588)170187985 |
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| author_role | aut aut |
| author_sort | Reilly, Frank K. |
| author_variant | f k r fk fkr k c b kc kcb |
| building | Verbundindex |
| bvnumber | BV042491610 |
| classification_rvk | QK 810 |
| ctrlnum | (OCoLC)907622075 (DE-599)BVBBV042491610 |
| 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 | Europe, Middle East and Africa ed. |
| format | Book |
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| id | DE-604.BV042491610 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T01:23:14Z |
| institution | BVB |
| isbn | 9781473704794 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-027926399 |
| oclc_num | 907622075 |
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| owner_facet | DE-1050 DE-473 DE-BY-UBG DE-1049 |
| physical | XVII, 748 S. graph. Darst. |
| publishDate | 2015 |
| publishDateSearch | 2015 |
| publishDateSort | 2015 |
| publisher | Cengage Learning |
| record_format | marc |
| spelling | Reilly, Frank K. Verfasser (DE-588)170027376 aut Analysis of investments and management of portfolios Reilly & Brown Europe, Middle East and Africa ed. Andover Cengage Learning 2015 XVII, 748 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier This work is adapted from Analysis of investments and management of portfolios, 10th international edition by Frank K. Reilly and Keith C. Brown, 2012. Investments Investment analysis Portfolio management Wertpapieranlage (DE-588)4189703-1 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Wertpapieranlage (DE-588)4189703-1 s Portfolio Selection (DE-588)4046834-3 s b DE-604 Brown, Keith C. Verfasser (DE-588)170187985 aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027926399&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Reilly, Frank K. Brown, Keith C. Analysis of investments and management of portfolios Investments Investment analysis Portfolio management Wertpapieranlage (DE-588)4189703-1 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| subject_GND | (DE-588)4189703-1 (DE-588)4046834-3 |
| title | Analysis of investments and management of portfolios |
| title_auth | Analysis of investments and management of portfolios |
| title_exact_search | Analysis of investments and management of portfolios |
| title_full | Analysis of investments and management of portfolios Reilly & Brown |
| title_fullStr | Analysis of investments and management of portfolios Reilly & Brown |
| title_full_unstemmed | Analysis of investments and management of portfolios Reilly & Brown |
| title_short | Analysis of investments and management of portfolios |
| title_sort | analysis of investments and management of portfolios |
| topic | Investments Investment analysis Portfolio management Wertpapieranlage (DE-588)4189703-1 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| topic_facet | Investments Investment analysis Portfolio management Wertpapieranlage Portfolio Selection |
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