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| Introduction | |
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| Acknowledgements | |
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| Investment Strategy | |
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| What is strategy? | |
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| What is investment strategy? | |
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| Planning to achieve the objective | |
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| Real and artificial liabilities | |
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| Mapping the liability cashflows | |
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| Total funding | |
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| The escalator factor | |
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| Putting it together | |
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| Conclusions | |
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| Summary | |
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| Multi Asset Class Investing | |
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| The asset allocation background | |
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| Potential problems in moving to a Multi Asset Class approach | |
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| The Yale Model | |
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| Higher returns as a goal, not peer group benchmarking | |
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| Liquidity | |
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| Diversification | |
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| Long-term returns | |
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| The Yale Model and MAC investing | |
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| Bonds | |
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| Quoted equities | |
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| How much should be allocated to each asset class? | |
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| How is the Yale Model currently allocated? | |
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| What does one look for in selecting an asset class? | |
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| Is there a sufficiently robust benchmark available for the asset class? | |
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| Based on the benchmark, does it exhibit an acceptable level of return risk? | |
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| Based on the benchmark, does it exhibit an acceptable level of capital risk? | |
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| Based on the benchmark, does it exhibit an acceptable level of correlation with domestic quoted equities? | |
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| Conclusions | |
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| Summary | |
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| Risk | |
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| Introduction | |
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| The atheist cathedral | |
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| Risk and the capital asset pricing model | |
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| How 'risk' is used in practice | |
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| Arithmetical problems with beta | |
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| Conceptual problems with beta | |
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| Why beta and the CAPM are irrelevant | |
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| Summary | |
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| How to Define Risk | |
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| Risk and uncertainty | |
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| Risk and diversification in the artificial world | |
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| Risk in the real world: uncertainty and materiality | |
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| Towards a new definition of risk | |
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| Return risk | |
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| Capital risk | |
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| Summary | |
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| How to Calculate Risk | |
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| Phi calculations | |
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| Phi and beta | |
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| Compound return-based modelling | |
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| The future of risk analysis | |
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| Direct comparison of different asset classes | |
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| Other types of risk | |
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| Summary | |
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| Quoted Equity | |
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| Active versus passive equities management | |
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| Which indices will we examine? | |
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| What correlation is there between quoted markets? | |
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| Correlation and the dollar investor | |
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| Correlation and the sterling investor | |
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| Return risk of quoted equities | |
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| How to improve quoted equity returns | |
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| Summary | |
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| Hedge Funds | |
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| What is a hedge fund? | |
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| Hedge fund investment strategies | |
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| What benchmarks are available and which should we use? | |
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| How do the various hedge fund strategies compare? | |
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| What return risk is present in hedge funds? | |
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| Does the index properly show potential portfolio returns? | |
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| Hedge funds within the Yale portfolio | |
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| What capital risk is present in hedge funds as an asset class? | |
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| How are hedge fund returns correlated with those for quoted equity? | |
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| Summary | |
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| Private Equity | |
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| Venture capital | |
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| Stage | |
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| Sector | |
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| Geography | |
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| Vintage year versus annual returns | |
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| Further complexities of private equity returns | |
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| What return risk is present in private equity? | |
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| What capital risk is present in private equity? | |
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| What degree of correlation does it exhibit with quoted equity markets? | |
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| How does one address the slow capital take-up issue? | |
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| Summary | |
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| Property | |
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| Investing in property | |
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| Investing in property (real estate) directly | |
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| Geography | |
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| Sector | |
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| Investing in property indirectly | |
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| Quoted property companies | |
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| Specialist quoted vehicles | |
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| Private institutional funds (limited partnerships) | |
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| What performance benchmarks should we use? | |
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| What level of correlation exists with quoted equity returns? | |
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| What levels of return risk and capital risk does UK property exhibit? | |
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| How have returns varied by sector? | |
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| Can property returns be improved by leverage? | |
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| Analysing the possible effect of leverage on a property portfolio | |
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| Summary | |
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| LDI an<$$$> | |