Portfolio Design A Modern Approach to Asset Allocation

ISBN-10: 047093123X
ISBN-13: 9780470931233
Edition: 2011
List price: $42.50 Buy it from $27.46
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Description: This book is based on the sessions that Martson has developed for the CIMA program as well as for Morgan Stanley's Senior Consultants Program begun at Wharton in the mid-1980s even before the CIMA program began. The book is designed for top  More...

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Book details

List price: $42.50
Copyright year: 2011
Publisher: John Wiley & Sons, Limited
Publication date: 4/5/2011
Binding: Hardcover
Pages: 368
Size: 6.25" wide x 9.25" long x 1.25" tall
Weight: 1.606

This book is based on the sessions that Martson has developed for the CIMA program as well as for Morgan Stanley's Senior Consultants Program begun at Wharton in the mid-1980s even before the CIMA program began. The book is designed for top investment advisors who want to provide diversified portfolios for their clients, whether they are high net worth private clients or institutional investors. The book examines all of the major asset classes that go into modern portfolios and asks how much they add to portfolio diversification.

Preface
Acknowledgments
About the Author
About the Book
Disclaimers
Asset Allocation
Ingredients of Asset Allocation
Lessons of the Recent Downturn
So Are Bonds the Place to Invest?
So What Happens When the Economy Turns Up?
Some Necessary Tools for Analysis
Appendix: Description of the Statistical Tools
Long-Run Returns on Stocks and Bonds
Stocks and Bonds Since 1951
How Much More Attractive Are Stocks than Bone
Real Returns
Reconsidering Bond Returns
Reconsidering Stock Returns
Alternative Estimates of Long-Run Stock Returns
Upper and Lower Bounds for Equity Returns
Appendix: Alternative Estimates of Stock Returns
Small-Cap Stocks
What Do We Mean by Small-Cap Stocks?
Relative Performance of Large-Cap and Small-Cap Stocks-Russell Series
Relative Performance of Large-Cap and Small-Cap Stocks-SBBI Series
Relative Performance of Large-Cap and Small-Cap Stocks-Broader Analysis
Large-Cap and Small-Cap Stocks in a Portfolio Context
Summary-Key Features of Small-Cap Stocks
Value and Growth Investing
Description of the Russell 1000 Indexes
Relative Performance of Growth and Value Indexes
Value and Growth Indexes for Earlier Periods
Relative Performance of Small-Cap Growth and Value Stocks
Portfolios with Growth and Value
Summary-Key Features of Growth and Value Stocks
Foreign Stocks
Returns on Foreign and U.S. Stocks
Currency Capital Gains and Foreign Stock Returns
Diversification Benefits of Foreign Stock Investing
Are There Shortcuts to Owning Foreign Stocks?
Summary-Key Features of Foreign Stocks
Emerging Markets
What Is An Emerging Market?
Emerging Stock Market Indexes
Emerging Stock Market Returns
Risks of Investing in Emerging Stock Markets
Emerging Market Bonds-A Brief History
Returns on Emerging Market Bonds
Summary-Key Features of Emerging Market Stocks and Bonds
Bonds
Treasury Bonds
The Wider U.S. Bond Market
Returns on U.S. Bonds
Bond Markets Outside the United States
Summary-Key Features of Bonds
Strategic Asset Allocation
Expanding the Portfolio to Include Other Bonds and Stocks
Expanding the Portfolio to Include Foreign Stocks
The Dirty Secret of Optimization
Alternative Approaches to Optimization
Estimating Portfolio Returns-the Premium Method
Portfolios in Practice-Example of MarketWatch.com' Lazy Portfolios
Beyond the Traditional Efficient Frontier
Hedge Funds
Investment Strategies
Hedge Fund Returns
Hedge Fund Biases
Performance Across Managers
Fund of Funds
Hedge Funds in a Portfolio
Summary-Key Features of Hedge Funds
Venture Capital and Private Equity
Common Features of Venture Capital and Buyout Funds
Venture Capital
Returns on Venture Capital
Buyout Funds
Returns on Buyout Funds
Key Features of Private Equity
Real Assets-Real Estate
Real Estate Investment Trusts
Direct Ownership of Real Estate
Home Ownership
Concluding Remarks
Real Assets-Commodities
Sources of Return on Commodity Futures
Returns on Commodity Futures
Performance in a Portfolio
Does Gold Belong in the Portfolio?
Active Investment in Commodities-Managed Futures
Summary-Key Features of Commodity Investments
Asset Allocation with Alternative Investments
Diversifying into Real Estate-Alternatives for Ordinary Investors
Expanding the Menu of Alternative Assets
High Net Worth (HNW) Portfolios
Ultra HNW Portfolios
Lessons about Alternatives from the Yale Endowment
Lessons about Alternative Investments Learned in the Financial Crisis
Verdict on Alternative Investments
Investing and Spending by Foundations
Spending Rules
Estimating Future Bond and Stock Returns
Volatility and Uncertainty
Portfolios of Stocks and Bonds
Description of the Spending Plan
Using Historical Returns Since 1951 to Set Spending Rules
Effect of Lower Stock Returns on Spending Rules
Effects of Different Stock/Bond Allocations
Concluding Comments
Investing and Spending in Retirement
Longevity
Spending Rules for Retirement
Portfolios of Stocks and Bonds
Baseline Case: Can Two Live More Cheaply Than One?
Effects of Bequests and Variable Spending Rules
How Can I Turn a Defined Contribution Plan into Defined Benefit Plan?
Concluding Comments-Postpone Retirement?
The Discipline of Asset Allocation-Rebalancing
Rebalancing Defined
Rebalancing When Times Are Good
Rebalancing When Times Are Bad
References
Index

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