Multi Asset Class Investment Strategy
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This excellent resource explains the current multi-asset approach in use in the U.S. involving extended and detailed financial analysis of various asset class returns and five-asset class approach for future use. Opening with a study of asset allocation practices in UK pension funds, the book shows how the current approach has led to the present funding crisis. It compares and contrasts the UK and U.S. approaches, reviews and analyzes different asset classes, examines risk, and concludes with a suggestion of the five asset classes to use.The multi asset class Yale Model has long been hailed in...
This excellent resource explains the current multi-asset approach in use in the U.S. involving extended and detailed financial analysis of various asset class returns and five-asset class approach for future use. Opening with a study of asset allocation practices in UK pension funds, the book shows how the current approach has led to the present funding crisis. It compares and contrasts the UK and U.S. approaches, reviews and analyzes different asset classes, examines risk, and concludes with a suggestion of the five asset classes to use.
The multi asset class Yale Model has long been hailed in the US as representing the very best that portfolio theory has to offer, placing Yale consistently in the top percentile for investment performance. Yet it has not been widely adopted, and outside the US remains largely unrecognised.
Multi Asset Class Investment Strategy shows how unthinking mistrust of so-called 'alternative' assets, and an inability validly to compare results across asset classes on any traditional risk-adjusted basis, has led to institutional investors, particularly pension funds, missing out on the out-performance which a multi asset class approach can offer.
Guy Fraser-Sampson demonstrates how the returns of different assets classes (hedge funds, private equity, property, etc) may validly be compared with those of quoted equity markets. He argues for an adoption of MAC investing (his own multi asset class investment model), and demonstrates how this can improve investment performance across a range of portfolios. He gives guidance on each asset class, including historic performance figures (many of which have not previously been publicly available). The book also offers the author's own unique approach to many issues for institutional investors, including risk, liquidity and Total Funding.
Review:
"...pension fund trustees right around the globe should read the book...the book is certain to stir up some much needed debate..." (Global Pensions, July 2006)
"...an indispensable roadmap for anyone looking to create a successful investment programme..." (The Securities Investment Review, July 2006)
Table of contents:
Introduction.
Acknowledgements.
1 Investment Strategy.
2 Multi Asset Class Investing.
3 Risk.
4 How to Define Risk.
5 How to Calculate Risk.
6 Quoted Equity.
7 Hedge Funds.
8 Private Equity.
9 Property.
10 LDI and Portable Alpha: Rival Strategies?.
11 Liquidity.
12 Portfolio Performance.
Appendix 1: Tables of Performance Figures.
Appendix 2: Investment Strategies for DC Schemes and Mature Pension Plans.
Index.
The multi asset class Yale Model has long been hailed in the US as representing the very best that portfolio theory has to offer, placing Yale consistently in the top percentile for investment performance. Yet it has not been widely adopted, and outside the US remains largely unrecognised.
Multi Asset Class Investment Strategy shows how unthinking mistrust of so-called 'alternative' assets, and an inability validly to compare results across asset classes on any traditional risk-adjusted basis, has led to institutional investors, particularly pension funds, missing out on the out-performance which a multi asset class approach can offer.
Guy Fraser-Sampson demonstrates how the returns of different assets classes (hedge funds, private equity, property, etc) may validly be compared with those of quoted equity markets. He argues for an adoption of MAC investing (his own multi asset class investment model), and demonstrates how this can improve investment performance across a range of portfolios. He gives guidance on each asset class, including historic performance figures (many of which have not previously been publicly available). The book also offers the author's own unique approach to many issues for institutional investors, including risk, liquidity and Total Funding.
Review:
"...pension fund trustees right around the globe should read the book...the book is certain to stir up some much needed debate..." (Global Pensions, July 2006)
"...an indispensable roadmap for anyone looking to create a successful investment programme..." (The Securities Investment Review, July 2006)
Table of contents:
Introduction.
Acknowledgements.
1 Investment Strategy.
2 Multi Asset Class Investing.
3 Risk.
4 How to Define Risk.
5 How to Calculate Risk.
6 Quoted Equity.
7 Hedge Funds.
8 Private Equity.
9 Property.
10 LDI and Portable Alpha: Rival Strategies?.
11 Liquidity.
12 Portfolio Performance.
Appendix 1: Tables of Performance Figures.
Appendix 2: Investment Strategies for DC Schemes and Mature Pension Plans.
Index.