Pranay Gupta, Sven R. Skallsjo, Bing Li

Multi-Asset Investing

A Practitioner's Framework

• Gebundenes Buch

Produktbeschreibung

Despite the accepted fact that a substantial part of the risk and return of any portfolio comes from asset allocation, we find today that the majority of investment professionals worldwide are focused on security selection. Multi-Asset Investing: A Practitioner's Framework questions this basic structure of the investment process and investment industry.
_ Who says we have to separate alpha and beta?
_ Are the traditional definitions for risk and risk premium relevant in a multi-asset class world?
_ Do portfolios cater for the 'real risks' in their investment processes?
_ Does the whole Emerging Markets demarcation make sense for investing?
_ Why do active Asian managers perform much poorer compared to developed market managers?
_ Can you distinguish how much of a strategy's performance comes from skill rather than luck?
_ Does having a performance fee for your manager create alignment or misalignment?
_ Why is the asset management transitioning from multi-asset strategies to multi-asset solutions?

These and many other questions are asked, and suggestions provided as potential solutions. Having worked together for fifteen years, the authors' present implementable solutions which have helped them successfully manage large asset pools.

The Academic Perspective

"Multi-Asset Investing asks fundamental questions about the asset allocation investment processes in use today, and can have a substantial impact on the future structure of the finance industry. It clarifies and distils the techniques that investment professionals need to master to add value to client portfolios."

--Paul Smith, President & CEO, CFA Institute

"Pranay Gupta, Sven Skallsjo, and Bing Li describe the essential concepts and applications of multi-asset investing. Their treatment is far ranging and exceptionally lucid, and always with a nod to practical application. Buy this book and keep it close at hand."

--Mark Kritzman, MIT Sloane School of Management

"Innovative solutions to some of the most difficult investment problems we are faced with today. Multi-asset Investing tackles investment issues which don't have straight forward solutions, but nevertheless are faced by every investment professional. This book sets the standard for investment processes of all asset managers."

--SP Kothari, MIT Sloane School of Management

The Asset Owner Perspective

"Multi-asset means different things to different people. This is the first text that details a comprehensive framework for managing any kind of multi-asset investment problem. Further, its explanation of the commercial aspects of managing a multi-asset investment business for an asset manager, private bank or asset owner make it an indispensable tool"

--Sadayuki Horie, Dy. Chairman - Investment Advisory Comm., Government Pension Investment Fund, Japan

"Multi-Asset Investing shows the substantial scope there is to innovate the asset allocation process. With its novel approaches to allocation, portfolio construction and risk management it demonstrates the substantial value that can be added to any portfolio. The solutions proposed by Multi-Asset Investing are creative, thought provoking, and may well be the way all portfolios need to be managed in the future."

--Mario Therrien, Senior Vice President, Caisse de Depot et Placement du Quebec, Canada

The Asset Manager's Perspective

"Never has astute asset allocation and diversification been more crucial than today. Asset Managers which are able to innovate their investment processes and products in this area, are more likely to be the winners. Multi-Asset Investing provides both simple and sophisticated, tested and implementable techniques for successfully managing multi-asset portfolios."

--Vincent Camerlynck, former CEO BNP Paribas Investment Par

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Produktdetails

• Verlag: Wiley / Wiley & Sons
• Artikelnr. des Verlages: 1W119241520
• 1. Auflage
• Seitenzahl: 304
• Erscheinungstermin: 16. Mai 2016
• Englisch
• Abmessung: 252mm x 179mm x 25mm
• Gewicht: 619g
• ISBN-13: 9781119241522
• ISBN-10: 1119241529
• Artikelnr.: 44385036

Autorenporträt

PRANAY GUPTA has over 25 years of experience in managing multi-asset and multi-strategy portfolios of up to US$85 billion across the world for asset managers, sovereign wealth funds, insurance companies, pension plans, endowments and high-net-worth individuals. He has served as the Chairman of the Investment Committee at the CFA Institute Research Foundation and has been awarded as the Best Discretionary Asset Manager in Asia. SVEN R. SKALLSJÖ has designed and developed risk models at Ignis Asset Management, AGL Structured Finance and Shell Asset Management. BING LI is the president of BC Capital Management Ltd., a Hong Kong-based firm providing investment solutions for high-net-worth individuals in mainland China.

Inhaltsangabe

Preface xiii

About the Authors xv

1. An Introduction to the Multi-Asset Investment Problem 1

1.1 What is Multi?]Asset Investing? 2

1.2 The Conventional Structure 4

1.3 Transitioning from Active Management to Exposure Allocation 4

1.4 Creating an Improved Allocation Structure 5

1.5 Constructing a Multi?]Asset Portfolio to Manage Tail Risks 6

1.6 Multi?]Asset Investing in Emerging Markets 6

1.7 From Multi?]Asset Strategies to Multi?]Asset Solutions 7

1.8 Structuring a Multi?]Asset Business 7

2. The Traditional Allocation Structure 9

2.1 The Traditional Investment Process 10

2.2 The Asset Allocation Process 12

2.3 The Belief in Diversification 13

2.4 Harnessing Equity Risk Premium and the Investment Horizon 19

2.5 Asset Classes as Mutually Exclusive Silos 20

2.6 Organization Structure and Resource Allocation 20

2.7 Implications for Skill Required in Asset Allocation 21

2.8 Requirements for a Revised Allocation Solution 22

2.9 Parallel Debates Created in the Search for a Revised Allocation Solution 23

3. Transitioning from Active Management to Exposure Allocation 25

3.1 A Historic Rationalization of Alpha and Beta 26

3.2 Progression of Active Management 27

3.3 Generalizing the Beta Concept 27

3.4 The Demise of Asset Class Demarcated Allocation 28

3.5 Implications for the Active Investment Process 29

3.6 Investment Strategy Categorization 30

3.6.1 Fundamental, Quantitative and Technical 30

3.6.2 Top?]down, Bottom?]up and Relative Value 31

3.7 Positioning of Alternative Investments 31

3.8 Obsolescence of Portable Alpha 32

3.9 Positioning of Fundamental Indexation and Smart Beta 32

3.10 Risk in an Exposure?]Based Framework 33

3.11 Horizon?]Based Organizational Demarcation 34

3.12 Transition from an Asset?]Based to an Exposure?]Based Organization 34

3.13 Conclusion 37

4. Redefining Risk Premium for Multi?]Asset Allocation Decisions 39

4.1 Incumbent Risk and Risk Premium Frameworks 40

4.2 Framework for the Concurrent Presence of All Asset Classes 41

4.3 Incorporating Intra?]Horizon Risk 42

4.4 Risk and Return Premium for Allocation Silos 43

4.5 Asset Class Premiums - Comparison of Traditional and Proposed Methods 45

4.6 Asset Class Premiums - Impact of Different Investment Horizons 46

4.7 Asset Class Risk - Comparison of Traditional and Proposed Methods 47

4.8 Asset Class Risk - Impact of Different Investment Horizons 48

4.9 Sovereign Risk and Risk Premium 49

4.10 Application to Various Multi?]Asset Investment Problem Scenarios 51

4.11 Conclusion 52

5. A Multi-Strategy Allocation Structure 53

5.1 Categories of Allocation Approaches 54

5.2 A Multi?]Strategy Framework for the Allocation Problem 58

5.3 The Benefits of Strategy Diversification 59

5.4 Individual Allocation Methodology Requirements 61

5.5 Example of a Multi?]Strategy Allocation Approach 63

5.6 Conclusion 66

6. A Fundamental Exposure Allocation Approach--Business Cycles 67

6.1 The Passive Economic Model 67

6.2 An Active Economic Approach 68

6.3 A Five Cycle Asset Allocation Approach 69

6.3.1 Cycle I - The Global Business Cycle 69

6.3.2 Cycle II - The Local Business Cycle 70

6.3.3 Cycle III - The Monetary Cycle 71

6.3.4 Cycle IV - The Credit and Capex Cycles 73