A process-driven approach to investment management that lets you achieve the same high gains as the most successful portfolio managers, but at half the cost What do you pay for when you hire a portfolio manager? Is it his or her unique experience and expertise, a set of specialized analytical skills possessed by only a few? The truth, according to industry insider Jacques Lussier, is that, despite their often grandiose claims, most successful investment managers, themselves, can't properly explain their successes. In this book Lussier argues convincingly that most of the gains achieved by…mehr
A process-driven approach to investment management that lets you achieve the same high gains as the most successful portfolio managers, but at half the cost What do you pay for when you hire a portfolio manager? Is it his or her unique experience and expertise, a set of specialized analytical skills possessed by only a few? The truth, according to industry insider Jacques Lussier, is that, despite their often grandiose claims, most successful investment managers, themselves, can't properly explain their successes. In this book Lussier argues convincingly that most of the gains achieved by professional portfolio managers can be accounted for not by special knowledge or arcane analytical methodologies, but proper portfolio management processes whether they are aware of this or not. More importantly, Lussier lays out a formal process-oriented approach proven to consistently garner most of the excess gains generated by traditional analysis-intensive approaches, but at a fraction of the cost since it could be fully implemented internally. * Profit from more than a half-century's theoretical and empirical literature, as well as the author's own experiences as a top investment strategist * Learn an approach, combining several formal management processes, that simplifies portfolio management and makes its underlying qualities more transparent, while lowering costs significantly * Discover proven methods for exploiting the inefficiencies of traditional benchmarks, as well as the behavioral biases of investors and corporate management, for consistently high returns * Learn to use highly-efficient portfolio management and rebalancing methodologies and an approach to diversification that yields returns far greater than traditional investment programsHinweis: Dieser Artikel kann nur an eine deutsche Lieferadresse ausgeliefert werden.
JACQUES LUSSIER, PhD, CFA, is the Chief Investment Strategist at Desjardins Asset Management, and has been with the company since 1995. He is the current VP of the Montreal chapter of the CFA (Chartered Financial Analyst) Society. He is a regular speaker at conferences, seminars, and webinars. Previously, Mr. Lussier taught finance at HEC Montréal. He holds a PhD in International Business with a minor in Bank Studies from the University of South Carolina, a master's degree in Finance and a bachelor's degree in Economics from HEC Montréal.
Inhaltsangabe
Acknowledgments ix Preface xi Introduction 1 PART I: THE ACTIVE MANAGEMENT BUSINESS 5 CHAPTER 1: The Economics of Active Management 7 Understanding Active Management 8 Evidence on the Relative Performance of Active Managers 12 Relevance of Funds' Performance Measures 15 Closing Remarks 17 CHAPTER 2: What Factors Drive Performance? 21 Implications of Long Performance Cycles and Management Styles 22 Ability to Identify Performing Managers 28 Replicating the Performance of Mutual Fund Managers 32 Closing Remarks 35 CHAPTER 3: Outperforming Which Index? 39 Purpose and Diversity of Financial Indices 40 Building an Index 41 Are Cap-Weight Indices Desirable? 43 Alternatives to Cap-Weight Indices and Implications 44 Closing Remarks 48 PART II: UNDERSTANDING THE DYNAMICS OF PORTFOLIO ALLOCATION AND ASSET PRICING 51 CHAPTER 4: The Four Basic Dimensions of An Efficient Allocation Process 53 First Dimension: Understanding Volatility 54 Second Dimension: Increasing the ARI Mean 68 Third Dimension: Efficiently Maximizing GEO Mean Tax 69 Fourth Dimension: Accounting for Objectives and Constraints 70 Closing Remarks 71 CHAPTER 5: A Basic Understanding of Asset Valuation and Pricing Dynamics 75 Determinants of Interest Rates 76 Determinants of Equity Prices 80 Historical Returns as a Predictor 86 Other Predictors 91 Review of Predictors 107 Closing Remarks 108 PART III: THE COMPONENTS OF AN EFFICIENT PORTFOLIO-ASSEMBLY PROCESS 113 CHAPTER 6: Understanding Nonmarket-Cap Investment Protocols 115 Risk-Based Protocols 115 Fundamental Protocols 128 (Risk) Factor Protocols 135 Comparing and Analyzing Protocols 142 Bridging the Gaps and Improving on the Existing Literature 144 A Test of Several Investment Protocols 148 Closing Remarks 157 CHAPTER 7: Portfolio Rebalancing and Asset Allocation 161 Introduction to Portfolio Rebalancing 161 The Empirical Literature on Rebalancing 170 A Comprehensive Survey of Standard Rebalancing Methodologies 175 Asset Allocation and Risk Premium Diversification 179 Volatility and Tail Risk Management 190 Volatility Management versus Portfolio Insurance 197 Closing Remarks 199 CHAPTER 8: Incorporating Diversifiers 203 Fair Fees 204 Risk Premium and Diversification 205 Commodities as a Diversifier 208 Curencies as a Diversifier 228 Private Market Assets as a Diversifier 244 Closing Remarks 250 CHAPTER 9: Allocation Process and Efficient Tax Management 255 Taxation Issues for Individual Investors 256 Components of Investment Returns, Asset Location, Death and Taxes 257 Tax-Exempt, Tax-Deferred, Taxable Accounts and Asset Allocation 260 Capital Gains Management and Tax-Loss Harvesting 276 Is It Optimal to Postpone Net Capital Gains? 280 Case Study 1: The Impact of Tax-Efficient Investment Planning 289 Case Study 2: Efficient Investment Protocols and Tax Efficiency 291 Closing Remarks 293 PART IV: CREATING AN INTEGRATED PORTFOLIO MANAGEMENT PROCESS 295 CHAPTER 10: Understanding Liability-Driven Investing 297 Understanding Duration Risk 298 Equity Duration 303 Hedging Inflation 307 Building a Liability-Driven Portfolio Management Process 310 Why Does Tracking Error Increase in Stressed Markets? 312 Impact of Managing Volatility in Different Economic Regimes 314 Incorporating More Efficient Asset Components 320 Incorporating Illiquid Components 322 Role of Investment-Grade Fixed-Income Assets 323 Incorporating Liabilities 324 Incorporating an Objective Function 325 Case Study 326 Allocating in the Context of Liabilities 331 Closing Remarks 335 CHAPTER 11: Conclusion and Case Studies 337 Case Studies: Portfolio Components, Methodology and Performance 340 Conclusion 349 Bibliography 351 Index 361
Acknowledgments ix Preface xi Introduction 1 PART I: THE ACTIVE MANAGEMENT BUSINESS 5 CHAPTER 1: The Economics of Active Management 7 Understanding Active Management 8 Evidence on the Relative Performance of Active Managers 12 Relevance of Funds' Performance Measures 15 Closing Remarks 17 CHAPTER 2: What Factors Drive Performance? 21 Implications of Long Performance Cycles and Management Styles 22 Ability to Identify Performing Managers 28 Replicating the Performance of Mutual Fund Managers 32 Closing Remarks 35 CHAPTER 3: Outperforming Which Index? 39 Purpose and Diversity of Financial Indices 40 Building an Index 41 Are Cap-Weight Indices Desirable? 43 Alternatives to Cap-Weight Indices and Implications 44 Closing Remarks 48 PART II: UNDERSTANDING THE DYNAMICS OF PORTFOLIO ALLOCATION AND ASSET PRICING 51 CHAPTER 4: The Four Basic Dimensions of An Efficient Allocation Process 53 First Dimension: Understanding Volatility 54 Second Dimension: Increasing the ARI Mean 68 Third Dimension: Efficiently Maximizing GEO Mean Tax 69 Fourth Dimension: Accounting for Objectives and Constraints 70 Closing Remarks 71 CHAPTER 5: A Basic Understanding of Asset Valuation and Pricing Dynamics 75 Determinants of Interest Rates 76 Determinants of Equity Prices 80 Historical Returns as a Predictor 86 Other Predictors 91 Review of Predictors 107 Closing Remarks 108 PART III: THE COMPONENTS OF AN EFFICIENT PORTFOLIO-ASSEMBLY PROCESS 113 CHAPTER 6: Understanding Nonmarket-Cap Investment Protocols 115 Risk-Based Protocols 115 Fundamental Protocols 128 (Risk) Factor Protocols 135 Comparing and Analyzing Protocols 142 Bridging the Gaps and Improving on the Existing Literature 144 A Test of Several Investment Protocols 148 Closing Remarks 157 CHAPTER 7: Portfolio Rebalancing and Asset Allocation 161 Introduction to Portfolio Rebalancing 161 The Empirical Literature on Rebalancing 170 A Comprehensive Survey of Standard Rebalancing Methodologies 175 Asset Allocation and Risk Premium Diversification 179 Volatility and Tail Risk Management 190 Volatility Management versus Portfolio Insurance 197 Closing Remarks 199 CHAPTER 8: Incorporating Diversifiers 203 Fair Fees 204 Risk Premium and Diversification 205 Commodities as a Diversifier 208 Curencies as a Diversifier 228 Private Market Assets as a Diversifier 244 Closing Remarks 250 CHAPTER 9: Allocation Process and Efficient Tax Management 255 Taxation Issues for Individual Investors 256 Components of Investment Returns, Asset Location, Death and Taxes 257 Tax-Exempt, Tax-Deferred, Taxable Accounts and Asset Allocation 260 Capital Gains Management and Tax-Loss Harvesting 276 Is It Optimal to Postpone Net Capital Gains? 280 Case Study 1: The Impact of Tax-Efficient Investment Planning 289 Case Study 2: Efficient Investment Protocols and Tax Efficiency 291 Closing Remarks 293 PART IV: CREATING AN INTEGRATED PORTFOLIO MANAGEMENT PROCESS 295 CHAPTER 10: Understanding Liability-Driven Investing 297 Understanding Duration Risk 298 Equity Duration 303 Hedging Inflation 307 Building a Liability-Driven Portfolio Management Process 310 Why Does Tracking Error Increase in Stressed Markets? 312 Impact of Managing Volatility in Different Economic Regimes 314 Incorporating More Efficient Asset Components 320 Incorporating Illiquid Components 322 Role of Investment-Grade Fixed-Income Assets 323 Incorporating Liabilities 324 Incorporating an Objective Function 325 Case Study 326 Allocating in the Context of Liabilities 331 Closing Remarks 335 CHAPTER 11: Conclusion and Case Studies 337 Case Studies: Portfolio Components, Methodology and Performance 340 Conclusion 349 Bibliography 351 Index 361
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