Pranay Gupta, Sven R. Skallsjo, Bing Li

Multi-Asset Investing (eBook, PDF)

A Practitioner's Framework

• Format: PDF

Produktbeschreibung

This is not a textbook, nor is it an academic journal research kind of text. It is best described as that part of academic wisdom that the authors have found useful in actually managing assets, coupled with heuristics that they have developed over the last decade. The approach helped the authors manage more than $20bn in assets in one instance, and be the best performing multi-asset managers in another. It is the practical truth of what works in managing multi-asset portfolios and what may not. It questions all conventional wisdom in the space (which is what all traditional asset allocation books are based on), and suggests solutions to the actual problems that exist in managing these portfolios that no-one talks about. It is "What they didn't teach you about managing multi-asset portfolios."

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Produktdetails

• Verlag: John Wiley & Sons
• Seitenzahl: 296
• Erscheinungstermin: 9. März 2016
• Englisch
• ISBN-13: 9781119241591
• Artikelnr.: 44870798

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