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Portfolio Design Richard C. Marston

Portfolio Design von Richard C. Marston

Portfolio Design Richard C. Marston


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Zusammenfassung

Portfolio Design choosing the right mix of assets appropriate to a particular investor is the key to successful investing. It can help you accumulate wealth over time, while cushioning the blow of possible economic downturns.

Portfolio Design Zusammenfassung

Portfolio Design: A Modern Approach to Asset Allocation Richard C. Marston

Portfolio Design choosing the right mix of assets appropriate to a particular investor is the key to successful investing. It can help you accumulate wealth over time, while cushioning the blow of possible economic downturns.But in order to successfully achieve this goal, you need to be familiar with all of the major asset classes that go into modern portfolios and learn how much they add to portfolio diversification.Thoughtful asset allocation provides discipline to the investment process and gives you the best chance of building and safeguarding wealth.Wharton Professor Richard C. Marston, 2014 recipient of the Investment Management Consultants Associations prestigious Matthew R. McArthur Award, will guide you through the major decisions that need to be made when designing a portfolio and will put you in the best position to balance the risk-reward relationship that is part of this endeavor.

Portfolio Designisto be read by investment advisors.The book is rich in information about individual asset classes, including both traditional assets like stocks and bonds as well as alternative assets such as hedge funds, private equity, real estate, and commodities.So it should appeal to all sophisticated advisors whether or not they are trying to qualify for one of the major investment designations. In fact, the book is designed to be read by any advisor who is as fascinated as Marston by the investment process.

Über Richard C. Marston

RICHARD C. MARSTON is currently James R.F. Guy Professor of Finance and Director, George Weiss Center for International Financial Research at the Wharton School, University of Pennsylvania. He was a recipient of the Rhodes Scholarship, Fulbright Fellowship, and the Sanwa Bank Prize in International Finance. He has been a research associate for the National Bureau of Economic Research since 1979, a visiting professor at London Business School, ESSEC in Paris, and the Sasin Institute at Chulalongkorn University in Bangkok, and Visiting Scholar at the Bank of Japan. Since 1999, he has been Academic Director of the Private Wealth Management Program at Wharton, a week-long program for ultra-high-net-worth investors, and he is a long-standing faculty member in the Certified Investment Management Analyst program at Wharton, having taught asset allocation to over 5000 financial advisors.

Inhaltsverzeichnis

Preface xiii

Acknowledgements xv

About the Author xvii

About the Book xix

Disclaimers xxi

CHAPTER 1 Asset Allocation 1

Ingredients of Asset Allocation 3

Lessons of the Recent Downturn 6

So Are Bonds the Place to Invest? 10

So What Happens When the Economy Turns Up? 13

Some Necessary Tools for Analysis 15

Appendix: Description of the Statistical Tools 16

CHAPTER 2 Long-Run Returns on Stocks and Bonds 21

Stocks and Bonds Since 1951 22

How Much More Attractive Are Stocks than Bonds? 24

Real Returns 25

Reconsidering Bond Returns 27

Reconsidering Stock Returns 30

Alternative Estimates of Long-Run Stock Returns 32

Upper and Lower Bounds for Equity Returns 35

Appendix: Alternative Estimates of Stock Returns 36

CHAPTER 3 Small-Cap Stocks 41

What Do We Mean by Small-Cap Stocks? 43

Relative Performance of Large-Cap and Small-Cap StocksRussell Series 45

Relative Performance of Large-Cap and Small-Cap StocksSBBI Series 48

Relative Performance of Large-Cap and Small-Cap StocksBroader Analysis 50

Large-Cap and Small-Cap Stocks in a Portfolio Context 52

SummaryKey Features of Small-Cap Stocks 55

CHAPTER 4 Value and Growth Investing 57

Description of the Russell 1000 Indexes 57

Relative Performance of Growth and Value Indexes 59

Value and Growth Indexes for Earlier Periods 64

Relative Performance of Small-Cap Growth and Value Stocks 65

Portfolios with Growth and Value 69

SummaryKey Features of Growth and Value Stocks 71

CHAPTER 5 Foreign Stocks 73

Returns on Foreign and U.S. Stocks 75

Currency Capital Gains and Foreign Stock Returns 79

Diversification Benefits of Foreign Stock Investing 85

Are There Shortcuts to Owning Foreign Stocks? 90

SummaryKey Features of Foreign Stocks 93

CHAPTER 6 Emerging Markets 97

What Is An Emerging Market? 98

Emerging Stock Market Indexes 101

Emerging Stock Market Returns 103

Risks of Investing in Emerging Stock Markets 107

Emerging Market BondsA Brief History 113

Returns on Emerging Market Bonds 114

SummaryKey Features of Emerging Market Stocks and Bonds 117

CHAPTER 7 Bonds 121

Treasury Bonds 122

The Wider U.S. Bond Market 127

Returns on U.S. Bonds 131

Bond Markets Outside the United States 133

SummaryKey Features of Bonds 140

CHAPTER 8 Strategic Asset Allocation 143

Expanding the Portfolio to Include Other Bonds and Stocks 145

Expanding the Portfolio to Include Foreign Stocks 147

The Dirty Secret of Optimization 150

Alternative Approaches to Optimization 154

Estimating Portfolio Returnsthe Premium Method 155

Portfolios in PracticeExample of MarketWatch.coms Lazy Portfolios 159

Beyond the Traditional Efficient Frontier 163

CHAPTER 9 Hedge Funds 167

Investment Strategies 169

Hedge Fund Returns 172

Hedge Fund Biases 178

Performance Across Managers 181

Fund of Funds 182

Hedge Funds in a Portfolio 186

SummaryKey Features of Hedge Funds 187

CHAPTER 10 Venture Capital and Private Equity 191

Common Features of Venture Capital and Buyout Funds 192

Venture Capital 195

Returns on Venture Capital 198

Buyout Funds 205

Returns on Buyout Funds 207

Key Features of Private Equity 211

CHAPTER 11 Real AssetsReal Estate 213

Real Estate Investment Trusts 214

Direct Ownership of Real Estate 220

Home Ownership 223

Concluding Remarks 231

CHAPTER 12 Real AssetsCommodities 235

Sources of Return on Commodity Futures 236

Returns on Commodity Futures 239

Performance in a Portfolio 245

Does Gold Belong in the Portfolio? 249

Active Investment in CommoditiesManaged Futures 251

SummaryKey Features of Commodity Investments 253

CHAPTER 13 Asset Allocation with Alternative Investments 257

Diversifying into Real EstateAlternatives for Ordinary Investors 258

Expanding the Menu of Alternative Assets 262

High Net Worth (HNW) Portfolios 264

Ultra HNW Portfolios 266

Lessons about Alternatives from the Yale Endowment 269

Lessons about Alternative Investments Learned in the Financial Crisis 277

Verdict on Alternative Investments 280

CHAPTER 14 Investing and Spending by Foundations 285

Spending Rules 286

Estimating Future Bond and Stock Returns 288

Volatility and Uncertainty 288

Portfolios of Stocks and Bonds 290

Description of the Spending Plan 291

Using Historical Returns Since 1951 to Set Spending Rules 292

Effect of Lower Stock Returns on Spending Rules 294

Effects of Different Stock/Bond Allocations 296

Concluding Comments 299

CHAPTER 15 Investing and Spending in Retirement 303

Longevity 306

Spending Rules for Retirement 308

Portfolios of Stocks and Bonds 309

Baseline Case: Can Two Live More Cheaply Than One? 310

Effects of Bequests and Variable Spending Rules 311

How Can I Turn a Defined Contribution Plan into a Defined Benefit Plan? 313

Concluding CommentsPostpone Retirement? 314

CHAPTER 16 The Discipline of Asset AllocationRebalancing 319

Rebalancing Defined 320

Rebalancing When Times Are Good 321

Rebalancing When Times Are Bad 323

References 325

Index 331

Zusätzliche Informationen

GOR010397759
9780470931233
047093123X
Portfolio Design: A Modern Approach to Asset Allocation Richard C. Marston
Gebraucht - Sehr Gut
Gebundene Ausgabe
John Wiley & Sons Inc
2011-04-05
368
N/A
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