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E-raamat: Multi-Asset Investing: A Practitioner's Framework

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  • Formaat: PDF+DRM
  • Ilmumisaeg: 09-Mar-2016
  • Kirjastus: John Wiley & Sons Inc
  • Keel: eng
  • ISBN-13: 9781119241591
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Multi-Asset Investing: A Practitioner's FrameworkSuurem pilt
  • Formaat: PDF+DRM
  • Ilmumisaeg: 09-Mar-2016
  • Kirjastus: John Wiley & Sons Inc
  • Keel: eng
  • ISBN-13: 9781119241591
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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 Practitioners 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 strategys 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 dont 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 Managers 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 Partners, Asia Pacific

The Investment Strategist Perspective

 For plan sponsors, portfolio managers, analysts and risk managers, Multi-Asset Investing is an unparalleled guide for portfolio management. Its approach to blending the quantitative and fundamental, top-down and bottom up and the risk and return frameworks makes it a valuable tool for any kind of investment professional. It clarifies a complex subject into a series of practical ideas to help add value to any portfolio.

Ajay S. Kapur, Chief Strategist, BOA Merrill Lynch Asia
Preface xiii
About the Authors xv
1 An Introduction to the Multi-Asset Investment Problem 1(8)
1.1 What is Multi-Asset Investing?
2(2)
1.2 The Conventional Structure
4(1)
1.3 Transitioning from Active Management to Exposure Allocation
4(1)
1.4 Creating an Improved Allocation Structure
5(1)
1.5 Constructing a Multi-Asset Portfolio to Manage Tail Risks
6(1)
1.6 Multi-Asset Investing in Emerging Markets
6(1)
1.7 From Multi-Asset Strategies to Multi-Asset Solutions
7(1)
1.8 Structuring a Multi-Asset Business
7(2)
2 The Traditional Allocation Structure 9(16)
2.1 The Traditional Investment Process
10(2)
2.2 The Asset Allocation Process
12(1)
2.3 The Belief in Diversification
13(6)
2.4 Harnessing Equity Risk Premium and the Investment Horizon
19(1)
2.5 Asset Classes as Mutually Exclusive Silos
20(1)
2.6 Organization Structure and Resource Allocation
20(1)
2.7 Implications for Skill Required in Asset Allocation
21(1)
2.8 Requirements for a Revised Allocation Solution
22(1)
2.9 Parallel Debates Created in the Search for a Revised Allocation Solution
23(2)
3 Transitioning from Active Management to Exposure Allocation 25(14)
3.1 A Historic Rationalization of Alpha and Beta
26(1)
3.2 Progression of Active Management
27(1)
3.3 Generalizing the Beta Concept
27(1)
3.4 The Demise of Asset Class Demarcated Allocation
28(1)
3.5 Implications for the Active Investment Process
29(1)
3.6 Investment Strategy Categorization
30(1)
3.6.1 Fundamental, Quantitative and Technical
30(1)
3.6.2 Top-down, Bottom-up and Relative Value
31(1)
3.7 Positioning of Alternative Investments
31(1)
3.8 Obsolescence of Portable Alpha
32(1)
3.9 Positioning of Fundamental Indexation and Smart Beta
32(1)
3.10 Risk in an Exposure-Based Framework
33(1)
3.11 Horizon-Based Organizational Demarcation
34(1)
3.12 Transition from an Asset-Based to an Exposure-Based Organization
34(3)
3.13 Conclusion
37(2)
4 Redefining Risk Premium for Multi-Asset Allocation Decisions 39(14)
4.1 Incumbent Risk and Risk Premium Frameworks
40(1)
4.2 Framework for the Concurrent Presence of All Asset Classes
41(1)
4.3 Incorporating Intra-Horizon Risk
42(1)
4.4 Risk and Return Premium for Allocation Silos
43(2)
4.5 Asset Class Premiums - Comparison of Traditional and Proposed Methods
45(1)
4.6 Asset Class Premiums - Impact of Different Investment Horizons
46(1)
4.7 Asset Class Risk - Comparison of Traditional and Proposed Methods
47(1)
4.8 Asset Class Risk - Impact of Different Investment Horizons
48(1)
4.9 Sovereign Risk and Risk Premium
49(2)
4.10 Application to Various Multi-Asset Investment Problem Scenarios
51(1)
4.11 Conclusion
52(1)
5 A Multi-Strategy Allocation Structure 53(14)
5.1 Categories of Allocation Approaches
54(4)
5.2 A Multi-Strategy Framework for the Allocation Problem
58(1)
5.3 The Benefits of Strategy Diversification
59(2)
5.4 Individual Allocation Methodology Requirements
61(2)
5.5 Example of a Multi-Strategy Allocation Approach
63(3)
5.6 Conclusion
66(1)
6 A Fundamental Exposure Allocation Approach-Business Cycles 67(10)
6.1 The Passive Economic Model
67(1)
6.2 An Active Economic Approach
68(1)
6.3 A Five Cycle Asset Allocation Approach
69(4)
6.3.1 Cycle I -The Global Business Cycle
69(1)
6.3.2 Cycle II - The Local Business Cycle
70(1)
6.3.3 Cycle III - The Monetary Cycle
71(2)
6.3.4 Cycle IV - The Credit and Capex Cycles
73(1)
6.3.5 Cycle V - Market Cycle
73(1)
6.4 Cycle Limiting Risk Parameters
73(1)
6.5 Segregating the Core and Cyclical Components
74(1)
6.6 The Composite Five Cycle Framework
75(2)
7 A Systematic Exposure Allocation Process - Active Risk Budgeting 77(20)
7.1 Modeling the Business Cycle
78(2)
7.2 Modeling the Monetary Cycle
80(1)
7.3 Risk Adjustment for Equity Valuation
81(1)
7.4 Creating an Adjusted Risk Budgeting Allocation Methodology
82(3)
7.5 Simulated Performance Results
85(5)
7.6 Confirming Robustness of ARB Allocation Methodology
90(4)
7.6.1 Performance in Different Time Periods
90(1)
7.6.2 Performance in Different Market Conditions
90(4)
7.7 Implementation of a Drawdown Management Process
94(3)
8 Estimation of Asset Allocation 97(10)
8.1 The Consensus Asset Allocation Dataset
97(1)
8.2 Using Consensus Data for Allocation Decisions
98(9)
8.2.1 Basic Allocation Decisions
98(1)
8.2.2 Creating Tactical Allocation Changes
99(3)
8.2.3 Conviction Level in Allocation Stances
102(1)
8.2.4 Currency Hedge Ratio Decisions
103(2)
8.2.5 Separating the Poor Forecasters from the Accurate Ones
105(1)
8.2.6 Contrasting the Variety of Allocation Methodologies
105(2)
9 Optimization for Multi-Asset Portfolios 107(26)
9.1 Evolution of the Mean Variance Framework
107(2)
9.2 Portfolio Allocation and Measures of Performance
109(1)
9.3 A Utility-Based Approach
110(1)
9.4 The Fund Manager's Objectives
110(2)
9.5 The Efficient Frontier
112(1)
9.6 Optimal Portfolio Choice
113(1)
9.7 Incorporating the Constraints
114(1)
9.8 Tail Risk Constraint
115(1)
9.9 Event Risk
115(1)
9.10 Macro Risk
116(1)
9.11 Regime Risk
116(1)
9.12 Correlation Risk
117(1)
9.13 Formulation of the Optimization Problem
118(1)
9.14 The Unconstrained Allocation
119(2)
9.15 Applying the Constraints
121(6)
9.16 The Preferred Portfolio
127(3)
9.17 Conclusions
130(3)
10 Managing Tail Risk in Multi-Asset Portfolios 133(22)
10.1 Portfolio Management - The Practical Setting
134(1)
10.2 Asset Allocation - The Practical Setting
134(1)
10.3 Creating a Real Risk Measure: End-of-Horizon vs. Intra-Horizon Risk
135(4)
10.4 Model Uncertainty
139(4)
10.5 Stop-Losses
143(7)
10.6 Implementing Tail Risk Management
150(3)
10.7 Notation and Variables
153(2)
11 Multi-Asset Investing in Emerging Markets 155(14)
11.1 Observation 1: Sub-Optimal Geographic Categorization of Emerging Markets
155(1)
11.2 Observation 2: Inappropriate Sector Classification for Emerging Markets
156(2)
11.3 Observation 3: Stock Concentration in Equity Indices
158(1)
11.4 Observation 4: The Potential for Active Management
159(1)
11.5 Observation 5: Performance of Active Managers
159(3)
11.6 Observation 6: Over-Dependence on a Single Investment Decision
162(1)
11.7 Summary of Observations
162(1)
11.8 Pitfalls in Emerging Market Investment Frameworks
163(1)
11.9 An Improved Framework for Emerging Market Investments
164(5)
12 The Importance of Asset Allocation in Asian Equities 169(10)
12.1 Impact of Breadth on Portfolio Excess Return
169(1)
12.2 Impact of Varying Cross-Sectional Dispersion on Portfolio Excess Return
170(2)
12.3 The Relative Importance of Asset Allocation and Stock Selection
172(1)
12.4 Comparing the US and Asian Equity Investment Universe
173(3)
12.5 Conclusions
176(3)
13 Implementing a Multi-Asset Strategy-Active or Passive 179(6)
13.1 Investment Determinants for the Active-Passive Decision
179(5)
13.2 Asset Owner Constraints Impacting the Active-Passive Decision
184(1)
14 An Exposure-Based Risk Diagnostics Framework 185(10)
14.1 Shortcomings of a Traditional Risk Analysis Approach
185(1)
14.2 Evaluating Intended and Unintended Risk
186(1)
14.3 A Multi-Dimensional Risk Architecture
187(8)
14.3.1 Skill Analysis
188(1)
14.3.2 Investment Process Component Analysis
189(1)
14.3.3 Regime Risk Analysis
189(1)
14.3.4 Style and Factor Risk Analysis
190(1)
14.3.5 Macro Risk Analysis
190(1)
14.3.6 Stress Event Risk Analysis
191(1)
14.3.7 Peer Group Comparison Analysis
192(3)
15 Impact of Manager Compensation on Allocation Decisions 195(16)
15.1 Compensation Structure
196(1)
15.2 Managerial Constraints
197(2)
15.2.1 Managerial Skill
198(1)
15.2.2 Managerial Risk Preferences
198(1)
15.3 Optimal Activeness
199(3)
15.4 The Distribution of Performance
202(1)
15.5 The Importance of Skill
203(2)
15.6 Activeness and Age
205(1)
15.7 Implications for a Multi-Period Setting
206(2)
15.7.1 Compensation Structure
206(1)
15.7.2 The Distribution of Performance
206(2)
15.8 Examples of Managerial Contracts
208(1)
15.9 Conclusions
209(2)
16 From Multi-Asset Strategies to Multi-Asset Solutions 211(10)
16.1 Current Phase of Industry Transition
213(1)
16.2 Multi-Asset Solutions as an Industry Function
214(1)
16.3 Characteristics of a Multi-Asset Solution Provider
215(1)
16.4 Customization Parameters for an Investment Solution
215(4)
16.5 Requirements for a Standardized Implementation
219(1)
16.6 The Importance of Attributing Performance
219(1)
16.7 Conclusions
220(1)
17 Multi-Asset Investing for Private Wealth Assets 221(12)
17.1 The Private Wealth Multi-Asset Investment Problem
221(3)
17.2 Business Model and Organizational Issues
224(2)
17.3 Incumbent Investment Frameworks
226(1)
17.4 A Multi-Asset Private Wealth Investment Platform
227(1)
17.5 Goals-Based Allocation
228(2)
17.6 Implication for the Long-Only Active Manager
230(1)
17.7 Conclusions
230(3)
18 Structuring a Multi-Asset Investing Business 233(12)
18.1 Product Structure and Positioning
233(2)
18.2 Product Advantages and Disadvantages
235(1)
18.3 Product Investment Skills
236(1)
18.4 Target Client Segmentation
237(1)
18.5 Where Did Existing Products Fall Short?
238(4)
18.6 Client Segment - Expectations and Evaluation
242(3)
19 Competing for Better Institutional Investment Outcomes 245(20)
19.1 Mission and Beliefs - The First and Most Critical Step
246(2)
19.2 Frameworks: Traditional Asset Class Versus Risk Premium
248(2)
19.3 Linking Beliefs With Return Drivers and Portfolio Construction Decisions
250(6)
19.3.1 A New Perspective
252(1)
19.3.2 A Wider Opportunity Set for Exploiting Alpha
253(2)
19.3.3 Ensuring That Everything Is Consistent with Beliefs
255(1)
19.4 Governance Consideration
256(3)
19.4.1 Closing the Governance Gap: Build or Buy
256(1)
19.4.2 The Separation of Governing and Executive Functions
257(2)
19.5 Choosing an Implementation Route for Delegation
259(3)
19.5.1 Bundling Multiple Investment Strategies into Pooled Funds
259(1)
19.5.2 Fully Bespoke Implementation
260(2)
19.6 Monitoring
262(1)
19.7 Conclusions
263(2)
Bibliography and References 265(4)
Index 269
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.
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