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Portfolio Management in Practice, Volume 1: Investment Management delivers a comprehensive overview of investment management for students and industry professionals.

As the first volume in the CFA Institute’s new Portfolio Management in Practice series, Investment Management offers professionals looking to enhance their skillsets and students building foundational knowledge an essential understanding of key investment management concepts. Designed to be an accessible resource for a wide range of learners, this volume explores the full portfolio management process.

Inside, readers will find detailed coverage of:

  • Forming capital market expectations
  • Principles of the asset allocation process
  • Determining investment strategies within each asset class
  • Integrating considerations specific to high net worth individuals or institutions into chosen strategies
  • And more

To apply the concepts outlined in the Investment Management volume, explore the accompanying Portfolio Management in Practice, Volume 1: Investment Management Workbook. The perfect companion resource, this workbook aligns chapter-by-chapter with Investment Management for easy referencing so readers can draw connections between theoretical content and challenging practice problems.

Featuring contributions from the CFA Institute’s subject matter experts, Portfolio Management in Practice, Volume 1: Investment Management distills the knowledge forward-thinking professionals will need to succeed in today’s fast-paced financial world.

Preface xxi
Acknowledgments xxiii
About the CFA Institute Investment Series xxv
Chapter 1 Professionalism in the Investment Industry 1(14)
Learning Outcomes
1(1)
1 Introduction
1(1)
2 Professions
2(3)
2.1 How Professions Establish Trust
2(2)
2.2 Professions Are Evolving
4(1)
3 Professionalism in Investment Management
5(2)
3.1 Trust in the Investment Industry
6(1)
3.2 CFA Institute as an Investment Professional Body
6(1)
4 Expectations of Investment Professionals
7(2)
5 Framework for Ethical Decision-Making
9(2)
5.1 Description of the Framework
9(2)
6 Challenges for Investment Professionals
11(1)
7 Summary
12(1)
References
13(1)
Practice Problems
13(2)
Chapter 2 Fintech in Investment Management 15(22)
Learning Outcomes
15(1)
1 Introduction
15(1)
2 What is Fintech?
16(1)
3 Big Data
17(3)
3.1 Sources of Big Data
18(2)
3.2 Big Data Challenges
20(1)
4 Advanced Analytical Tools: Artificial Intelligence and Machine Learning
20(3)
4.1 Types of Machine Learning
22(1)
5 Data Science: Extracting Information from Big Data
23(2)
5.1 Data Processing Methods
23(1)
5.2 Data Visualization
24(1)
6 Selected Applications of Fintech to Investment Management
25(5)
6.1 Text Analytics and Natural Language Processing
26(1)
6.2 Robo-Advisory Services
27(2)
6.3 Risk Analysis
29(1)
6.4 Algorithmic Trading
30(1)
7 Distributed Ledger Technology
30(4)
7.1 Permissioned and Permissionless Networks
32(1)
7.2 Applications of Distributed Ledger Technology to Investment Management
32(2)
Summary
34(1)
Practice Problems
35(2)
Chapter 3 Capital Market Expectations, Part 1: Framework and Macro Considerations 37(56)
Learning Outcomes
37(1)
1 Introduction
38(1)
2 Framework and Challenges
38(12)
2.1 A Framework for Developing Capital Market Expectations
39(3)
2.2 Challenges in Forecasting
42(8)
3 Economic and Market Analysis
50(31)
3.1 The Role of Economic Analysis
51(1)
3.2 Analysis of Economic Growth
51(6)
3.3 Approaches to Economic Forecasting
57(4)
3.4 Business Cycle Analysis
61(7)
3.5 Analysis of Monetary and Fiscal Policy
68(9)
3.6 International Interactions
77(4)
4 Summary
81(4)
References
85(1)
Practice Problems
85(8)
Chapter 4 Capital Market Expectations, Part 2: Forecasting Asset Class Returns 93(62)
Learning Outcomes
93(1)
1 Introduction
94(1)
2 Overview of Tools and Approaches
94(2)
2.1 The Nature of the Problem
94(1)
2.2 Approaches to Forecasting
95(1)
3 Forecasting Fixed-Income Returns
96(11)
3.1 Applying DCF to Fixed Income
96(2)
3.2 The Building Block Approach to Fixed-Income Returns
98(6)
3.3 Risks in Emerging Market Bonds
104(3)
4 Forecasting Equity Returns
107(10)
4.1 Historical Statistics Approach to Equity Returns
107(1)
4.2 DCF Approach to Equity Returns
107(4)
4.3 Risk Premium Approaches to Equity Returns
111(4)
4.4 Risks in Emerging Market Equities
115(2)
5 Forecasting Real Estate Returns
117(7)
5.1 Historical Real Estate Returns
117(1)
5.2 Real Estate Cycles
117(1)
5.3 Capitalization Rates
118(2)
5.4 The Risk Premium Perspective on Real Estate Expected Return
120(1)
5.5 Real Estate in Equilibrium
120(1)
5.6 Public vs. Private Real Estate
121(1)
5.7 Long-Term Housing Returns
122(2)
6 Forecasting Exchange Rates
124(8)
6.1 Focus on Goods and Services, Trade, and the Current Account
125(2)
6.2 Focus on Capital Flows
127(5)
7 Forecasting Volatility
132(5)
7.1 Estimating a Constant VCV Matrix with Sample Statistics
132(1)
7.2 VCV Matrices from Multi-Factor Models
133(1)
7.3 Shrinkage Estimation of VCV Matrices
134(1)
7.4 Estimating Volatility from Smoothed Returns
135(1)
7.5 Time-Varying Volatility: ARCH Models
136(1)
8 Adjusting a Global Portfolio
137(4)
8.1 Macro-Based Recommendations
138(2)
8.2 Quantifying the Views
140(1)
Summary
141(2)
References
143(2)
Practice Problems
145(10)
Chapter 5 Overview of Asset Allocation 155(56)
Learning Outcomes
155 (1)
1 Introduction
155(2)
2 Asset Allocation: Importance in Investment Management
157(1)
3 The Investment Governance Background to Asset Allocation
158(7)
3.1 Governance Structures
158(1)
3.2 Articulating Investment Objectives
159(1)
3.3 Allocation of Rights and Responsibilities
160(2)
3.4 Investment Policy Statement
162(1)
3.5 Asset Allocation and Rebalancing Policy
162(1)
3.6 Reporting Framework
163(1)
3.7 The Governance Audit
163(2)
4 The Economic Balance Sheet and Asset Allocation
165(4)
5 Approaches to Asset Allocation
169(11)
5.1 Relevant Objectives
171(1)
5.2 Relevant Risk Concepts
172(1)
5.3 Modeling Asset Class Risk
173(7)
6 Strategic Asset Allocation
180(15)
6.1 Asset Only
182(6)
6.2 Liability Relative
188(3)
6.3 Goals Based
191(4)
7 Implementation Choices
195(6)
7.1 Passive/Active Management of Asset Class Weights
196(1)
7.2 Passive/Active Management of Allocations to Asset Classes
196(4)
7.3 Risk Budgeting Perspectives in Asset Allocation and Implementation
200(1)
8 Rebalancing: Strategic Considerations
201(5)
8.1 A Framework for Rebalancing
203(1)
8.2 Strategic Considerations in Rebalancing
204(2)
9 Summary
206(1)
References
207(2)
Practice Problems
209(2)
Chapter 6 Principles of Asset Allocation 211(96)
Learning Outcomes
211(1)
1 Introduction
212(1)
2 Developing Asset Only Asset Allocations
213(36)
2.1 Mean-Variance Optimization: Overview
213(12)
2.2 Monte Carlo Simulation
225(3)
2.3 Criticisms of Mean-Variance Optimization
228(2)
2.4 Addressing the Criticisms of Mean-Variance Optimization
230(11)
2.5 Allocating to Less Liquid Asset Classes
241(2)
2.6 Risk Budgeting
243(3)
2.7 Factor-Based Asset Allocation
246(3)
3 Developing Liability-Relative Asset Allocations
249(17)
3.1 Characterizing the Liabilities
250(3)
3.2 Approaches to Liability-Relative Asset Allocation
253(11)
3.3 Examining the Robustness of Asset Allocation Alternatives
264(2)
3.4 Factor Modeling in Liability-Relative Approaches
266(1)
4 Developing Goals-Based Asset Allocations
266(17)
4.1 The Goals-Based Asset Allocation Process
268(2)
4.2 Describing Client Goals
270(2)
4.3 Constructing Sub-Portfolios
272(4)
4.4 The Overall Portfolio
276(1)
4.5 Revisiting the Module Process in Detail
277(4)
4.6 Periodically Revisiting the Overall Asset Allocation
281(1)
4.7 Issues Related to Goals-Based Asset Allocation
281(2)
5 Heuristics and Other Approaches to Asset Allocation
283(5)
5.1 The "120 minus your age" rule
283(1)
5.2 The 60/40 stock/bond heuristic
284(1)
5.3 The endowment model
285(1)
5.4 Risk parity
286(2)
5.5 The 1/N rule
288(1)
6 Portfolio Rebalancing in Practice
288(4)
7 Conclusions
292(2)
References
294(2)
Practice Problems
296(11)
Chapter 7 Asset Allocation with Real-World Constraints 307(62)
Learning Outcomes
307(1)
1 Introduction
307(1)
2 Constraints in Asset Allocation
308(19)
2.1 Asset Size
308(6)
2.2 Liquidity
314(3)
2.3 Time Horizon
317(4)
2.4 Regulatory and Other External Constraints
321(6)
3 Asset Allocation for the Taxable Investor
327(10)
3.1 After-Tax Portfolio Optimization
321(10)
3.2 Taxes and Portfolio Rebalancing
331(1)
3.3 Strategies to Reduce Tax Impact
332(5)
4 Revising the Strategic Asset Allocation
337(6)
4.1 Goals
337(6)
5 Short-Term Shifts in Asset Allocation
343(6)
5.1 Discretionary TAA
344(1)
5.2 Systematic TAA
345(4)
6 Dealing with Behavioral Biases in Asset Allocation
349(8)
6.1 Loss Aversion
349(1)
6.2 Illusion of Control
350(1)
6.3 Mental Accounting
351(1)
6.4 Representativeness Bias
352(1)
6.5 Framing Bias
352(2)
6.6 Availability Bias
354(3)
7 Summary
357(2)
References
359(1)
Practice Problems
360(9)
Chapter 8 Currency Management: An Introduction 369(84)
Learning Outcomes
369(1)
1 Introduction
369(1)
2 Review of Foreign Exchange Concepts
370(7)
2.1 Spot Markets
371(2)
2.2 Forward Markets
373(3)
2.3 FX Swap Markets
376(1)
2.4 Currency Options
377(1)
3 Currency Risk and Portfolio Return and Risk
377(6)
3.1 Return Decomposition
378(2)
3.2 Volatility Decomposition
380(3)
4 Currency Management: Strategic Decisions
383(12)
4.1 The Investment Policy Statement
384(1)
4.2 The Portfolio Optimization Problem
385(1)
4.3 Choice of Currency Exposures
386(3)
4.4 Locating the Portfolio Along the Currency Risk Spectrum
389(4)
4.5 Formulating a Client-Appropriate Currency Management Program
393(2)
5 Currency Management: Tactical Decisions
395(11)
5.1 Active Currency Management Based on Economic Fundamentals
396(1)
5.2 Active Currency Management Based on Technical Analysis
397(2)
5.3 Active Currency Management Based on the Carry Trade
399(2)
5.4 Active Currency Management Based on Volatility Trading
401(5)
6 Tools of Currency Management
406(29)
6.1 Forward Contracts
407(7)
6.2 Currency Options
414(2)
6.3 Strategies to Reduce Hedging Costs and Modify a Portfolio's Risk Profile
416(8)
6.4 Hedging Multiple Foreign Currencies
424(7)
6.5 Basic Intuitions for Using Currency Management Tools
431(4)
7 Currency Management for Emerging Market Currencies
435(3)
7.1 Special Considerations in Managing Emerging Market Currency Exposures
435(2)
7.2 Non-Deliverable Forwards
437(1)
8 Summary
438(3)
References
441(1)
Practice Problems
441(12)
Chapter 9 Overview of Fixed-Income Portfolio Management 453(40)
Learning Outcomes
453(1)
1 Introduction
453(1)
2 Roles of Fixed-Income Securities in Portfolios
454(5)
2.1 Diversification Benefits
454(2)
2.2 Benefits of Regular Cash Flows
456(1)
2.3 Inflation Hedging Potential
457(2)
3 Fixed-Income Mandates
459(9)
3.1 Liability-Based Mandates
460(4)
3.2 Total Return Mandates
464(4)
4 Bond Market Liquidity
468(3)
4.1 Liquidity among Bond Market Sub-Sectors
468(1)
4.2 The Effects of Liquidity on Fixed-Income Portfolio Management
469(2)
5 A Model for Fixed-Income Returns
471(5)
5.1 Decomposing Expected Returns
471(4)
5.2 Estimation of the Inputs
475(1)
5.3 Limitations of the Expected Return Decomposition
475(1)
6 Leverage
476(5)
6.1 Using Leverage
477(1)
6.2 Methods for Leveraging Fixed-Income Portfolios
477(4)
6.3 Risks of Leverage
481(1)
7 Fixed-Income Portfolio Taxation
481(3)
7.1 Principles of Fixed-Income Taxation
482(1)
7.2 Investment Vehicles and Taxes
483(1)
8 Summary
484(2)
References
486(1)
Practice Problems
486(7)
Chapter 10 Liability-Driven and Index-Based Strategies 493(80)
Learning Outcomes
493(1)
1 Introduction
494(1)
2 Liability-Driven Investing
495(3)
3 Interest Rate Immunization-Managing the Interest Rate Risk of a Single Liability
498(13)
4 Interest Rate Immunization-Managing the Interest Rate Risk of Multiple Liabilities
511(15)
4.1 Cash Flow Matching
511(3)
4.2 Duration Matching
514(6)
4.3 Derivatives Overlay
520(4)
4.4 Contingent Immunization
524(2)
5 Liability-Driven Investing-An Example of a Defined Benefit Pension Plan
526(10)
6 Risks in Liability-Driven Investing
536(5)
7 Bond Indexes and the Challenges of Matching a Fixed-Income Portfolio to an Index
541(6)
8 Alternative Methods for Establishing Passive Bond Market Exposure
547(6)
9 Benchmark Selection
553(3)
10 Laddered Bond Portfolios
556(3)
11 Summary
559(4)
References
563(1)
Practice Problems
564(9)
Chapter 11 Overview of Equity Portfolio Management 573(28)
Learning Outcomes
573(1)
1 Introduction
573(1)
2 The Roles of Equities in a Portfolio
574(5)
2.1 Capital Appreciation
574(1)
2.2 Dividend Income
575(1)
2.3 Diversification with Other Asset Classes
576(1)
2.4 Hedge Against Inflation
577(1)
2.5 Client Considerations for Equities in a Portfolio
577(2)
3 Equity Investment Universe
579(6)
3.1 Segmentation by Size and Style
579(2)
3.2 Segmentation by Geography
581(2)
3.3 Segmentation by Economic Activity
583(2)
3.4 Segmentation of Equity Indexes and Benchmarks
585(1)
4 Income and Costs in an Equity Portfolio
585(5)
4.1 Dividend Income
586(1)
4.2 Securities Lending Income
586(1)
4.3 Ancillary Investment Strategies
587(1)
4.4 Management Fees
588(1)
4.5 Performance Fees
588(1)
4.6 Administration Fees
589(1)
4.7 Marketing and Distribution Costs
589(1)
4.8 Trading Costs
589(1)
4.9 Investment Approaches and Effects on Costs
590(1)
5 Shareholder Engagement
590(4)
5.1 Benefits of Shareholder Engagement
591(1)
5.2 Disadvantages of Shareholder Engagement
592(1)
5.3 The Role of an Equity Manager in Shareholder Engagement
592(2)
6 Equity Investment across the Passive-Active Spectrum
594(3)
6.1 Confidence to Outperform
594(1)
6.2 Client Preference
595(1)
6.3 Suitable Benchmark
596(1)
6.4 Client-Specific Mandates
596(1)
6.5 Risks/Costs of Active Management
596(1)
6.6 Taxes
596(1)
Summary
597(1)
References
598(1)
Practice Problems
598(3)
Chapter 12 Passive Equity Investing 601(46)
Learning Outcomes
601(1)
1 Introduction
601(2)
2 Choosing a Benchmark
603(12)
2.1 Indexes as a Basis for Investment
603(1)
2.2 Considerations When Choosing a Benchmark Index
604(2)
2.3 Index Construction Methodologies
606(6)
2.4 Factor-Based Strategies
612(3)
3 Approaches to Passive Equity Investing
615(10)
3.1 Pooled Investments
615(4)
3.2 Derivatives-Based Approaches
619(4)
3.3 Separately Managed Equity Index-Based Portfolios
623(2)
4 Portfolio Construction
625(5)
4.1 Full Replication
625(2)
4.2 Stratified Sampling
627(1)
4.3 Optimization
628(1)
4.4 Blended Approach
629(1)
5 Tracking Error Management
630(3)
5.1 Tracking Error and Excess Return
630(2)
5.2 Potential Causes of Tracking Error and Excess Return
632(1)
5.3 Controlling Tracking Error
632(1)
6 Sources of Return and Risk in Passive Equity Portfolios
633(5)
6.1 Attribution Analysis
633(2)
6.2 Securities Lending
635(2)
6.3 Investor Activism and Engagement by Passive Managers
637(1)
Summary
638(2)
References
640(1)
Practice Problems
641(6)
Chapter 13 Active Equity Investing: Strategies 647(72)
Learning Outcomes
647(1)
1 Introduction
647(1)
2 Approaches to Active Management
648(6)
2.1 Differences in the Nature of the Information Used
650(1)
2.2 Differences in the Focus of the Analysis
651(1)
2.3 Difference in Orientation to the Data: Forecasting the Future vs. Analyzing the Past
652(1)
2.4 Differences in Portfolio Construction: Judgment vs. Optimization
652(2)
3 Types of Active Management Strategies
654(33)
3.1 Bottom-Up Strategies
654(7)
3.2 Top-Down Strategies
661(3)
3.3 Factor-Based Strategies
664(13)
3.4 Activist Strategies
677(7)
3.5 Other Strategies
684(3)
4 Creating a Fundamental Active Investment Strategy
687(7)
4.1 The Fundamental Active Investment Process
687(3)
4.2 Pitfalls in Fundamental Investing
690(4)
5 Creating a Quantitative Active Investment Strategy
694(7)
5.1 Creating a Quantitative Investment Process
694(4)
5.2 Pitfalls in Quantitative Investment Processes
698(3)
6 Equity Investment Style Classification
701(9)
6.1 Different Approaches to Style Classification
702(6)
6.2 Strengths and Limitations of Style Analysis
708(2)
7 Summary
710(1)
References
711(1)
Practice Problems
712(7)
Chapter 14 Hedge Fund Strategies 719(84)
Learning Outcomes
719(1)
1 Introduction
719(2)
2 Classification of Hedge Funds and Strategies
721(4)
3 Equity Strategies
725(11)
3.1 Long/Short Equity
725(3)
3.2 Dedicated Short Selling and Short-Biased
728(4)
3.3 Equity Market Neutral
732(4)
4 Event-Driven Strategies
736(8)
4.1 Merger Arbitrage
737(3)
4.2 Distressed Securities
740(4)
5 Relative Value Strategies
744(9)
5.1 Fixed-Income Arbitrage
744(5)
5.2 Convertible Bond Arbitrage
749(4)
6 Opportunistic Strategies
753(7)
6.1 Global Macro Strategies
753(3)
6.2 Managed Futures
756(4)
7 Specialist Strategies
760(7)
7.1 Volatility Trading
761(4)
7.2 Reinsurance/Life Settlements
765(2)
8 Multi-Manager Strategies
767(7)
8.1 Fund-of-Funds
768(2)
8.2 Multi-Strategy Hedge Funds
770(4)
9 Analysis of Hedge Fund Strategies
774(13)
9.1 Conditional Factor Risk Model
775(4)
9.2 Evaluating Equity Hedge Fund Strategies
779(5)
9.3 Evaluating Multi-Manager Hedge Fund Strategies
784(3)
10 Portfolio Contribution of Hedge Fund Strategies
787(6)
10.1 Performance Contribution to a 60/40 Portfolio
787(2)
10.2 Risk Metrics
789(4)
11 Summary
793(3)
References
796(1)
Practice Problems
796(7)
Chapter 15 Overview of Private Wealth Management 803(60)
Learning Outcomes
803(1)
1 Introduction
803(1)
2 Private Clients versus Institutional Clients
804(3)
2.1 Investment Objectives
804(1)
2.2 Constraints
805(1)
2.3 Other Distinctions
806(1)
3 Understanding Private Clients
807(12)
3.1 Information Needed in Advising Private Clients
807(5)
3.2 Client Goals
812(3)
3.3 Private Client Risk Tolerance
815(2)
3.4 Technical and Soft Skills for Wealth Managers
817(2)
4 Investment Planning
819(8)
4.1 Capital Sufficiency Analysis
819(4)
4.2 Retirement Planning
823(4)
5 Investment Policy Statement
827(11)
5.1 Parts of the Investment Policy Statement
827(6)
5.2 Sample Investment Policy Statement for a Private Client
833(5)
6 Portfolio Construction and Monitoring
838(10)
6.1 Portfolio Allocation and Investments for Private Wealth Clients
838(4)
6.2 Portfolio Reporting and Review
842(3)
6.3 Evaluating the Success of an Investment Program
845(3)
7 Ethical and Compliance Considerations in Private Wealth Management
848(2)
7.1 Ethical Considerations
848(1)
7.2 Compliance Considerations
849(1)
8 Private Client Segments
850(3)
8.1 Mass Affluent Segment
851(1)
8.2 High-Net-Worth Segment
851(1)
8.3 Ultra-High-Net-Worth Segment
851(1)
8.4 Robo-Advisors
852(1)
Summary
853(1)
References
854(1)
Practice Problems
855(8)
Chapter 16 Topics in Private Wealth Management 863(86)
Learning Outcomes
863(1)
1 Introduction
864(2)
2 General Principles of taxation
866(12)
2.1 Taxation of the Components of Return
866(3)
2.2 The Tax Status of the Account
869(2)
2.3 The Jurisdiction That Applies to the Investor
871(7)
3 Measuring Tax Efficiency with After-Tax Returns
878(10)
3.1 Tax Efficiency of Various Asset Classes and Investment Strategies
878(1)
3.2 Calculating After-Tax Returns
879(9)
4 Analyzing the Impact of Taxes IN taxable, Tax-Exempt, and Tax-Deferred Accounts
888(8)
4.1 Capital Accumulation in Taxable, Tax-Deferred, and Tax-Exempt Accounts
889(1)
4.2 Asset Location
890(4)
4.3 Decumulation Strategies
894(1)
4.4 Tax Considerations in Charitable Giving
895(1)
5 Tax Management Strategies
896(8)
5.1 Basic Portfolio Tax Management Strategies
897(1)
5.2 Application of Tax Management Strategies
897(7)
6 Managing Concentrated Positions
904(13)
6.1 Risk and Tax Considerations in Managing Concentrated Single-Asset Positions
904(2)
6.2 Strategies for Managing Concentrated Positions in Public Equities
906(7)
6.3 Strategies for Managing Concentrated Positions in Privately Owned Businesses
913(2)
6.4 Strategies for Managing Concentrated Positions in Real Estate
915(2)
7 Directing and transferring wealth
917(23)
7.1 Objectives of Gift and Estate Planning
917(4)
7.2 Gift and Estate Planning Strategies
921(12)
7.3 Managing Wealth across Generations
933(7)
8 Summary
940(3)
References
943(1)
Practice Problems
943(6)
Chapter 17 Portfolio Management for Institutional Investors 949(104)
Learning Outcomes
949(1)
1 Introduction
950(1)
2 Institutional Investors: Common Characteristics
951(4)
2.1 Scale
951(1)
2.2 Long-Term Investment Horizon
952(1)
2.3 Regulatory Frameworks
952(2)
2.4 Governance Framework
954(1)
2.5 Principal-Agent Issues
955(1)
3 Overview of Investment Policy
955(3)
4 Pension Funds
958(22)
4.1 Stakeholders
960(2)
4.2 Liabilities and Investment Horizon
962(4)
4.3 Liquidity Needs
966(2)
4.4 External Constraints Affecting Investment
968(2)
4.5 Risk Considerations of Private Defined Benefit Pension Plans
970(4)
4.6 Investment Objectives
974(2)
4.7 Asset Allocation by Pension Plans
976(4)
5 Sovereign Wealth Funds
980(9)
5.1 Stakeholders
981(1)
5.2 Liabilities and Investment Horizons
982(2)
5.3 Liquidity Needs
984(1)
5.4 External Constraints Affecting Investment
985(1)
5.5 Investment Objectives
986(2)
5.6 Asset Allocation by Sovereign Wealth Funds
988(1)
6 University Endowments and Private Foundations
989(22)
6.1 University Endowments-Stakeholders
991(1)
6.2 University Endowments-Liabilities and Investment Horizon
992(1)
6.3 University Endowments-Liquidity Needs
993(1)
6.4 Private Foundations-Stakeholders
993(1)
6.5 Private Foundations-Liabilities and Investment Horizon
994(2)
6.6 Private Foundations-Liquidity Needs
996(1)
6.7 External Constraints Affecting Investment
997(1)
6.8 Investment Objectives
998(6)
6.9 Asset Allocation
1004(7)
7 Banks and Insurers
1011(31)
7.1 Banks-Stakeholders
1012(1)
7.2 Banks-Liabilities and Investment Horizon
1013(1)
7.3 Banks-Liquidity Needs
1014(1)
7.4 Insurers-Stakeholders
1014(2)
7.5 Insurers-Liabilities and Investment Horizon
1016(1)
7.6 Insurers-Liquidity Needs
1017(1)
7.7 External Constraints Affecting Investment
1018(2)
7.8 Investment Objectives
1020(4)
7.9 Banks and Insurers-Balance Sheet Management and Investment Considerations
1024(18)
Summary
1042(2)
References
1044(1)
Practice Problems
1045(8)
Chapter 18 Trade Strategy and Execution 1053(68)
Learning Outcomes
1053(1)
1 Introduction
1053(1)
2 Motivations to Trade
1054(6)
2.1 Profit Seeking
1054(2)
2.2 Risk Management/Hedging Needs
1056(1)
2.3 Cash Flow Needs
1057(1)
2.4 Corporate Actions/Index Reconstitutions/Margin Calls
1058(2)
3 Trading Strategies and Strategy Selection
1060(14)
3.1 Trade Strategy Inputs
1060(5)
3.2 Reference Prices
1065(3)
3.3 Trade Strategies
1068(6)
4 Trade Execution (Strategy Implementation)
1074(13)
4.1 Trade Implementation Choices
1074(3)
4.2 Algorithmic Trading
1077(6)
4.3 Comparison of Markets
1083(4)
5 Trade Evaluation
1087(15)
5.1 Trade Cost Measurement
1087(8)
5.2 Evaluating Trade Execution
1095(7)
6 Trade Governance
1102(6)
6.1 Meaning of Best Order Execution within the Relevant Regulatory Framework
1103(1)
6.2 Factors Used to Determine the Optimal Order Execution Approach
1103(2)
6.3 List of Eligible Brokers and Execution Venues
1105(1)
6.4 Process Used to Monitor Execution Arrangements
1106(2)
7 Summary
1108(2)
Practice Problems
1110(11)
Chapter 19 Portfolio Performance Evaluation 1121(72)
Learning Outcomes
1121(1)
1 Introduction
1122(1)
2 The Components of Performance Evaluation
1122(2)
3 Performance Attribution
1124(29)
3.1 Approaches to Return Attribution
1127(17)
3.2 Risk Attribution
1144(2)
3.3 Return Attribution Analysis at Multiple Levels
1146(7)
4 Benchmarking Investments and Managers
1153(14)
4.1 Asset-Based Benchmarks
1155(2)
4.2 Properties of a Valid Benchmark
1157(3)
4.3 Evaluating Benchmark Quality: Analysis Based on a Decomposition of Portfolio Holdings and Returns
1160(2)
4.4 Benchmarking Alternative Investments
1162(4)
4.5 Importance of Choosing the Correct Benchmark
1166(1)
5 Performance Appraisal
1167(20)
5.1 Distinguishing Investment Skill from Luck
1167(1)
5.2 Appraisal Measures
1168(15)
5.3 Evaluation of Investment Manager Skill
1183(4)
Summary
1187(1)
References
1188(1)
Practice Problems
1189(4)
Chapter 20 Investment Manager Selection 1193(50)
Learning Outcomes
1193(1)
1 Introduction
1193(1)
2 A Framework for Investment Manager Search and Selection
1194(6)
2.1 Defining the Manager Universe
1196(1)
2.2 Type I and Type II Errors in Manager Selection
1197(3)
3 Quantitative Elements of Manager Search and Selection
1200(7)
3.1 Style Analysis
1200(3)
3.2 Capture Ratios and Drawdowns in Manager Evaluation
1203(4)
4 Qualitative Elements of Manager Due Diligence
1207(19)
4.1 Investment Philosophy
1207(4)
4.2 Investment Personnel
1211(1)
4.3 Investment Decision-Making Process
1211(2)
4.4 Operational Due Diligence
1213(13)
5 Summary
1226(2)
References
1228
Practice Problems
1220 (23)
Glossary 1243(14)
About the Authors 1257(2)
About the CFA Program 1259(2)
Index 1261
CFA Institute is the global association of investment professionals that sets the standard for professional excellence and credentials. The organization is a champion for ethical behavior in investment markets and a respected source of knowledge in the global financial community. The end goal: to create an environment where investors interests come first, markets function at their best, and economies grow. CFA Institute has more than 155,000 members in 165 countries and territories, including 150,000 CFA® charterholders, and 148 member societies. For more information, visit www.cfainstitute.org.
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