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Managing Investment portfolios.pdf

Managing Investment portfolios.…

上传者: nwguru 2012-12-16 评分 0 0 0 0 0 0 暂无简介 简介 举报

简介:本文档为《Managing Investment portfoliospdf》,可适用于经济金融领域,主题内容包含MANAGINGINVESTMENTPORTFOLIOSADYNAMICPROCESSThirdEditionJohnLMaginn,CFADona符等。

MANAGINGINVESTMENTPORTFOLIOSADYNAMICPROCESSThirdEditionJohnLMaginn,CFADonaldLTuttle,CFADennisWMcLeavey,CFAJeraldEPinto,CFAJohnWileySons,IncFileAttachmentCjpgMANAGINGINVESTMENTPORTFOLIOSADYNAMICPROCESSCFAInstituteisthepremierassociationforinvestmentprofessionalsaroundtheworld,withover,membersincountriesSincetheorganizationhasdevelopedandadministeredtherenownedCharteredFinancialAnalystProgramWitharichhistoryofleadingtheinvestmentprofession,CFAInstitutehassetthehigheststandardsinethics,education,andprofessionalexcellencewithintheglobalinvestmentcommunity,andistheforemostauthorityoninvestmentprofessionconductandpracticeEachbookintheCFAInstituteInvestmentSeriesisgearedtowardindustrypractitionersalongwithgraduatelevelfinancestudentsandcoversthemostimportanttopicsintheindustryTheauthorsofthesecuttingedgebooksarethemselvesindustryprofessionalsandacademicsandbringtheirwealthofknowledgeandexpertisetothisseriesMANAGINGINVESTMENTPORTFOLIOSADYNAMICPROCESSThirdEditionJohnLMaginn,CFADonaldLTuttle,CFADennisWMcLeavey,CFAJeraldEPinto,CFAJohnWileySons,IncCopyrightcbyCFAInstituteAllrightsreservedPublishedbyJohnWileySons,Inc,Hoboken,NewJerseyPublishedsimultaneouslyinCanadaNopartofthispublicationmaybereproduced,storedinaretrievalsystem,ortransmittedinanyformorbyanymeans,electronic,mechanical,photocopying,recording,scanning,orotherwise,exceptaspermittedunderSectionoroftheUnitedStatesCopyrightAct,withouteitherthepriorwrittenpermissionofthePublisher,orauthorizationthroughpaymentoftheappropriatepercopyfeetotheCopyrightClearanceCenter,Inc,RosewoodDrive,Danvers,MA,(),fax(),orontheWebatwwwcopyrightcomRequeststothePublisherforpermissionshouldbeaddressedtothePermissionsDepartment,JohnWileySons,Inc,RiverStreet,Hoboken,NJ,(),fax(),oronlineathttp:wwwwileycomgopermissionsLimitofLiabilityDisclaimerofWarranty:Whilethepublisherandauthorshaveusedtheirbesteffortsinpreparingthisbook,theymakenorepresentationsorwarrantieswithrespecttotheaccuracyorcompletenessofthecontentsofthisbookandspecificallydisclaimanyimpliedwarrantiesofmerchantabilityorfitnessforaparticularpurposeNowarrantymaybecreatedorextendedbysalesrepresentativesorwrittensalesmaterialsTheadviceandstrategiescontainedhereinmaynotbesuitableforyoursituationYoushouldconsultwithaprofessionalwhereappropriateNeitherthepublishernorauthorsshallbeliableforanylossofprofitoranyothercommercialdamages,includingbutnotlimitedtospecial,incidental,consequential,orotherdamagesForgeneralinformationonourotherproductsandservicesorfortechnicalsupport,pleasecontactourCustomerCareDepartmentwithintheUnitedStatesat(),outsidetheUnitedStatesat()orfax()WileyalsopublishesitsbooksinavarietyofelectronicformatsSomecontentthatappearsinprintmaynotbeavailableinelectronicformatsFormoreinformationaboutWileyproducts,visitourWebsiteatwwwwileycomLibraryofCongressCataloginginPublicationData:Managinginvestmentportfolios:adynamicprocessJohnLMaginnetalrdedpcm(CFAInstituteinvestmentseries)ISBN:(cloth)ISBN:(cloth)PortfoliomanagementIMaginn,JohnL,HGMdcPrintedintheUnitedStatesofAmericaCONTENTSForewordxiiiPrefacexviiAcknowledgmentsxixIntroductionxxiCHAPTERThePortfolioManagementProcessandtheInvestmentPolicyStatementIntroductionInvestmentManagementThePortfolioPerspectivePortfolioManagementasaProcessThePortfolioManagementProcessLogicThePlanningStepTheExecutionStepTheFeedbackStepADefinitionofPortfolioManagementInvestmentObjectivesandConstraintsObjectivesConstraintsTheDynamicsoftheProcessTheFutureofPortfolioManagementTheEthicalResponsibilitiesofPortfolioManagersCHAPTERManagingIndividualInvestorPortfoliosIntroductionCaseStudyTheIngerFamilyIngerFamilyDataJourdan’sFindingsandPersonalObservationsvviContentsInvestorCharacteristicsSituationalProfilingPsychologicalProfilingInvestmentPolicyStatementSettingReturnandRiskObjectivesConstraintsAnIntroductiontoAssetAllocationAssetAllocationConceptsMonteCarloSimulationinPersonalRetirementPlanningCHAPTERManagingInstitutionalInvestorPortfoliosOverviewPensionFundsDefinedBenefitPlans:BackgroundandInvestmentSettingDefinedContributionPlans:BackgroundandInvestmentSettingHybridandOtherPlansFoundationsandEndowmentsFoundations:BackgroundandInvestmentSettingEndowments:BackgroundandInvestmentSettingTheInsuranceIndustryLifeInsuranceCompanies:BackgroundandInvestmentSettingNon–LifeInsuranceCompanies:BackgroundandInvestmentSettingBanksandOtherInstitutionalInvestorsBanks:BackgroundandInvestmentSettingOtherInstitutionalInvestors:InvestmentIntermediariesCHAPTERCapitalMarketExpectationsIntroductionOrganizingtheTask:FrameworkandChallengesAFrameworkforDevelopingCapitalMarketExpectationsChallengesinForecastingToolsforFormulatingCapitalMarketExpectationsFormalToolsSurveyandPanelMethodsJudgmentEconomicAnalysisBusinessCycleAnalysisEconomicGrowthTrendsExogenousShocksInternationalInteractionsEconomicForecastingUsingEconomicInformationinForecastingAssetClassReturnsInformationSourcesforEconomicDataandForecastsContentsviiCHAPTERAssetAllocationIntroductionWhatisAssetAllocationTheRoleofStrategicAssetAllocationinRelationtoSystematicRiskStrategicversusTacticalAssetAllocationTheEmpiricalDebateontheImportanceofAssetAllocationAssetAllocationandtheInvestor’sRiskandReturnObjectivesAssetOnlyandAssetLiabilityManagementApproachestoStrategicAssetAllocationReturnObjectivesandStrategicAssetAllocationRiskObjectivesandStrategicAssetAllocationBehavioralInfluencesonAssetAllocationTheSelectionofAssetClassesCriteriaforSpecifyingAssetClassesTheInclusionofInternationalAssets(DevelopedandEmergingMarkets)AlternativeInvestmentsTheStepsinAssetAllocationOptimizationTheMean–VarianceApproachTheResampledEfficientFrontierTheBlack–LittermanApproachMonteCarloSimulationAssetLiabilityManagementExperienceBasedApproachesImplementingtheStrategicAssetAllocationImplementationChoicesCurrencyRiskManagementDecisionsRebalancingtotheStrategicAssetAllocationStrategicAssetAllocationforIndividualInvestorsHumanCapitalOtherConsiderationsinAssetAllocationforIndividualInvestorsStrategicAssetAllocationforInstitutionalInvestorsDefinedBenefitPlansFoundationsandEndowmentsInsuranceCompaniesBanksTacticalAssetAllocationCHAPTERFixedIncomePortfolioManagementIntroductionAFrameworkforFixedIncomePortfolioManagementManagingFundsAgainstaBondMarketIndexClassificationofStrategiesIndexing(PureandEnhanced)ActiveStrategiesviiiContentsMonitoringAdjustingthePortfolioandPerformanceEvaluationManagingFundsAgainstLiabilitiesDedicationStrategiesCashFlowMatchingStrategiesOtherFixedIncomeStrategiesCombinationStrategiesLeverageDerivativesEnabledStrategiesInternationalBondInvestingActiveversusPassiveManagementCurrencyRiskBreakevenSpreadAnalysisEmergingMarketDebtSelectingaFixedIncomeManagerHistoricalPerformanceasaPredictorofFuturePerformanceDevelopingCriteriafortheSelectionComparisonwithSelectionofEquityManagersCHAPTEREquityPortfolioManagementIntroductionTheRoleoftheEquityPortfolioApproachestoEquityInvestmentPassiveEquityInvestingEquityIndicesPassiveInvestmentVehiclesActiveEquityInvestingEquityStylesSociallyResponsibleInvestingLong–ShortInvestingSellDisciplinesTradingSemiactiveEquityInvestingManagingaPortfolioofManagersCoreSatelliteCompletenessFundOtherApproaches:AlphaandBetaSeparationIdentifying,Selecting,andContractingwithEquityPortfolioManagersDevelopingaUniverseofSuitableManagerCandidatesThePredictivePowerofPastPerformanceFeeStructuresTheEquityManagerQuestionnaireStructuringEquityResearchandSecuritySelectionTopDownversusBottomUpApproachesBuySideversusSellSideResearchIndustryClassificationContentsixCHAPTERAlternativeInvestmentsPortfolioManagementIntroductionAlternativeInvestments:Definitions,Similarities,andContrastsRealEstateTheRealEstateMarketBenchmarksandHistoricalPerformanceRealEstate:InvestmentCharacteristicsandRolesPrivateEquityVentureCapitalThePrivateEquityMarketBenchmarksandHistoricalPerformancePrivateEquity:InvestmentCharacteristicsandRolesCommodityInvestmentsTheCommodityMarketBenchmarksandHistoricalPerformanceCommodities:InvestmentCharacteristicsandRolesHedgeFundsTheHedgeFundMarketBenchmarksandHistoricalPerformanceHedgeFunds:InvestmentCharacteristicsandRolesPerformanceEvaluationConcernsManagedFuturesTheManagedFuturesMarketBenchmarksandHistoricalPerformanceManagedFutures:InvestmentCharacteristicsandRolesDistressedSecuritiesTheDistressedSecuritiesMarketBenchmarksandHistoricalPerformanceDistressedSecurities:InvestmentCharacteristicsandRolesCHAPTERRiskManagementIntroductionRiskManagementasaProcessRiskGovernanceIdentifyingRisksMarketRiskCreditRiskLiquidityRiskOperationalRiskModelRiskSettlement(Herstatt)RiskRegulatoryRiskLegalContractRiskTaxRiskAccountingRiskSovereignandPoliticalRisksxContentsOtherRisksMeasuringRiskMeasuringMarketRiskValueatRiskTheAdvantagesandLimitationsofVaRExtensionsandSupplementstoVaRStressTestingMeasuringCreditRiskLiquidityRiskMeasuringNonfinancialRisksManagingRiskManagingMarketRiskManagingCreditRiskPerformanceEvaluationCapitalAllocationPsychologicalandBehavioralConsiderationsCHAPTERExecutionofPortfolioDecisionsIntroductionTheContextofTrading:MarketMicrostructureOrderTypesTypesofMarketsTheRolesofBrokersandDealersEvaluatingMarketQualityTheCostsofTradingTransactionCostComponentsPretradeAnalysis:EconometricModelsforCostsTypesofTradersandTheirPreferredOrderTypesTheTypesofTradersTraders’SelectionofOrderTypesTradeExecutionDecisionsandTacticsDecisionsRelatedtotheHandlingofaTradeObjectivesinTradingandTradingTacticsAutomatedTradingServingtheClient’sInterestsCFAInstituteTradeManagementGuidelinesTheImportanceofanEthicalFocusConcludingRemarksCHAPTERMonitoringAndRebalancingIntroductionMonitoringMonitoringChangesinInvestorCircumstancesandConstraintsMonitoringMarketandEconomicChangesContentsxiMonitoringthePortfolioRebalancingthePortfolioTheBenefitsandCostsofRebalancingRebalancingDisciplinesThePerold–SharpeAnalysisofRebalancingStrategiesExecutionChoicesinRebalancingConcludingRemarksCHAPTEREvaluatingPortfolioPerformanceIntroductionTheImportanceofPerformanceEvaluationTheFundSponsor’sPerspectiveTheInvestmentManager’sPerspectiveTheThreeComponentsofPerformanceEvaluationPerformanceMeasurementPerformanceMeasurementwithoutIntraperiodExternalCashFlowsTotalRateofReturnTheTimeWeightedRateofReturnTheMoneyWeightedRateofReturnTWRversusMWRTheLinkedInternalRateofReturnAnnualizedReturnDataQualityIssuesBenchmarksConceptofaBenchmarkPropertiesofaValidBenchmarkTypesofBenchmarksBuildingCustomSecurityBasedBenchmarksCritiqueofManagerUniversesasBenchmarksTestsofBenchmarkQualityHedgeFundsandHedgeFundBenchmarksPerformanceAttributionImpactEqualsWeightTimesReturnMacroAttributionOverviewMacroAttributionInputsConductingaMacroAttributionAnalysisMicroAttributionOverviewSectorWeightingStockSelectionMicroAttributionFundamentalFactorModelMicroAttributionFixedIncomeAttributionPerformanceAppraisalRiskAdjustedPerformanceAppraisalMeasuresQualityControlChartsInterpretingtheQualityControlChartThePracticeofPerformanceEvaluationNoisinessofPerformanceDataxiiContentsManagerContinuationPolicyManagerContinuationPolicyasaFilterCHAPTERGlobalInvestmentPerformanceStandardsIntroductionBackgroundoftheGIPSStandardsTheNeedforGlobalInvestmentPerformanceStandardsTheDevelopmentofPerformancePresentationStandardsGovernanceoftheGIPSStandardsOverviewoftheGIPSStandardsProvisionsoftheGIPSStandardsFundamentalsofComplianceInputDataCalculationMethodology:TimeWeightedTotalReturnReturnCalculations:ExternalCashFlowsAdditionalPortfolioReturnCalculationStandardsCompositeReturnCalculationStandardsConstructingCompositesIDefiningDiscretionConstructingCompositesIIDefiningInvestmentStrategiesConstructingCompositesIIIIncludingandExcludingPortfoliosConstructingCompositesIVCarveOutSegmentsDisclosureStandardsPresentationandReportingRequirementsPresentationandReportingRecommendationsIntroductiontotheRealEstateandPrivateEquityProvisionsRealEstateStandardsPrivateEquityStandardsVerificationGIPSAdvertisingGuidelinesOtherIssuesAfterTaxReturnCalculationMethodologyKeepingCurrentwiththeGIPSStandardsAppendix:GIPSGlossaryGlossaryReferencesAbouttheCFAProgramAbouttheAuthorsIndexFOREWORD:NICEPORTFOLIOSANDTHEUNKNOWNFUTUREPeterLBernsteinIn,myfatherformedasmallinvestmentmanagementfirmbasedonhisunshakeableconvictionthatthestockmarkethadtouchedahistoricbottomandgreatprofitableopportunitieswerethereforthepickingWhenfriendswouldaskhimhowthebusinesswasgoing,healwaysreplied,‘‘Wehavesomeniceportfoliosoverthere’’Iwasayoungboyatthetime,andthisrepeatedreferenceto‘‘niceportfolios’’ledmetobelievemyfatherwasinthebusinessofsellingbriefcasesandthatkindofthingWhatthathadtodowiththestockmarketwasbeyondmeYearslater,Iwenttoworkatmyfather’sfirmduringonesummervacationfromcollegeThenIbegantoappreciatewhathewastalkingaboutwhenhekeptreferringtoportfoliosIhavebeenimpressedeversincewithmyfather’suseofthewordportfolioasearlyasandhisemphasisontheportfoliointheinvestmentprocessatthisfirmMostinvestorsofthattimeandformanyyearstofollowlookedateachequityholdingandeachbondwithoutmuchregardtotheinterrelationshipstootherholdingsortotheoverwhelmingimportanceofthewholerelativetothepartsItwasnotuntil,inHarryMarkowitz’simmortalpagearticle,‘‘PortfolioSelection,’’thatthefullmeaningandsignificanceoftheportfoliowasarticulatedforthefirsttimeAndfewpeopletooknoticeofwhatMarkowitzhadtosayformanyyearstocomeEvenMiltonFriedman,atMarkowitz’soralexamsforhisPhDdegreeatChicago,brushedoffthisworkasneithereconomicsnormathematics,withoutinanywayacknowledgingtheprofoundandfarreachingsignificanceofMarkowitz’sachievement‘‘PortfolioSelection’’demonstratedthattheriskinessofaportfoliodependsonthecovarianceofitsholdings,notontheaverageriskinessoftheseparateinvestmentsThisrevelationwasathunderclapNoonehadeversaidthatbefore,eventhosefewwhopaidsomeattentiontodiversificationInvestorshadalwaysboughtandsoldsecuritiesasindividualitemsorperhapsgroupedintoseparatebucketsFormany,diversificationwassomethingforsissies,becausediversificationisanexplicitstatementthatwedonotknowwhatthefutureholdsInxiiixivForewordtime,however,Markowitz’semphasisontheportfoliowouldrevolutionizethewholeapproachtotheinvestmentprocess,fromsecurityselectionallthewaytooverallassetallocationIndeed,MarkowitzwassettingforthanevenbiggervisionBeforeMarkowitz,everyworkoninvesting,eventhemostserioussuchasBenjaminGraham’sSecurityAnalysis,focusedonpredictingreturns,withriskasasecondarymatterMarkowitzsetriskattheheartoftheinvestmentprocessandemphasizedthenotionoftheportfolioastheprimarytoolformaximizingthetradeoffbetweenriskandreturnNowonderBillSharpewouldexclaim,manyyearslater,‘‘Markowitzcamealong,andtherewaslight!’’Burton,Jonathan,‘‘Interview,’’DowJonesAssetManager,MayJuneIhavetoldthestoryabovebecauseitprovidessignificanceandmeaningtothetitleofthisbook,ManagingInvestmentPortfolios,whichisthethirdinaserieswiththistitledatingallthewaybacktoThereareazillionbookswhosetitlesays,moreorless,HowtoManageYourInvestments,butsuchworksarevaluelessTheymisstheentirepoint,encapsulatedinthatbriefcasekindofvisionIinheritedfro

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