The Endowment Model of Investing : Return, Risk, and Diversification

Format:

Book

Author/Creator:

Leibowitz, Martin L., 1936-

Contributor:

Bova, Anthony, 1978-

Hammond, P. Brett.

Series:

Wiley Finance

Wiley Finance ; v.534.

Language:

English

Subjects (All):

Institutional investments.

Portfolio management.

Physical Description:

1 online resource (329 pages)

Edition:

First edition.

Place of Publication:

Somerset : Wiley, 2010.

Summary:

A cutting-edge look at the endowment model of investing. Many larger endowments and foundations have adopted a broadly diversified asset allocation strategy with only a small amount of traditional U.S. equities and bonds. This technique, known as the "endowment model of investing," has demonstrated consistent long-term performance and attracted the attention of numerous institutional and individual investors. With The Endowment Model of Investing Leibowitz, Bova, and Hammond take a closer look at the endowment model with customary research sophistication and attention to detail. Thro.

Contents:

EFFICIENT FRONTIER ANALYSIS

THE ALPHA EFFECT

APPENDIX

CHAPTER 6 - Expanding the Alpha Core

INHERENT CONSTRAINTS ON ALTERNATIVE ASSETS

BUILDING AN ALPHA CORE

MAXIMUM-RETURN ALPHA CORES

THE FLOWER DIAGRAM

EXPANDING THE ALPHA CORE

MOVING BEYOND BETA DOMINATION

DUAL ACTIVE-ALLOCATION ALPHAS

CONCLUSION

CHAPTER 7 - Alpha-Driven Efficient Frontiers

THE EFFICIENT FRONTIER IN ALPHA SPACE

INCREASING THE ALPHA CORE PERCENTAGE

CHAPTER 8 - The Societal Efficient Frontier

STANDARD EFFICIENT FRONTIERS

THE SWING ASSET FRONTIER

THE CONCEPT OF A SOCIETAL FRONTIER

TOTAL BETAS AND THE DIVERSIFICATION PARADOX

DRAGON RISK CONSTRAINTS AND CLIMBING THE ALPHA WALL

A SOCIETAL FRONTIER OF QUANTUM RISK STATES

ACTIVE ALPHAS AND OTHER RISK-AND-RETURN TRADEOFFS

SOCIETAL GAPS AND OPPORTUNITIES

REFERENCES

CHAPTER 9 - Equilibration

BETA DOMINATION AND CONSTRAINED ALTERNATIVES

ALPHA DECAY UNDER BETA DOMINATION

REALIZED RETURNS VERSUS GOING-FORWARD ALPHAS

SHARPE RATIO DECAY

SEQUENTIAL ALPHA EROSION

EQUILIBRATION ACROSS THE SOCIETAL FRONTIER

CHAPTER 10 - Shortfall Risks and Efficient Frontiers

IMPORTANCE OF SHORTFALL RISK IN PORTFOLIOS

EFFICIENT FRONTIERS USING FIXED ALPHA CORES

SHORTFALL PROBABILITIES

SHORTFALL REGIONS IN A RISK-AND-RETURN SPACE

SHORTFALLS RELATIVE TO THE RISK-FREE BASELINE

SHORTFALL PROBABILITIES ALONG THE EFFICIENT FRONTIER

MULTIPLE HORIZON COMPARISONS

CHAPTER 11 - Convergence of Risks

END-OF-PERIOD SHORTFALL PROBABILITIES

WITHIN-PERIOD STOP-LOSS PROBABILITIES

HIGH WATERMARK SHORTFALLS

CHANGING THE THRESHOLDS AND HORIZONS

ACCEPTABLE RISK-AND-RETURN REGIONS

REFERENCES.

STRESS BETAS AT THE ASSET LEVEL

SHORT TERM VULNERABILITY OF DIVERSIFIED PORTFOLIOS

BETA PATHWAYS FOR INDIVIDUAL ASSET CLASSES

CHAPTER 18 - The Endowment Model: Theory and Experience

THEORETICAL BETA-BASED RISKS

HISTORICAL RISK CHARACTERISTICS

ALPHA AND BETA RETURNS

CHAPTER 19 - Diversification Performance: Under Stress (2008) and over the Long ...

A SEMI-DIVERSIFIED PORTFOLIO

VOLATILITIES AND VOLATILITY RATIOS

INDIVIDUAL AND PORTFOLIO CORRELATIONS WITH U.S. EQUITY

HISTORICAL BETAS

BETA-BASED AND ALPHA RETURNS

STRESS BETA THEORY

2008 RESULTS AND STRESS BETAS

PART Four - Asset Allocation and Return Thresholds

CHAPTER 20 - Asset Allocation and Return Thresholds in a Beta World

PERCENTILES IN RETURN AND BETA SPACE

THE PERCENTILE FAN

MINIMUM AND MAXIMUM BETAS FOR RETURN TARGETS

THE CHARACTERISTIC PROBABILITY OF EXCEEDING THE RISK-FREE RATE

MULTIYEAR HORIZONS

BETA REGIMES

SHORTFALL LINES

ALPHA CORES AND STRESS BETAS

CHAPTER 21 - Key Takeaways

About the Authors

Index.

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

Description based on publisher supplied metadata and other sources.

ISBN:

9786612548611

9780470608425

0470608420

9781282548619

1282548611

9781118266533

1118266536

9780470608449

0470608447

OCLC:

927497547