Modern portfolio management : moving beyond modern portfolio theory / Todd E. Petzel.

Format:

• Book

Author/Creator:

• Petzel, Todd E., author.

Language:

English

Subjects (All):

• Portfolio management.
• Portfolio management--Computer programs.

Physical Description:

1 online resource (659 pages)

Place of Publication:

Hoboken, New Jersey : John Wiley & Sons, Inc., [2021]

Summary:

"Investment books typically focus on the deep academic literature from Modern Portfolio Theory (MPT) or are "how to" guides that attempt to paint investing as a much simpler process than it is. Successful textbooks that try to cover all the bases like the Wiley publications of Charles P. Jones and Frank K. Reilly are aimed at students who may become stock analysts, portfolio managers or corporate executives needing a comprehensive coverage of the basics. This book is written by an institutional investor for other investors. The topic is timely because the investment management industry is always evolving to incorporate new models and technology, while sometimes overlooking critical operational steps. The complete investor can evaluate the investment thesis behind any fund or product and incorporate it appropriately into a long-term portfolio. This book provides the tools necessary to do just that."-- Provided by publisher.

Contents:

• Cover
• Title Page
• Copyright Page
• Contents
• Preface
• Chapter 1 Introduction
• Section A The Foundation of a Modern Portfolio
• Chapter 2 Setting Goals and Objectives
• 2.1 Setting the Objectives
• 2.1.1 The High-net-worth Family
• 2.1.2 The Young Family
• 2.1.3 The Endowment or Foundation
• 2.1.4 The Insurance Company or Pension Plan
• 2.2 Sleep-well-at-night Money
• 2.3 Long-term Growth Portfolios
• 2.3.1 The Power of Compounding
• 2.3.2 Incremental Expected Return = Greater Risk
• 2.3.3 Losing 100% Is "Game Over"
• 2.4 Beta and the Power of the Market
• 2.5 Do Alternative Investments Have an Identifiable Beta?
• 2.6 Liquidity of the Portfolio and Access to the Credit Markets
• 2.7 Not-for-profit Organizations and Spending Rules
• 2.7.1 Illiquid Investments
• 2.7.2 Investments Should Not Determine Budgets
• 2.7.3 An Alternative Approach to Spending Policy
• 2.7.4 Spending Rules and the Pandemic
• Chapter 3 The Pillars of Portfolio Theory and Their Limitations
• 3.1 Risk Premiums Across Assets
• 3.2 The "Free Lunch" of Diversification
• 3.3 You Should "Own the Market"
• 3.4 The Efficient Market in its Many Forms: Rational Expectations
• 3.5 The Modigliani-Miller Propositions
• 3.6 Arbitrage Pricing Theory
• 3.7 Behavioral Finance Contributions
• 3.7.1 Loss Aversion
• 3.7.2 The Endowment Effect
• 3.7.3 Anchoring
• 3.7.4 Herding Behavior
• 3.7.5 Behavioral Elements to Portfolio Construction
• Chapter 4 Building a Modern Portfolio in the Real World - Defining Your Strategy
• 4.1 The "Sleep-Well-at-Night" Assets
• 4.1.1 Defining How Much Is Enough
• 4.1.2 How to Preserve Wealth and Perhaps Make a Little Bit
• 4.1.3 The Temptation to Reach for Yield
• 4.2 The Elements of the Growth Portfolio
• 4.2.1 Bonds
• 4.2.2 Stocks
• 4.2.3 Alternative Investments
• 4.2.4 Real Assets.
• 4.2.4.1 The Global Growth Story - Commodity Super Cycles
• 4.2.4.2 Inflation Protection
• 4.2.4.3 The Diversification Story
• 4.2.5 Further Variation Across the Investment Landscape - Currencies, Credit, etc.
• 4.3 The Fundamental Liquidity Question
• 4.4 Establishing Your Strategy Objectives and Portfolio Mix
• 4.4.1 Determining Your Goals for Return and Risk
• 4.4.2 Broad Assumptions About the Risk and Return of Investment Options
• 4.4.3 The Fallacy of Relying on Optimizers
• 4.4.4 The Fallacy of Relying on Simulators
• 4.4.5 Establishing the Target Growth Portfolio
• Section B Building the Modern Portfolio
• Chapter 5 Executing the Plan: The Devil Is in the Details
• 5.1 How Much Diversification is Right?
• 5.1.1 Do You Have Special Information or Skills?
• 5.1.2 Can You "Own the Market?" Do You Want To?
• 5.1.3 Real Diversification Versus Owning a Bunch of Different Names
• 5.1.4 Real Diversification Versus Owning Offsetting (and Expensive) Trades
• 5.2 Active Managers Versus the Index
• 5.2.1 What Is the Source of Alpha, and Can You Identify Its Presence?
• 5.2.2 Beta and the Reality of Costs
• 5.2.3 Bucketing Strategies and Managers into Narrow Categories: What Is Achieved, and at What Cost?
• 5.2.4 Passive Investing Is Great If You Want to Own the Index at That Point
• 5.2.5 The Case of Smart Beta
• 5.2.6 Active Managers Can Avoid Major Pitfalls If They Are Not Benchmark Constrained
• 5.3 Luck Versus Skill
• 5.3.1 Evaluating Managers
• 5.3.2 Classic Performance Measures and Their Limitations
• 5.3.2.1 Compound Returns
• 5.3.2.2 Standard Deviation
• 5.3.2.3 Beta
• 5.3.2.4 Correlation
• 5.3.2.5 Autocorrelation
• 5.3.2.6 Sharpe Ratio
• 5.3.2.7 Information Ratio
• 5.3.2.8 Sortino Ratio
• 5.3.2.9 Omega Ratio
• 5.3.2.10 Final Comments
• 5.3.3 IRR Calculations and Multiples of Capital Returned.
• 5.3.4 Peer Rankings of Managers
• 5.3.5 Shaping Your Own Expectations for Managers and Their Role in the Portfolio
• 5.4 Portfolio Construction and Market Trading Realities
• 5.5 Manager Due Diligence and Selection
• 5.5.1 Understanding the Investment Thesis
• 5.5.2 Determining the Sources of Returns and Risks
• 5.5.3 Alpha versus Beta: Factor Decomposition
• 5.5.4 Do the Returns Justify the Risk?
• 5.5.5 Getting to Know the Team
• 5.5.6 The Business Model of the Fund
• 5.5.7 Reporting and Client Communications
• 5.5.8 Operational Due Diligence
• 5.5.8.1 Trading and Trade Allocation
• 5.5.8.2 Brokerage Relationships and Soft Dollars
• 5.5.8.3 ISDA Relationships and OTC Derivatives
• 5.5.8.4 Custody and Administration
• 5.5.8.5 Cash Movement
• 5.5.8.6 Pricing of Securities and the Calculation of the NAV
• 5.5.8.7 Audits of the Firm and Fund
• 5.5.8.8 Legal and Regulatory Due Diligence
• 5.5.8.9 Anti-Money Laundering
• 5.5.8.10 Internal Compliance
• 5.5.8.11 Technology
• 5.5.8.12 Cybersecurity
• 5.5.8.13 Disaster Recovery
• 5.5.9 Background Checks: Public and Private Sources
• 5.5.10 Confidence and Trust
• 5.6 Ongoing Manager Evaluation
• 5.6.1 Evaluating Returns in Real Time: Positive and Negative "Outliers"
• 5.6.2 How is the Manager Doing?
• 5.6.3 Deal Breakers: Time to Terminate
• 5.6.3.1 Is the Process Broken?
• 5.6.3.2 Has the Risk Profile Changed?
• 5.6.3.3 Changes in the Team
• 5.6.3.4 Changes in the Relationships with Clients
• 5.6.3.5 Legal and Regulatory Issues
• 5.7 Fraud
• 5.8 funds of funds
• 5.8.1 Advantages of Funds of Funds
• 5.8.2 Disadvantages of Funds of Funds
• 5.9 Rebalancing
• 5.10 Investment advisors: Getting Help When You Need it
• 5.10.1 Types of Investment Advisors
• 5.10.1.1 Brokerage/Product-driven advisors
• 5.10.1.2 Institutional Consultants.
• 5.10.1.3 The Special Case of the Outsourced CIO
• 5.10.1.4 Independent, Custom Advisors
• 5.10.1.5 Robo-advisors
• 5.10.2 The Question of Discretion
• 5.10.3 Choosing the Best Approach
• Chapter 6 Tactics for Enhancing Returns
• 6.1 Market Timing
• 6.2 Volatility: the Overlooked Dimension
• 6.2.1 Covered Calls
• 6.2.2 Fully Collateralized Short Puts
• 6.3 TAX-LOSS Harvesting Strategies
• 6.4 More Challenged Strategies for Enhancing Returns
• 6.4.1 Extending Durations in Low-Interest-Rate Environments
• 6.4.2 Lowering Credit Quality
• 6.4.3 "Insured" Portfolios
• 6.4.4 Portable Alpha
• 6.4.5 Leveraging Small Alphas to Reach Acceptable Returns
• 6.4.6 Writing Uncovered Options to Sell Time
• 6.4.7 Buying Out-of-the-Money Options to Capture Tail Events
• Chapter 7 Black Swan Portfolios
• 7.1 Tail Risk in the Overall Portfolio
• 7.2 Protective Equity Puts
• 7.3 Credit Default Swaps (CDS)
• 7.4 Other Macro Tail Risk Bets
• 7.5 What is Insurance Worth to You?
• Chapter 8 Market Bubbles and Crashes
• 8.1 Irrationality is not Necessary to Create a Bubble, but it Helps
• 8.2 Market Bubbles, Collective Risk, and Systemic Risk
• 8.3 Markets: Allocators of Capital or Social REENGINEERING?
• Section C The Building Blocks for a Modern Portfolio
• Chapter 9 Traditional Portfolio Investments
• 9.1 Cash
• 9.2 Fixed Income
• 9.2.1 Varieties of Fixed Income Instruments
• 9.2.2 Duration and Credit Risk: Bond Pricing, Convexity, and Spreads
• 9.2.3 Sovereign Debt
• 9.2.4 Agency Bonds
• 9.2.5 Municipal Bonds
• 9.2.6 Corporate Bonds
• 9.2.7 Bank Loans
• 9.2.8 Mortgages
• 9.2.9 Direct Loans
• 9.2.10 Cat Bonds
• 9.2.10 Mutual Funds
• 9.2.11 ETFs and ETNs
• 9.3 Credit
• 9.4 The Curious Case of Negative Interest Rates
• 9.5 Currencies
• 9.6 Equities
• 9.6.1 Common Stock
• 9.6.2 Preferred Stock
• 9.6.3 Convertible Bonds.
• 9.6.4 Accessing the Equity Markets
• 9.6.4.1 Mutual Funds
• 9.6.4.2 ETFs and ETNs
• 9.6.4.3 Completion Funds
• 9.7 Hedge Funds
• 9.7.1 Long/Short Equity Hedge Funds
• 9.7.2 130/30 Hedge Funds
• 9.7.3 Convertible Bond Arbitrage and Other Relative Value Hedge Funds
• 9.7.4 Event-oriented Hedge Funds
• 9.7.5 Credit Hedge Funds
• 9.7.6 Macro Hedge Funds
• 9.7.7 Multistrategy Hedge Funds
• 9.7.8 Commodity Trading Advisors
• 9.7.9 Quantitative Strategies
• 9.7.10 Insurance and Litigation Funds
• 9.7.11 Risk Parity Funds
• 9.7.12 Replication Funds
• 9.7.13 Volatility Funds
• 9.7.14 Hedge Mutual Funds and Liquid Alternatives
• 9.8 Private Equity Partnerships
• 9.8.1 Venture Capital
• 9.8.2 Growth Equity
• 9.8.3 Buy-out Funds
• 9.8.4 Credit-Oriented Private Funds
• 9.8.5 Secondary Funds
• 9.8.6 Co-Investments
• 9.9 Real Estate
• 9.9.1 Direct Ownership of Real Estate
• 9.9.2 Real Estate Partnerships
• 9.9.3 Liquid Real Estate
• REITs, Mutual Funds, and ETFs
• 9.10 Other Real Assets and Commodities
• 9.10.1 Direct Ownership of Commodities
• 9.10.2 Equity Ownership in Commodities-Based Businesses
• 9.10.3 Synthetic Ownership of Commodities: Commodity Index Products
• 9.10.4 Esoteric Real Assets: Shipping, Power, Water Rights
• 9.11 Collectibles
• 9.12 The Question of Currencies in a Global Portfolio Perspective Once Again
• 9.13 Cryptocurrencies
• 9.14 Special Purpose Acquisition Companies (SPACs)
• Chapter 10 Derivatives
• 10.1 Futures Contracts
• 10.1.1 Original and Variation Margins
• 10.1.2 The Price Basis
• 10.1.3 The Dealer Community
• 10.2 Exchange-traded Options
• 10.2.1 Call Basics
• 10.2.2 Simple Call Strategies
• 10.2.2.1 Long at-the-Money Calls
• 10.2.2.2 Long out-of-the-Money Calls
• 10.2.2.3 Simple Short Calls
• 10.2.2.4 Simple Call Spreads
• 10.2.2.5 Call Calendar Spreads
• 10.2.3 Basics of Puts.
• 10.2.3.1 Put Spreads.

Notes:

Description based on print version record.

ISBN:

• 9781119818199
• 1119818192
• 9781119818205
• 1119818206

OCLC:

1272996504