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Managing Investment Portfolios : A Dynamic Process - John L. Maginn

Managing Investment Portfolios

A Dynamic Process

By: John L. Maginn (Editor), Donald L. Tuttle (Editor), Dennis W. McLeavey (Editor), Jerald E. Pinto (Editor)

Hardcover Published: 26th February 2007
ISBN: 9780470080146
Number Of Pages: 960

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"A rare blend of a well-organized, comprehensive guide to portfolio management and a deep, cutting-edge treatment of the key topics by distinguished authors who have all practiced what they preach. The subtitle, <i>A Dynamic Process</i>, points to the fresh, modern ideas that sparkle throughout this new edition. Just reading Peter Bernstein's thoughtful Foreword can move you forward in your thinking about this critical subject."<br> &#8212;Martin L. Leibowitz, Morgan Stanley <p> "<i>Managing Investment Portfolios</i> remains the definitive volume in explaining investment management as a process, providing organization and structure to a complex, multipart set of concepts and procedures. Anyone involved in the management of portfolios will benefit from a careful reading of this new edition."<br> &#8212;Charles P. Jones, CFA, Edwin Gill Professor of Finance, College of Management, North Carolina State University

Foreword xiii

Preface xvii

Acknowledgments xix

Introduction xxi

CHAPTER 1 The Portfolio Management Process and the Investment Policy Statement 1

1 Introduction 1

2 Investment Management 2

3 The Portfolio Perspective 4

4 Portfolio Management as a Process 4

5 The Portfolio Management Process Logic 5

6 Investment Objectives and Constraints 11

7 The Dynamics of the Process 17

8 The Future of Portfolio Management 18

9 The Ethical Responsibilities of Portfolio Managers 18

CHAPTER 2 Managing Individual Investor Portfolios 20

1 Introduction 20

2 CaseStudy 21

3 Investor Characteristics 24

4 Investment Policy Statement 34

5 An Introduction to Asset Allocation 50

CHAPTER 3 Managing Institutional Investor Portfolios 63

1 Overview 63

2 PensionFunds 64

3 Foundations and Endowments 85

4 The Insurance Industry 101

5 Banks and Other Institutional Investors 120

CHAPTER 4 Capital Market Expectations 128

1 Introduction 128

2 Organizing the Task: Framework and Challenges 129

3 Tools for Formulating Capital Market Expectations 146

4 Economic Analysis 174

CHAPTER 5 Asset Allocation 230

1 Introduction 230

2 What is Asset Allocation? 231

3 Asset Allocation and the Investor?s Risk and Return Objectives 236

4 The Selection of Asset Classes 248

5 The Steps in Asset Allocation 254

6 Optimization 257

7 Implementing the Strategic Asset Allocation 296

8 Strategic Asset Allocation for Individual Investors 299

9 Strategic Asset Allocation for Institutional Investors 307

10 Tactical Asset Allocation 320

CHAPTER 6 Fixed-Income Portfolio Management 328

1 Introduction 328

2 A Framework for Fixed-Income Portfolio Management 329

3 Managing Funds Against a Bond Market Index 331

4 Managing Funds Against Liabilities 346

5 Other Fixed-Income Strategies 369

6 International Bond Investing 390

7 Selecting a Fixed-Income Manager 402

CHAPTER 7 Equity Portfolio Management 407

1 Introduction 407

2 The Role of the Equity Portfolio 408

3 Approaches to Equity Investment 410

4 Passive Equity Investing 412

5 Active Equity Investing 429

6 Semiactive Equity Investing 455

7 Managing a Portfolio of Managers 458

8 Identifying, Selecting, and Contracting with Equity Portfolio Managers 466

9 Structuring Equity Research and Security Selection 474

CHAPTER 8 Alternative Investments Portfolio Management 477

1 Introduction 477

2 Alternative Investments: Definitions, Similarities, and Contrasts 478

3 Real Estate 485

4 Private Equity/Venture Capital 498

5 Commodity Investments 516

6 Hedge Funds 530

7 Managed Futures 557

8 Distressed Securities 568

CHAPTER 9 Risk Management 579

1 Introduction 579

2 Risk Management as a Process 580

3 Risk Governance 583

4 Identifying Risks 585

5 Measuring Risk 596

6 Managing Risk 624

CHAPTER 10 Execution of Portfolio Decisions 637

1 Introduction 637

2 The Context of Trading: Market Microstructure 638

3 The Costs of Trading 653

4 Types of Traders and Their Preferred Order Types 663

5 Trade Execution Decisions and Tactics 666

6 Serving the Client?s Interests 678

7 Concluding Remarks 681

CHAPTER 11 Monitoring And Rebalancing 682

1 Introduction 682

2 Monitoring 683

3 Rebalancing the Portfolio 701

4 Concluding Remarks 716

CHAPTER 12 Evaluating Portfolio Performance 717

1 Introduction 717

2 The Importance of Performance Evaluation 718

3 The Three Components of Performance Evaluation 719

4 Performance Measurement 720

5 Benchmarks 731

6 Performance Attribution 744

7 Performance Appraisal 766

8 The Practice of Performance Evaluation 775

CHAPTER 13 Global Investment Performance Standards 783

1 Introduction 783

2 Background of the GIPS Standards 784

3 Provisions of the GIPS Standards 792

4 Verification 840

5 GIPS Advertising Guidelines 845

6 Other Issues 847

Appendix: GIPS Glossary 856

Glossary 864

References 888

About the CFA Program 903

About the Authors 904

Index 913

ISBN: 9780470080146
ISBN-10: 0470080140
Series: CFA Institute Investment Series
Audience: General
Format: Hardcover
Language: English
Number Of Pages: 960
Published: 26th February 2007
Publisher: John Wiley and Sons Ltd
Country of Publication: GB
Dimensions (cm): 26.16 x 18.54  x 4.88
Weight (kg): 1.78
Edition Number: 1
Edition Type: Revised