Multi-Asset Investing : A Practitioner's Framework.

Intro -- Series -- Title page -- Copyright -- Dedication -- Preface -- About the Authors -- Chapter 1 An Introduction to the Multi-Asset Investment Problem -- 1.1 WHAT IS MULTI-ASSET INVESTING? -- 1.2 THE CONVENTIONAL STRUCTURE -- 1.3 TRANSITIONING FROM ACTIVE MANAGEMENT TO EXPOSURE ALLOCATION -- 1.4 CREATING AN IMPROVED ALLOCATION STRUCTURE -- 1.5 CONSTRUCTING A MULTI-ASSET PORTFOLIO TO MANAGE TAIL RISKS -- 1.6 MULTI-ASSET INVESTING IN EMERGING MARKETS -- 1.7 FROM MULTI-ASSET STRATEGIES TO MULTI-ASSET SOLUTIONS -- 1.8 STRUCTURING A MULTI-ASSET BUSINESS -- Chapter 2 The Traditional Allocation Structure -- 2.1 THE TRADITIONAL INVESTMENT PROCESS -- 2.2 THE ASSET ALLOCATION PROCESS -- 2.3 THE BELIEF IN DIVERSIFICATION -- 2.4 HARNESSING EQUITY RISK PREMIUM AND THE INVESTMENT HORIZON -- 2.5 ASSET CLASSES AS MUTUALLY EXCLUSIVE SILOS -- 2.6 ORGANIZATION STRUCTURE AND RESOURCE ALLOCATION -- 2.7 IMPLICATIONS FOR SKILL REQUIRED IN ASSET ALLOCATION -- 2.8 REQUIREMENTS FOR A REVISED ALLOCATION SOLUTION -- 2.9 PARALLEL DEBATES CREATED IN THE SEARCH FOR A REVISED ALLOCATION SOLUTION -- Chapter 3 Transitioning from Active Management to Exposure Allocation -- 3.1 A HISTORIC RATIONALIZATION OF ALPHA AND BETA -- 3.2 PROGRESSION OF ACTIVE MANAGEMENT -- 3.3 GENERALIZING THE BETA CONCEPT -- 3.4 THE DEMISE OF ASSET CLASS DEMARCATED ALLOCATION -- 3.5 IMPLICATIONS FOR THE ACTIVE INVESTMENT PROCESS -- 3.6 INVESTMENT STRATEGY CATEGORIZATION -- 3.7 POSITIONING OF ALTERNATIVE INVESTMENTS -- 3.8 OBSOLESCENCE OF PORTABLE ALPHA -- 3.9 POSITIONING OF FUNDAMENTAL INDEXATION AND SMART BETA -- 3.10 RISK IN AN EXPOSURE-BASED FRAMEWORK -- 3.11 HORIZON-BASED ORGANIZATIONAL DEMARCATION -- 3.12 TRANSITION FROM AN ASSET-BASED TO AN EXPOSURE-BASED ORGANIZATION -- 3.13 CONCLUSION -- Chapter 4 Redefining Risk Premium for Multi-Asset Allocation Decisions.

4.1 INCUMBENT RISK AND RISK PREMIUM FRAMEWORKS -- 4.2 FRAMEWORK FOR THE CONCURRENT PRESENCE OF ALL ASSET CLASSES -- 4.3 INCORPORATING INTRA-HORIZON RISK -- 4.4 RISK AND RETURN PREMIUM FOR ALLOCATION SILOS -- 4.5 ASSET CLASS PREMIUMS - COMPARISON OF TRADITIONAL AND PROPOSED METHODS -- 4.6 ASSET CLASS PREMIUMS - IMPACT OF DIFFERENT INVESTMENT HORIZONS -- 4.7 ASSET CLASS RISK - COMPARISON OF TRADITIONAL AND PROPOSED METHODS -- 4.8 ASSET CLASS RISK - IMPACT OF DIFFERENT INVESTMENT HORIZONS -- 4.9 SOVEREIGN RISK AND RISK PREMIUM -- 4.10 APPLICATION TO VARIOUS MULTI-ASSET INVESTMENT PROBLEM SCENARIOS -- 4.11 CONCLUSION -- Chapter 5 A Multi-Strategy Allocation Structure -- 5.1 CATEGORIES OF ALLOCATION APPROACHES -- 5.2 A MULTI-STRATEGY FRAMEWORK FOR THE ALLOCATION PROBLEM -- 5.3 THE BENEFITS OF STRATEGY DIVERSIFICATION -- 5.4 INDIVIDUAL ALLOCATION METHODOLOGY REQUIREMENTS -- 5.5 EXAMPLE OF A MULTI-STRATEGY ALLOCATION APPROACH -- 5.6 CONCLUSION -- Chapter 6 A Fundamental Exposure Allocation Approach - Business Cycles -- 6.1 THE PASSIVE ECONOMIC MODEL -- 6.2 AN ACTIVE ECONOMIC APPROACH -- 6.3 A FIVE CYCLE ASSET ALLOCATION APPROACH -- 6.4 CYCLE LIMITING RISK PARAMETERS -- 6.5 SEGREGATING THE CORE AND CYCLICAL COMPONENTS -- 6.6 THE COMPOSITE FIVE CYCLE FRAMEWORK -- Chapter 7 A Systematic Exposure Allocation Process - Active Risk Budgeting -- 7.1 MODELING THE BUSINESS CYCLE -- 7.2 MODELING THE MONETARY CYCLE -- 7.3 RISK ADJUSTMENT FOR EQUITY VALUATION -- 7.4 CREATING AN ADJUSTED RISK BUDGETING ALLOCATION METHODOLOGY -- 7.5 SIMULATED PERFORMANCE RESULTS -- 7.6 CONFIRMING ROBUSTNESS OF ARB ALLOCATION METHODOLOGY -- 7.7 IMPLEMENTATION OF A DRAWDOWN MANAGEMENT PROCESS -- NOTE -- Chapter 8 Estimation of Asset Allocation -- 8.1 THE CONSENSUS ASSET ALLOCATION DATASET -- 8.2 USING CONSENSUS DATA FOR ALLOCATION DECISIONS.

Chapter 9 Optimization for Multi-Asset Portfolios -- 9.1 EVOLUTION OF THE MEAN VARIANCE FRAMEWORK -- 9.2 PORTFOLIO ALLOCATION AND MEASURES OF PERFORMANCE -- 9.3 A UTILITY-BASED APPROACH -- 9.4 THE FUND MANAGER'S OBJECTIVES -- 9.5 THE EFFICIENT FRONTIER -- 9.6 OPTIMAL PORTFOLIO CHOICE -- 9.7 INCORPORATING THE CONSTRAINTS -- 9.8 TAIL RISK CONSTRAINT -- 9.9 EVENT RISK -- 9.10 MACRO RISK -- 9.11 REGIME RISK -- 9.12 CORRELATION RISK -- 9.13 FORMULATION OF THE OPTIMIZATION PROBLEM -- 9.14 THE UNCONSTRAINED ALLOCATION -- 9.15 APPLYING THE CONSTRAINTS -- 9.16 THE PREFERRED PORTFOLIO -- 9.17 CONCLUSIONS -- NOTES -- Chapter 10 Managing Tail Risk in Multi-Asset Portfolios -- 10.1 PORTFOLIO MANAGEMENT - THE PRACTICAL SETTING -- 10.2 ASSET ALLOCATION - THE PRACTICAL SETTING -- 10.3 CREATING A REAL RISK MEASURE: END-OF-HORIZON VS. INTRA-HORIZON RISK -- 10.4 MODEL UNCERTAINTY -- 10.5 STOP-LOSSES -- 10.6 IMPLEMENTING TAIL RISK MANAGEMENT -- 10.7 NOTATION AND VARIABLES -- NOTE -- Chapter 11 Multi-Asset Investing in Emerging Markets -- 11.1 OBSERVATION 1: SUB-OPTIMAL GEOGRAPHIC CATEGORIZATION OF EMERGING MARKETS -- 11.2 OBSERVATION 2: INAPPROPRIATE SECTOR CLASSIFICATION FOR EMERGING MARKETS -- 11.3 OBSERVATION 3: STOCK CONCENTRATION IN EQUITY INDICES -- 11.4 OBSERVATION 4: THE POTENTIAL FOR ACTIVE MANAGEMENT -- 11.5 OBSERVATION 5: PERFORMANCE OF ACTIVE MANAGERS -- 11.6 OBSERVATION 6: OVER-DEPENDENCE ON A SINGLE INVESTMENT DECISION -- 11.7 SUMMARY OF OBSERVATIONS -- 11.8 PITFALLS IN EMERGING MARKET INVESTMENT FRAMEWORKS -- 11.9 AN IMPROVED FRAMEWORK FOR EMERGING MARKET INVESTMENTS -- Chapter 12 The Importance of Asset Allocation in Asian Equities -- 12.1 IMPACT OF BREADTH ON PORTFOLIO EXCESS RETURN -- 12.2 IMPACT OF VARYING CROSS-SECTIONAL DISPERSION ON PORTFOLIO EXCESS RETURN -- 12.3 THE RELATIVE IMPORTANCE OF ASSET ALLOCATION AND STOCK SELECTION.

12.4 COMPARING THE US AND ASIAN EQUITY INVESTMENT UNIVERSE -- 12.5 CONCLUSIONS -- CHAPTER 13 Implementing a Multi-Asset Strategy - Active or Passive -- 13.1 INVESTMENT DETERMINANTS FOR THE ACTIVE-PASSIVE DECISION -- 13.2 ASSET OWNER CONSTRAINTS IMPACTING THE ACTIVE-PASSIVE DECISION -- Chapter 14 An Exposure-Based Risk Diagnostics Framework -- 14.1 SHORTCOMINGS OF A TRADITIONAL RISK ANALYSIS APPROACH -- 14.2 EVALUATING INTENDED AND UNINTENDED RISK -- 14.3 A MULTI-DIMENSIONAL RISK ARCHITECTURE -- Chapter 15 Impact of Manager Compensation on Allocation Decisions -- 15.1 COMPENSATION STRUCTURE -- 15.2 MANAGERIAL CONSTRAINTS -- 15.3 OPTIMAL ACTIVENESS -- 15.4 THE DISTRIBUTION OF PERFORMANCE -- 15.5 THE IMPORTANCE OF SKILL -- 15.6 ACTIVENESS AND AGE -- 15.7 IMPLICATIONS FOR A MULTI-PERIOD SETTING -- 15.8 EXAMPLES OF MANAGERIAL CONTRACTS -- 15.9 CONCLUSIONS -- NOTE -- Chapter 16 From Multi-Asset Strategies to Multi-Asset Solutions -- 16.1 CURRENT PHASE OF INDUSTRY TRANSITION -- 16.3 CHARACTERISTICS OF A MULTI-ASSET SOLUTION PROVIDER -- 16.4 CUSTOMIZATION PARAMETERS FOR AN INVESTMENT SOLUTION -- 16.5 REQUIREMENTS FOR A STANDARDIZED IMPLEMENTATION -- 16.6 THE IMPORTANCE OF ATTRIBUTING PERFORMANCE -- 16.7 CONCLUSIONS -- Chapter 17 Multi-Asset Investing for Private Wealth Assets -- 17.1 THE PRIVATE WEALTH MULTI-ASSET INVESTMENT PROBLEM -- 17.2 BUSINESS MODEL AND ORGANIZATIONAL ISSUES -- 17.3 INCUMBENT INVESTMENT FRAMEWORKS -- 17.4 A MULTI-ASSET PRIVATE WEALTH INVESTMENT PLATFORM -- 17.5 GOALS-BASED ALLOCATION -- 17.6 IMPLICATION FOR THE LONG-ONLY ACTIVE MANAGER -- 17.7 CONCLUSIONS -- Chapter 18 Structuring a Multi-Asset Investing Business -- 18.1 PRODUCT STRUCTURE AND POSITIONING -- 18.3 PRODUCT INVESTMENT SKILLS -- 18.4 TARGET CLIENT SEGMENTATION -- 18.5 WHERE DID EXISTING PRODUCTS FALL SHORT? -- 18.6 CLIENT SEGMENT - EXPECTATIONS AND EVALUATION.

Chapter 19 Competing for Better Institutional Investment Outcomes
Willis Towers Watson Investment Services -- 19.1 MISSION AND BELIEFS - THE FIRST AND MOST CRITICAL STEP -- 19.2 FRAMEWORKS: TRADITIONAL ASSET CLASS VERSUS RISK PREMIUM -- 19.3 LINKING BELIEFS WITH RETURN DRIVERS AND PORTFOLIO CONSTRUCTION DECISIONS -- 19.4 GOVERNANCE CONSIDERATION -- 19.5 CHOOSING AN IMPLEMENTATION ROUTE FOR DELEGATION -- 19.6 MONITORING -- 19.7 CONCLUSIONS -- Bibliography and References -- Index -- EULA.

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Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2024. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.