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Portfolio design-choosing the right mix of assets appropriate to a particular investor-is the key to successful investing. It can help you accumulate wealth over time, while cushioning the blow of possible economic downturns. But in order to successfully achieve this goal, you need to be familiar with all of the major asset classes that go into modern portfolios and learn how much they each add to portfolio diversification.
This book is about the individual assets in a portfolio, and how they perform together in a portfolio. For example, what does real estate or private equity add to a portfolio? And nobody understands this better than author Richard Marston-director of the Private Wealth Management program at Wharton-whose extensive academic and professional asset allocation experience gives him a comprehensive perspective of this dynamic discipline.
Based on sessions Marston developed for the Certified Investment Management AnalystSM (CIMA®) program at Wharton, Portfolio Design is written for financial advisors who want to provide diversified portfolios for their clients-whether the clients are high-net-worth individuals or institutional investors. Rich in information about individual asset classes, including traditional assets like stocks and bonds as well as "alternative investments" such as hedge funds, private equity, real estate, and commodities, this book offers a fresh look at asset allocation, and discusses its importance in today's investment environment. Page by page, this book:
- Outlines methods for estimating long-run returns for a diversified portfolio
- Examines the roles that value, growth, and small-cap stocks play in a portfolio
- Discusses the importance of investing in foreign equities and emerging stock markets
- Explores the modern fixed-income market in detail
- Assesses the effect alternative investments can have on a portfolio
- Details feasible spending rules for foundations as well as individuals facing retirement
Thoughtful asset allocation provides discipline to the investment process and gives you the best chance of building and safeguarding wealth. This book will guide you through the major decisions that need to be made when designing a portfolio and will put you in the best position to balance the risk-reward relationship that is a part of this difficult endeavor.
Portfolio design-choosing the right mix of assets appropriate to a particular investor-is the key to successful investing. It can help you accumulate wealth over time, while cushioning the blow of possible economic downturns. But in order to successfully achieve this goal, you need to be familiar with all of the major asset classes that go into modern portfolios and learn how much they each add to portfolio diversification.
This book is about the individual assets in a portfolio, and how they perform together in a portfolio. For example, what does real estate or private equity add to a portfolio? And nobody understands this better than author Richard Marston-director of the Private Wealth Management program at Wharton-whose extensive academic and professional asset allocation experience gives him a comprehensive perspective of this dynamic discipline.
Based on sessions Marston developed for the Certified Investment Management AnalystSM (CIMA®) program at Wharton, Portfolio Design is written for financial advisors who want to provide diversified portfolios for their clients-whether the clients are high-net-worth individuals or institutional investors. Rich in information about individual asset classes, including traditional assets like stocks and bonds as well as "alternative investments" such as hedge funds, private equity, real estate, and commodities, this book offers a fresh look at asset allocation, and discusses its importance in today's investment environment. Page by page, this book:
- Outlines methods for estimating long-run returns for a diversified portfolio
- Examines the roles that value, growth, and small-cap stocks play in a portfolio
- Discusses the importance of investing in foreign equities and emerging stock markets
- Explores the modern fixed-income market in detail
- Assesses the effect alternative investments can have on a portfolio
- Details feasible spending rules for foundations as well as individuals facing retirement
Thoughtful asset allocation provides discipline to the investment process and gives you the best chance of building and safeguarding wealth. This book will guide you through the major decisions that need to be made when designing a portfolio and will put you in the best position to balance the risk-reward relationship that is a part of this difficult endeavor.
RICHARD C. MARSTON is currently James R.F. Guy Professor of Finance and Director, George Weiss Center for International Financial Research at the Wharton School, University of Pennsylvania. He was a recipient of the Rhodes Scholarship, Fulbright Fellowship, and the Sanwa Bank Prize in International Finance. He has been a research associate for the National Bureau of Economic Research since 1979, a visiting professor at London Business School, ESSEC in Paris, and the Sasin Institute at Chulalongkorn University in Bangkok, and Visiting Scholar at the Bank of Japan. Since 1999, he has been Academic Director of the Private Wealth Management Program at Wharton, a week-long program for ultra-high-net-worth investors, and he is a long-standing faculty member in the Certified Investment Management Analyst program at Wharton, having taught asset allocation to over 5000 financial advisors.
Preface xiii
Acknowledgements xv
About the Author xvii
About the Book xix
Disclaimers xxi
CHAPTER 1 Asset Allocation 1
Ingredients of Asset Allocation 3
Lessons of the Recent Downturn 6
So Are Bonds the Place to Invest? 10
So What Happens When the Economy Turns Up? 13
Some Necessary Tools for Analysis 15
Appendix: Description of the Statistical Tools 16
CHAPTER 2 Long-Run Returns on Stocks and Bonds 21
Stocks and Bonds Since 1951 22
How Much More Attractive Are Stocks than Bonds? 24
Real Returns 25
Reconsidering Bond Returns 27
Reconsidering Stock Returns 30
Alternative Estimates of Long-Run Stock Returns 32
Upper and Lower Bounds for Equity Returns 35
Appendix: Alternative Estimates of Stock Returns 36
CHAPTER 3 Small-Cap Stocks 41
What Do We Mean by Small-Cap Stocks? 43
Relative Performance of Large-Cap and Small-Cap Stocks-Russell Series 45
Relative Performance of Large-Cap and Small-Cap Stocks-SBBI Series 48
Relative Performance of Large-Cap and Small-Cap Stocks-Broader Analysis 50
Large-Cap and Small-Cap Stocks in a Portfolio Context 52
Summary-Key Features of Small-Cap Stocks 55
CHAPTER 4 Value and Growth Investing 57
Description of the Russell 1000 Indexes 57
Relative Performance of Growth and Value Indexes 59
Value and Growth Indexes for Earlier Periods 64
Relative Performance of Small-Cap Growth and Value Stocks 65
Portfolios with Growth and Value 69
Summary-Key Features of Growth and Value Stocks 71
CHAPTER 5 Foreign Stocks 73
Returns on Foreign and U.S. Stocks 75
Currency Capital Gains and Foreign Stock Returns 79
Diversification Benefits of Foreign Stock Investing 85
Are There Shortcuts to Owning Foreign Stocks? 90
Summary-Key Features of Foreign Stocks 93
CHAPTER 6 Emerging Markets 97
What Is An Emerging Market? 98
Emerging Stock Market Indexes 101
Emerging Stock Market Returns 103
Risks of Investing in Emerging Stock Markets 107
Emerging Market Bonds-A Brief History 113
Returns on Emerging Market Bonds 114
Summary-Key Features of Emerging Market Stocks and Bonds 117
CHAPTER 7 Bonds 121
Treasury Bonds 122
The Wider U.S. Bond Market 127
Returns on U.S. Bonds 131
Bond Markets Outside the United States 133
Summary-Key Features of Bonds 140
CHAPTER 8 Strategic Asset Allocation 143
Expanding the Portfolio to Include Other Bonds and Stocks 145
Expanding the Portfolio to Include Foreign Stocks 147
The Dirty Secret of Optimization 150
Alternative Approaches to Optimization 154
Estimating Portfolio Returns-the Premium Method 155
Portfolios in Practice-Example of [...]'s Lazy Portfolios 159
Beyond the Traditional Efficient Frontier 163
CHAPTER 9 Hedge Funds 167
Investment Strategies 169
Hedge Fund Returns 172
Hedge Fund Biases 178
Performance Across Managers 181
Fund of Funds 182
Hedge Funds in a Portfolio 186
Summary-Key Features of Hedge Funds 187
CHAPTER 10 Venture Capital and Private Equity 191
Common Features of Venture Capital and Buyout Funds 192
Venture Capital 195
Returns on Venture Capital 198
Buyout Funds 205
Returns on Buyout Funds 207
Key Features of Private Equity 211
CHAPTER 11 Real Assets-Real Estate 213
Real Estate Investment Trusts 214
Direct Ownership of Real Estate 220
Home Ownership 223
Concluding Remarks 231
CHAPTER 12 Real Assets-Commodities 235
Sources of Return on Commodity Futures 236
Returns on Commodity Futures 239
Performance in a Portfolio 245
Does Gold Belong in the Portfolio? 249
Active Investment in Commodities-Managed Futures 251
Summary-Key Features of Commodity Investments 253
CHAPTER 13 Asset Allocation with Alternative Investments 257
Diversifying into Real Estate-Alternatives for Ordinary Investors 258
Expanding the Menu of Alternative Assets 262
High Net Worth (HNW) Portfolios 264
Ultra HNW Portfolios 266
Lessons about Alternatives from the Yale Endowment 269
Lessons about Alternative Investments Learned in the Financial Crisis 277
Verdict on Alternative Investments 280
CHAPTER 14 Investing and Spending by Foundations 285
Spending Rules 286
Estimating Future Bond and Stock Returns 288
Volatility and Uncertainty 288
Portfolios of Stocks and Bonds 290
Description of the Spending Plan 291
Using Historical Returns Since 1951 to Set Spending Rules 292
Effect of Lower Stock Returns on Spending Rules 294
Effects of Different Stock/Bond Allocations 296
Concluding Comments 299
CHAPTER 15 Investing and Spending in Retirement 303
Longevity 306
Spending Rules for Retirement 308
Portfolios of Stocks and Bonds 309
Baseline Case: Can Two Live More Cheaply Than One? 310
Effects of Bequests and Variable Spending Rules 311
How Can I Turn a Defined Contribution Plan into a Defined Benefit Plan? 313
Concluding Comments-Postpone Retirement? 314
CHAPTER 16 The Discipline of Asset Allocation-Rebalancing 319
Rebalancing Defined 320
Rebalancing When Times Are Good 321
Rebalancing When Times Are Bad 323
References 325
Index 331
| Erscheinungsjahr: | 2011 |
|---|---|
| Fachbereich: | Betriebswirtschaft |
| Genre: | Importe, Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Buch |
| Inhalt: | 368 S. |
| ISBN-13: | 9780470931233 |
| ISBN-10: | 047093123X |
| Sprache: | Englisch |
| Einband: | Gebunden |
| Autor: | Marston, Richard C |
| Hersteller: |
Wiley
John Wiley & Sons |
| Verantwortliche Person für die EU: | Wiley-VCH GmbH, Boschstr. 12, D-69469 Weinheim, product-safety@wiley.com |
| Maße: | 245 x 164 x 33 mm |
| Von/Mit: | Richard C Marston |
| Erscheinungsdatum: | 29.03.2011 |
| Gewicht: | 0,571 kg |
RICHARD C. MARSTON is currently James R.F. Guy Professor of Finance and Director, George Weiss Center for International Financial Research at the Wharton School, University of Pennsylvania. He was a recipient of the Rhodes Scholarship, Fulbright Fellowship, and the Sanwa Bank Prize in International Finance. He has been a research associate for the National Bureau of Economic Research since 1979, a visiting professor at London Business School, ESSEC in Paris, and the Sasin Institute at Chulalongkorn University in Bangkok, and Visiting Scholar at the Bank of Japan. Since 1999, he has been Academic Director of the Private Wealth Management Program at Wharton, a week-long program for ultra-high-net-worth investors, and he is a long-standing faculty member in the Certified Investment Management Analyst program at Wharton, having taught asset allocation to over 5000 financial advisors.
Preface xiii
Acknowledgements xv
About the Author xvii
About the Book xix
Disclaimers xxi
CHAPTER 1 Asset Allocation 1
Ingredients of Asset Allocation 3
Lessons of the Recent Downturn 6
So Are Bonds the Place to Invest? 10
So What Happens When the Economy Turns Up? 13
Some Necessary Tools for Analysis 15
Appendix: Description of the Statistical Tools 16
CHAPTER 2 Long-Run Returns on Stocks and Bonds 21
Stocks and Bonds Since 1951 22
How Much More Attractive Are Stocks than Bonds? 24
Real Returns 25
Reconsidering Bond Returns 27
Reconsidering Stock Returns 30
Alternative Estimates of Long-Run Stock Returns 32
Upper and Lower Bounds for Equity Returns 35
Appendix: Alternative Estimates of Stock Returns 36
CHAPTER 3 Small-Cap Stocks 41
What Do We Mean by Small-Cap Stocks? 43
Relative Performance of Large-Cap and Small-Cap Stocks-Russell Series 45
Relative Performance of Large-Cap and Small-Cap Stocks-SBBI Series 48
Relative Performance of Large-Cap and Small-Cap Stocks-Broader Analysis 50
Large-Cap and Small-Cap Stocks in a Portfolio Context 52
Summary-Key Features of Small-Cap Stocks 55
CHAPTER 4 Value and Growth Investing 57
Description of the Russell 1000 Indexes 57
Relative Performance of Growth and Value Indexes 59
Value and Growth Indexes for Earlier Periods 64
Relative Performance of Small-Cap Growth and Value Stocks 65
Portfolios with Growth and Value 69
Summary-Key Features of Growth and Value Stocks 71
CHAPTER 5 Foreign Stocks 73
Returns on Foreign and U.S. Stocks 75
Currency Capital Gains and Foreign Stock Returns 79
Diversification Benefits of Foreign Stock Investing 85
Are There Shortcuts to Owning Foreign Stocks? 90
Summary-Key Features of Foreign Stocks 93
CHAPTER 6 Emerging Markets 97
What Is An Emerging Market? 98
Emerging Stock Market Indexes 101
Emerging Stock Market Returns 103
Risks of Investing in Emerging Stock Markets 107
Emerging Market Bonds-A Brief History 113
Returns on Emerging Market Bonds 114
Summary-Key Features of Emerging Market Stocks and Bonds 117
CHAPTER 7 Bonds 121
Treasury Bonds 122
The Wider U.S. Bond Market 127
Returns on U.S. Bonds 131
Bond Markets Outside the United States 133
Summary-Key Features of Bonds 140
CHAPTER 8 Strategic Asset Allocation 143
Expanding the Portfolio to Include Other Bonds and Stocks 145
Expanding the Portfolio to Include Foreign Stocks 147
The Dirty Secret of Optimization 150
Alternative Approaches to Optimization 154
Estimating Portfolio Returns-the Premium Method 155
Portfolios in Practice-Example of [...]'s Lazy Portfolios 159
Beyond the Traditional Efficient Frontier 163
CHAPTER 9 Hedge Funds 167
Investment Strategies 169
Hedge Fund Returns 172
Hedge Fund Biases 178
Performance Across Managers 181
Fund of Funds 182
Hedge Funds in a Portfolio 186
Summary-Key Features of Hedge Funds 187
CHAPTER 10 Venture Capital and Private Equity 191
Common Features of Venture Capital and Buyout Funds 192
Venture Capital 195
Returns on Venture Capital 198
Buyout Funds 205
Returns on Buyout Funds 207
Key Features of Private Equity 211
CHAPTER 11 Real Assets-Real Estate 213
Real Estate Investment Trusts 214
Direct Ownership of Real Estate 220
Home Ownership 223
Concluding Remarks 231
CHAPTER 12 Real Assets-Commodities 235
Sources of Return on Commodity Futures 236
Returns on Commodity Futures 239
Performance in a Portfolio 245
Does Gold Belong in the Portfolio? 249
Active Investment in Commodities-Managed Futures 251
Summary-Key Features of Commodity Investments 253
CHAPTER 13 Asset Allocation with Alternative Investments 257
Diversifying into Real Estate-Alternatives for Ordinary Investors 258
Expanding the Menu of Alternative Assets 262
High Net Worth (HNW) Portfolios 264
Ultra HNW Portfolios 266
Lessons about Alternatives from the Yale Endowment 269
Lessons about Alternative Investments Learned in the Financial Crisis 277
Verdict on Alternative Investments 280
CHAPTER 14 Investing and Spending by Foundations 285
Spending Rules 286
Estimating Future Bond and Stock Returns 288
Volatility and Uncertainty 288
Portfolios of Stocks and Bonds 290
Description of the Spending Plan 291
Using Historical Returns Since 1951 to Set Spending Rules 292
Effect of Lower Stock Returns on Spending Rules 294
Effects of Different Stock/Bond Allocations 296
Concluding Comments 299
CHAPTER 15 Investing and Spending in Retirement 303
Longevity 306
Spending Rules for Retirement 308
Portfolios of Stocks and Bonds 309
Baseline Case: Can Two Live More Cheaply Than One? 310
Effects of Bequests and Variable Spending Rules 311
How Can I Turn a Defined Contribution Plan into a Defined Benefit Plan? 313
Concluding Comments-Postpone Retirement? 314
CHAPTER 16 The Discipline of Asset Allocation-Rebalancing 319
Rebalancing Defined 320
Rebalancing When Times Are Good 321
Rebalancing When Times Are Bad 323
References 325
Index 331
| Erscheinungsjahr: | 2011 |
|---|---|
| Fachbereich: | Betriebswirtschaft |
| Genre: | Importe, Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Buch |
| Inhalt: | 368 S. |
| ISBN-13: | 9780470931233 |
| ISBN-10: | 047093123X |
| Sprache: | Englisch |
| Einband: | Gebunden |
| Autor: | Marston, Richard C |
| Hersteller: |
Wiley
John Wiley & Sons |
| Verantwortliche Person für die EU: | Wiley-VCH GmbH, Boschstr. 12, D-69469 Weinheim, product-safety@wiley.com |
| Maße: | 245 x 164 x 33 mm |
| Von/Mit: | Richard C Marston |
| Erscheinungsdatum: | 29.03.2011 |
| Gewicht: | 0,571 kg |
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