MAC投资：多元资产级别投资策略方法

作　者：	Guy Fraser-Sampson
出版社：	暂缺
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标　签：	暂缺

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作者简介

暂缺《MAC投资：多元资产级别投资策略方法》作者简介

内容简介

The book explains that instead of asset allocation being set in an isolated and arbitrary fashion， it is in fact the way in which specific hurdle investment returns can be targeted， and that this approach is already in use in the US （and has been for many years）. It involves extended and detailed financial analysis of various asset class returns and proposes a five-asset class approach for future use. Opening with a study of the historic asset allocation practice of UK pension funds， the book shows how the current approach has led to the present funding crisis. It goes on to compare and contrast the UK approach with that of the US and to propose a new approach to UK asset allocation： the five asset class approach （"MAC Investing”）. The book reviews and analyses different asset classes based on historic returns， examines risk， and concludes with a suggestion of the five asset classes to use; Quoted equities （both Domestic and foreign）， hedge funds， private equity and property. This book also includes bench...

图书目录

Introduction

Acknowledgements

1 Investment Strategy

What is strategy?

What is investment strategy?

Planning to achieve the objective

1 Real and artificial liabilities

2 Mapping the liability cashflows

3 Total funding

4 The escalator factor

5 Putting it together

Conclusions

Summary

2 Multi Asset Class Investing

The asset allocation background

Potential problems in moving to a Multi Asset Class approach

The Yale Model

Higher returns as a goal, not peer group benchmarking

Liquidity

Diversification

Long-term returns

The Yale Model and MAC investing

Bonds

Quoted equities

How much should be allocated to each asset class?

How is the Yale Model currently allocated?

What does one look for in selecting an asset class?

Is there a sufficiently robust benchmark available for the asset class?

Conclusions

Summary

3 Risk

Introduction

The atheist cathedral

Risk and the capital asset pricing model

How ‘risk’ is used in practice

Arithmetical problems with beta

Conceptual problems with beta

Why beta and the CAPM are irrelevant

Summary

4 How to Define Risk

Risk and uncertainty

Risk and diversification in the artificial world

Risk in the real world: uncertainty and materiality

Towards a new definition of risk

Return risk

Capital risk

Summary

5 How to Calculate Risk

Phi calculations

Phi and beta

Compound return-based modelling

The future of risk analysis

Direct comparison of different asset classes

Other types of risk

Summary

6 Quoted Equity

7 Hedge Funds

8 Private Equity

9 Property

10 LDI and Portable Alpha: Rival Strategies?

11 Liquidity

12 Portfolio Performance

Appendix 1: Tables of Performance Figures

Appendix 2: Investment Strategies for DC Schemes and Mature Pension Plans

Index