{"product_id":"multiasset-investing-9781119241522","title":"MultiAsset Investing","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003e\u003cp\u003eDespite the accepted fact that a substantial part of the risk and return of any portfolio comes from asset allocation, we find today that the majority of investment professionals worldwide are focused on security selection. \u003ci\u003eMulti-Asset Investing: A Practitioner's Framework\u003c\/i\u003e questions this basic structure of the investment process and investment industry.\u003c\/p\u003e \u003cul\u003e \u003cli\u003eWho says we have to separate alpha and beta?\u003c\/li\u003e \u003cli\u003eAre the traditional definitions for risk and risk premium relevant in a multi-asset class world?\u003c\/li\u003e \u003cli\u003eDo portfolios cater for the real risks' in their investment processes?\u003c\/li\u003e \u003cli\u003eDoes the whole Emerging Markets demarcation make sense for investing?\u003c\/li\u003e \u003cli\u003eWhy do active Asian managers perform much poorer compared to developed market managers?\u003c\/li\u003e \u003cli\u003eCan you distinguish how much of a strategy's performance comes from skill rather than luck?\u003c\/li\u003e \u003cli\u003eDoes having a performance fee for your manager create alignment or misalignment?\u003c\/li\u003e \u003cli\u003eWhy is the ass\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003cp\u003ePreface xiii\u003c\/p\u003e \u003cp\u003eAbout the Authors xv\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1. An Introduction to the Multi-Asset Investment Problem 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 What is Multi-Asset Investing? 2\u003c\/p\u003e \u003cp\u003e1.2 The Conventional Structure 4\u003c\/p\u003e \u003cp\u003e1.3 Transitioning from Active Management to Exposure Allocation 4\u003c\/p\u003e \u003cp\u003e1.4 Creating an Improved Allocation Structure 5\u003c\/p\u003e \u003cp\u003e1.5 Constructing a Multi-Asset Portfolio to Manage Tail Risks 6\u003c\/p\u003e \u003cp\u003e1.6 Multi-Asset Investing in Emerging Markets 6\u003c\/p\u003e \u003cp\u003e1.7 From Multi-Asset Strategies to Multi-Asset Solutions 7\u003c\/p\u003e \u003cp\u003e1.8 Structuring a Multi-Asset Business 7\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2. The Traditional Allocation Structure 9\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 The Traditional Investment Process 10\u003c\/p\u003e \u003cp\u003e2.2 The Asset Allocation Process 12\u003c\/p\u003e \u003cp\u003e2.3 The Belief in Diversification 13\u003c\/p\u003e \u003cp\u003e2.4 Harnessing Equity Risk Premium and the Investment Horizon 19\u003c\/p\u003e \u003cp\u003e2.5 Asset Classes as Mutually Exclusive Silos 20\u003c\/p\u003e \u003cp\u003e2.6 Organization Structure and Resource Allocation 20\u003c\/p\u003e \u003cp\u003e2.7 Implications for Skill Required in Asset Allocation 21\u003c\/p\u003e \u003cp\u003e2.8 Requirements for a Revised Allocation Solution 22\u003c\/p\u003e \u003cp\u003e2.9 Parallel Debates Created in the Search for a Revised Allocation Solution 23\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3. Transitioning from Active Management to Exposure Allocation 25\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 A Historic Rationalization of Alpha and Beta 26\u003c\/p\u003e \u003cp\u003e3.2 Progression of Active Management 27\u003c\/p\u003e \u003cp\u003e3.3 Generalizing the Beta Concept 27\u003c\/p\u003e \u003cp\u003e3.4 The Demise of Asset Class Demarcated Allocation 28\u003c\/p\u003e \u003cp\u003e3.5 Implications for the Active Investment Process 29\u003c\/p\u003e \u003cp\u003e3.6 Investment Strategy Categorization 30\u003c\/p\u003e \u003cp\u003e3.6.1 Fundamental, Quantitative and Technical 30\u003c\/p\u003e \u003cp\u003e3.6.2 Top-down, Bottom-up and Relative Value 31\u003c\/p\u003e \u003cp\u003e3.7 Positioning of Alternative Investments 31\u003c\/p\u003e \u003cp\u003e3.8 Obsolescence of Portable Alpha 32\u003c\/p\u003e \u003cp\u003e3.9 Positioning of Fundamental Indexation and Smart Beta 32\u003c\/p\u003e \u003cp\u003e3.10 Risk in an Exposure-Based Framework 33\u003c\/p\u003e \u003cp\u003e3.11 Horizon-Based Organizational Demarcation 34\u003c\/p\u003e \u003cp\u003e3.12 Transition from an Asset-Based to an Exposure-Based Organization 34\u003c\/p\u003e \u003cp\u003e3.13 Conclusion 37\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4. Redefining Risk Premium for Multi-Asset Allocation Decisions 39\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 Incumbent Risk and Risk Premium Frameworks 40\u003c\/p\u003e \u003cp\u003e4.2 Framework for the Concurrent Presence of All Asset Classes 41\u003c\/p\u003e \u003cp\u003e4.3 Incorporating Intra-Horizon Risk 42\u003c\/p\u003e \u003cp\u003e4.4 Risk and Return Premium for Allocation Silos 43\u003c\/p\u003e \u003cp\u003e4.5 Asset Class Premiums – Comparison of Traditional and Proposed Methods 45\u003c\/p\u003e \u003cp\u003e4.6 Asset Class Premiums – Impact of Different Investment Horizons 46\u003c\/p\u003e \u003cp\u003e4.7 Asset Class Risk – Comparison of Traditional and Proposed Methods 47\u003c\/p\u003e \u003cp\u003e4.8 Asset Class Risk – Impact of Different Investment Horizons 48\u003c\/p\u003e \u003cp\u003e4.9 Sovereign Risk and Risk Premium 49\u003c\/p\u003e \u003cp\u003e4.10 Application to Various Multi]Asset Investment Problem Scenarios 51\u003c\/p\u003e \u003cp\u003e4.11 Conclusion 52\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5. A Multi-Strategy Allocation Structure 53\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 Categories of Allocation Approaches 54\u003c\/p\u003e \u003cp\u003e5.2 A Multi-Strategy Framework for the Allocation Problem 58\u003c\/p\u003e \u003cp\u003e5.3 The Benefits of Strategy Diversification 59\u003c\/p\u003e \u003cp\u003e5.4 Individual Allocation Methodology Requirements 61\u003c\/p\u003e \u003cp\u003e5.5 Example of a Multi-Strategy Allocation Approach 63\u003c\/p\u003e \u003cp\u003e5.6 Conclusion 66\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6. A Fundamental Exposure Allocation Approach—Business Cycles 67\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1 The Passive Economic Model 67\u003c\/p\u003e \u003cp\u003e6.2 An Active Economic Approach 68\u003c\/p\u003e \u003cp\u003e6.3 A Five Cycle Asset Allocation Approach 69\u003c\/p\u003e \u003cp\u003e6.3.1 Cycle I – The Global Business Cycle 69\u003c\/p\u003e \u003cp\u003e6.3.2 Cycle II – The Local Business Cycle 70\u003c\/p\u003e \u003cp\u003e6.3.3 Cycle III – The Monetary Cycle 71\u003c\/p\u003e \u003cp\u003e6.3.4 Cycle IV – The Credit and Capex Cycles 73\u003c\/p\u003e \u003cp\u003e6.3.5 Cycle V – Market Cycle 73\u003c\/p\u003e \u003cp\u003e6.4 Cycle Limiting Risk Parameters 73\u003c\/p\u003e \u003cp\u003e6.5 Segregating the Core and Cyclical Components 74\u003c\/p\u003e \u003cp\u003e6.6 The Composite Five Cycle Framework 75\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7. A Systematic Exposure Allocation Process — Active Risk Budgeting 77\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1 Modeling the Business Cycle 78\u003c\/p\u003e \u003cp\u003e7.2 Modeling the Monetary Cycle 80\u003c\/p\u003e \u003cp\u003e7.3 Risk Adjustment for Equity Valuation 81\u003c\/p\u003e \u003cp\u003e7.4 Creating an Adjusted Risk Budgeting Allocation Methodology 82\u003c\/p\u003e \u003cp\u003e7.5 Simulated Performance Results 85\u003c\/p\u003e \u003cp\u003e7.6 Confirming Robustness of ARB Allocation Methodology 90\u003c\/p\u003e \u003cp\u003e7.6.1 Performance in Different Time Periods 90\u003c\/p\u003e \u003cp\u003e7.6.2 Performance in Different Market Conditions 90\u003c\/p\u003e \u003cp\u003e7.7 Implementation of a Drawdown Management Process 94\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8. Estimation of Asset Allocation 97\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8.1 The Consensus Asset Allocation Dataset 97\u003c\/p\u003e \u003cp\u003e8.2 Using Consensus Data for Allocation Decisions 98\u003c\/p\u003e \u003cp\u003e8.2.1 Basic Allocation Decisions 98\u003c\/p\u003e \u003cp\u003e8.2.2 Creating Tactical Allocation Changes 99\u003c\/p\u003e \u003cp\u003e8.2.3 Conviction Level in Allocation Stances 102\u003c\/p\u003e \u003cp\u003e8.2.4 Currency Hedge Ratio Decisions 103\u003c\/p\u003e \u003cp\u003e8.2.5 Separating the Poor Forecasters from the Accurate Ones 105\u003c\/p\u003e \u003cp\u003e8.2.6 Contrasting the Variety of Allocation Methodologies 105\u003c\/p\u003e \u003cp\u003e\u003cb\u003e9. Optimization for Multi-Asset Portfolios 107\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e9.1 Evolution of the Mean Variance Framework 107\u003c\/p\u003e \u003cp\u003e9.2 Portfolio Allocation and Measures of Performance 109\u003c\/p\u003e \u003cp\u003e9.3 A Utility-Based Approach 110\u003c\/p\u003e \u003cp\u003e9.4 The Fund Manager’s Objectives 110\u003c\/p\u003e \u003cp\u003e9.5 The Efficient Frontier 112\u003c\/p\u003e \u003cp\u003e9.6 Optimal Portfolio Choice 113\u003c\/p\u003e \u003cp\u003e9.7 Incorporating the Constraints 114\u003c\/p\u003e \u003cp\u003e9.8 Tail Risk Constraint 115\u003c\/p\u003e \u003cp\u003e9.9 Event Risk 115\u003c\/p\u003e \u003cp\u003e9.10 Macro Risk 116\u003c\/p\u003e \u003cp\u003e9.11 Regime Risk 116\u003c\/p\u003e \u003cp\u003e9.12 Correlation Risk 117\u003c\/p\u003e \u003cp\u003e9.13 Formulation of the Optimization Problem 118\u003c\/p\u003e \u003cp\u003e9.14 The Unconstrained Allocation 119\u003c\/p\u003e \u003cp\u003e9.15 Applying the Constraints 121\u003c\/p\u003e \u003cp\u003e9.16 The Preferred Portfolio 127\u003c\/p\u003e \u003cp\u003e9.17 Conclusions 130\u003c\/p\u003e \u003cp\u003e\u003cb\u003e10. Managing Tail Risk in Multi-Asset Portfolios 133\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e10.1 Portfolio Management – The Practical Setting 134\u003c\/p\u003e \u003cp\u003e10.2 Asset Allocation – The Practical Setting 134\u003c\/p\u003e \u003cp\u003e10.3 Creating a Real Risk Measure: End-of-Horizon vs. Intra-Horizon Risk 135\u003c\/p\u003e \u003cp\u003e10.4 Model Uncertainty 139\u003c\/p\u003e \u003cp\u003e10.5 Stop-Losses 143\u003c\/p\u003e \u003cp\u003e10.6 Implementing Tail Risk Management 150\u003c\/p\u003e \u003cp\u003e10.7 Notation and Variables 153\u003c\/p\u003e \u003cp\u003e\u003cb\u003e11. Multi-Asset Investing in Emerging Markets 155\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e11.1 Observation 1: Sub-Optimal Geographic Categorization of Emerging Markets 155\u003c\/p\u003e \u003cp\u003e11.2 Observation 2: Inappropriate Sector Classification for Emerging Markets 156\u003c\/p\u003e \u003cp\u003e11.3 Observation 3: Stock Concentration in Equity Indices 158\u003c\/p\u003e \u003cp\u003e11.4 Observation 4: The Potential for Active Management 159\u003c\/p\u003e \u003cp\u003e11.5 Observation 5: Performance of Active Managers 159\u003c\/p\u003e \u003cp\u003e11.6 Observation 6: Over-Dependence on a Single Investment Decision 162\u003c\/p\u003e \u003cp\u003e11.7 Summary of Observations 162\u003c\/p\u003e \u003cp\u003e11.8 Pitfalls in Emerging Market Investment Frameworks 163\u003c\/p\u003e \u003cp\u003e11.9 An Improved Framework for Emerging Market Investments 164\u003c\/p\u003e \u003cp\u003e\u003cb\u003e12. The Importance of Asset Allocation in Asian Equities 169\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e12.1 Impact of Breadth on Portfolio Excess Return 169\u003c\/p\u003e \u003cp\u003e12.2 Impact of Varying Cross-Sectional Dispersion on Portfolio Excess Return 170\u003c\/p\u003e \u003cp\u003e12.3 The Relative Importance of Asset Allocation and Stock Selection 172\u003c\/p\u003e \u003cp\u003e12.4 Comparing the US and Asian Equity Investment Universe 173\u003c\/p\u003e \u003cp\u003e12.5 Conclusions 176\u003c\/p\u003e \u003cp\u003e\u003cb\u003e13. Implementing a Multi-Asset Strategy – Active or Passive 179\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e13.1 Investment Determinants for the Active-Passive Decision 179\u003c\/p\u003e \u003cp\u003e13.2 Asset Owner Constraints Impacting the Active–Passive Decision 184\u003c\/p\u003e \u003cp\u003e\u003cb\u003e14. An Exposure-Based Risk Diagnostics Framework 185\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e14.1 Shortcomings of a Traditional Risk Analysis Approach 185\u003c\/p\u003e \u003cp\u003e14.2 Evaluating Intended and Unintended Risk 186\u003c\/p\u003e \u003cp\u003e14.3 A Multi-Dimensional Risk Architecture 187\u003c\/p\u003e \u003cp\u003e14.3.1 Skill Analysis 188\u003c\/p\u003e \u003cp\u003e14.3.2 Investment Process Component Analysis 189\u003c\/p\u003e \u003cp\u003e14.3.3 Regime Risk Analysis 189\u003c\/p\u003e \u003cp\u003e14.3.4 Style and Factor Risk Analysis 190\u003c\/p\u003e \u003cp\u003e14.3.5 Macro Risk Analysis 190\u003c\/p\u003e \u003cp\u003e14.3.6 Stress Event Risk Analysis 191\u003c\/p\u003e \u003cp\u003e14.3.7 Peer Group Comparison Analysis 192\u003c\/p\u003e \u003cp\u003e\u003cb\u003e15. Impact of Manager Compensation on Allocation Decisions 195\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e15.1 Compensation Structure 196\u003c\/p\u003e \u003cp\u003e15.2 Managerial Constraints 197\u003c\/p\u003e \u003cp\u003e15.2.1 Managerial Skill 198\u003c\/p\u003e \u003cp\u003e15.2.2 Managerial Risk Preferences 198\u003c\/p\u003e \u003cp\u003e15.3 Optimal Activeness 199\u003c\/p\u003e \u003cp\u003e15.4 The Distribution of Performance 202\u003c\/p\u003e \u003cp\u003e15.5 The Importance of Skill 203\u003c\/p\u003e \u003cp\u003e15.6 Activeness and Age 205\u003c\/p\u003e \u003cp\u003e15.7 Implications for a Multi-Period Setting 206\u003c\/p\u003e \u003cp\u003e15.7.1 Compensation Structure 206\u003c\/p\u003e \u003cp\u003e15.7.2 The Distribution of Performance 206\u003c\/p\u003e \u003cp\u003e15.8 Examples of Managerial Contracts 208\u003c\/p\u003e \u003cp\u003e15.9 Conclusions 209\u003c\/p\u003e \u003cp\u003e\u003cb\u003e16. From Multi-Asset Strategies to Multi-Asset Solutions 211\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e16.1 Current Phase of Industry Transition 213\u003c\/p\u003e \u003cp\u003e16.2 Multi-Asset Solutions as an Industry Function 214\u003c\/p\u003e \u003cp\u003e16.3 Characteristics of a Multi-Asset Solution Provider 215\u003c\/p\u003e \u003cp\u003e16.4 Customization Parameters for an Investment Solution 215\u003c\/p\u003e \u003cp\u003e16.5 Requirements for a Standardized Implementation 219\u003c\/p\u003e \u003cp\u003e16.6 The Importance of Attributing Performance 219\u003c\/p\u003e \u003cp\u003e16.7 Conclusions 220\u003c\/p\u003e \u003cp\u003e\u003cb\u003e17. Multi-Asset Investing for Private Wealth Assets 221\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e17.1 The Private Wealth Multi-Asset Investment Problem 221\u003c\/p\u003e \u003cp\u003e17.2 Business Model and Organizational Issues 224\u003c\/p\u003e \u003cp\u003e17.3 Incumbent Investment Frameworks 226\u003c\/p\u003e \u003cp\u003e17.4 A Multi-Asset Private Wealth Investment Platform 227\u003c\/p\u003e \u003cp\u003e17.5 Goals-Based Allocation 228\u003c\/p\u003e \u003cp\u003e17.6 Implication for the Long-Only Active Manager 230\u003c\/p\u003e \u003cp\u003e17.7 Conclusions 230\u003c\/p\u003e \u003cp\u003e\u003cb\u003e18. Structuring a Multi-Asset Investing Business 233\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e18.1 Product Structure and Positioning 233\u003c\/p\u003e \u003cp\u003e18.2 Product Advantages and Disadvantages 235\u003c\/p\u003e \u003cp\u003e18.3 Product Investment Skills 236\u003c\/p\u003e \u003cp\u003e18.4 Target Client Segmentation 237\u003c\/p\u003e \u003cp\u003e18.5 Where Did Existing Products Fall Short? 238\u003c\/p\u003e \u003cp\u003e18.6 Client Segment – Expectations and Evaluation 242\u003c\/p\u003e \u003cp\u003e\u003cb\u003e19. Competing for Better Institutional Investment Outcomes 245\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e19.1 Mission and Beliefs – The First and Most Critical Step 246\u003c\/p\u003e \u003cp\u003e19.2 Frameworks: Traditional Asset Class Versus Risk Premium 248\u003c\/p\u003e \u003cp\u003e19.3 Linking Beliefs With Return Drivers and Portfolio Construction Decisions 250\u003c\/p\u003e \u003cp\u003e19.3.1 A New Perspective 252\u003c\/p\u003e \u003cp\u003e19.3.2 A Wider Opportunity Set for Exploiting Alpha 253\u003c\/p\u003e \u003cp\u003e19.3.3 Ensuring That Everything Is Consistent with Beliefs 255\u003c\/p\u003e \u003cp\u003e19.4 Governance Consideration 256\u003c\/p\u003e \u003cp\u003e19.4.1 Closing the Governance Gap: Build or Buy 256\u003c\/p\u003e \u003cp\u003e19.4.2 The Separation of Governing and Executive Functions 257\u003c\/p\u003e \u003cp\u003e19.5 Choosing an Implementation Route for Delegation 259\u003c\/p\u003e \u003cp\u003e19.5.1 Bundling Multiple Investment Strategies into Pooled Funds 259\u003c\/p\u003e \u003cp\u003e19.5.2 Fully Bespoke Implementation 260\u003c\/p\u003e \u003cp\u003e19.6 Monitoring 262\u003c\/p\u003e \u003cp\u003e19.7 Conclusions 263\u003c\/p\u003e \u003cp\u003eBibliography and References 265\u003c\/p\u003e \u003cp\u003eIndex 269\u003c\/p\u003e\n\u003c\/li\u003e\n\u003c\/ul\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":49407017288023,"sku":"9781119241522","price":65.55,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9781119241522.jpg?v=1730497890","url":"https:\/\/bookcurl.com\/products\/multiasset-investing-9781119241522","provider":"Book Curl","version":"1.0","type":"link"}