Innovative approaches to putting asset allocation into practice Building on more than 15 years of asset-allocation research, Paul D. Kaplan, who led the development of the methodologies behind the Morningstar Rating(TM) and the Morningstar Style Box(TM), tackles key challenges investor professionals face when putting asset-allocation theory into practice. This book addresses common issues such as: How should asset classes be defined? Should equities be divided into asset classes based on investment style, geography, or other factors? Should asset classes be represented by…mehr
Innovative approaches to putting asset allocation into practice
Building on more than 15 years of asset-allocation research, Paul D. Kaplan, who led the development of the methodologies behind the Morningstar Rating(TM) and the Morningstar Style Box(TM), tackles key challenges investor professionals face when putting asset-allocation theory into practice. This book addresses common issues such as: How should asset classes be defined? Should equities be divided into asset classes based on investment style, geography, or other factors? Should asset classes be represented by market-cap-weighted indexes or should other principles, such as fundamental weights, be used? How do actively managed funds fit into asset-class mixes?
Kaplan also interviews industry luminaries who have greatly influenced the evolution of asset allocation, including Harry Markowitz, Roger Ibbotson, and the late Benoit Mandelbrot. Throughout the book, Kaplan explains allocation theory, creates new strategies, and corrects common misconceptions, offering original insights and analysis. He includes three appendices that put theory into action with technical details for new asset-allocation frameworks, including the next generation of portfolio construction tools, which Kaplan dubs "Markowitz 2.0."
PAUL D. KAPLAN is quantitative research director at Morningstar Europe and is responsible for the quantitative methodologies behind Morningstar's fund analysis, indexes, advisor tools, and other services. Dr. Kaplan conducts research on investment style analysis, performance and risk measurement, asset allocation, retirement-income planning, portfolio construction, index methodologies, and alternative investments. He led the development of quantitative methodologies behind the Morningstar Rating for funds (Morningstar's star rating), the Morningstar Style Box, and the Morningstar family of indexes. Many of Dr. Kaplan's research papers have been published in professional books and publications such as the Financial Analysts Journal, the Journal of Portfolio Management, the Journal of Wealth Management, the Journal of Investing, the Journal of Performance Measurement, the Journal of Indexes, and the Handbook of Equity Style Management. He received the 2008 Graham and Dodd Award and won a Graham and Dodd Award of Excellence in 2000.
Inhaltsangabe
Foreword xi Introduction xxiii A Note on Expected Return and Geometric Mean xxv Acknowledgments xxxi PART ONE Equities CHAPTER 1 Purity of Purpose: How Style-Pure Indexes Provide Useful Insights 7 CHAPTER 2 Investing in Europe with Style: Why Investors in Europe Would Benefit From Constructing Portfolios Through the Prism of Style 15 CHAPTER 3 Why Fundamental Indexation Might-or Might Not-Work 21 CHAPTER 4 The Fundamental Debate: Two Experts Square Off on the Big Issues Surrounding Fundamentally Weighted Indexes 39 CHAPTER 5 Collared Weighting: A Hybrid Approach to Indexing 51 CHAPTER 6 Yield to Investors? A Practical Approach to Building Dividend Indexes 63 CHAPTER 7 Holdings-Based and Returns-Based Style Models 71 CHAPTER 8 Estimates of Small Stock Betas Are Much Too Low 103 CHAPTER 9 A Macroeconomic Model of the Equity Risk Premium 117 PART TWO Fixed Income, Real Estate, and Alternatives CHAPTER 10 Good and Bad Monetary Economics, and Why Investors Need to Know the Difference 133 CHAPTER 11 Inflation, Gilt Yields, and Economic Policy 143 CHAPTER 12 Reverse Mean-Variance Optimization for Real Estate Asset-Allocation Parameters 147 CHAPTER 13 The Long and Short of Commodity Indexes 157 CHAPTER 14 Less Alpha and More Beta Than Meets the Eye 175 CHAPTER 15 Venture Capital and its Role in Strategic Asset Allocation 179 PART THREE Crashes and Fat Tails CHAPTER 16 One-and-a-Quarter Centuries of Stock Market Drawdowns 193 CHAPTER 17 Stock Market Bubbles and Crashes: A Global Historical and Economic Perspective 199 CHAPTER 18 De ja` Vu All Over Again 211 CHAPTER 19 De ja` Vu Around the World 223 CHAPTER 20 Getting a Read on Risk: A Discussion with Roger Ibbotson, George Cooper, and Benö t Mandelbrot on the Crisis and Risk Models 239 PART FOUR Doing Asset Allocation CHAPTER 21 Does Asset-Allocation Policy Explain 40 Percent, 90 Percent, or 100 Percent of Performance? 253 CHAPTER 22 Asset-Allocation Models Using the Markowitz Approach 267 CHAPTER 23 Asset Allocation with Annuities for Retirement Income Management 275 CHAPTER 24 MPT Put Through the Wringer: A Debate Between Steven Fox and Michael Falk 303 CHAPTER 25 Updating Monte Carlo Simulation for the Twenty-First Century 311 CHAPTER 26 Markowitz 2.0 325 CHAPTER 27 What Does Harry Markowitz Think? A Discussion with Harry Markowitz and Sam Savage 351 Afterword 367 About the Author 375 Index 377
Foreword xi Introduction xxiii A Note on Expected Return and Geometric Mean xxv Acknowledgments xxxi PART ONE Equities CHAPTER 1 Purity of Purpose: How Style-Pure Indexes Provide Useful Insights 7 CHAPTER 2 Investing in Europe with Style: Why Investors in Europe Would Benefit From Constructing Portfolios Through the Prism of Style 15 CHAPTER 3 Why Fundamental Indexation Might-or Might Not-Work 21 CHAPTER 4 The Fundamental Debate: Two Experts Square Off on the Big Issues Surrounding Fundamentally Weighted Indexes 39 CHAPTER 5 Collared Weighting: A Hybrid Approach to Indexing 51 CHAPTER 6 Yield to Investors? A Practical Approach to Building Dividend Indexes 63 CHAPTER 7 Holdings-Based and Returns-Based Style Models 71 CHAPTER 8 Estimates of Small Stock Betas Are Much Too Low 103 CHAPTER 9 A Macroeconomic Model of the Equity Risk Premium 117 PART TWO Fixed Income, Real Estate, and Alternatives CHAPTER 10 Good and Bad Monetary Economics, and Why Investors Need to Know the Difference 133 CHAPTER 11 Inflation, Gilt Yields, and Economic Policy 143 CHAPTER 12 Reverse Mean-Variance Optimization for Real Estate Asset-Allocation Parameters 147 CHAPTER 13 The Long and Short of Commodity Indexes 157 CHAPTER 14 Less Alpha and More Beta Than Meets the Eye 175 CHAPTER 15 Venture Capital and its Role in Strategic Asset Allocation 179 PART THREE Crashes and Fat Tails CHAPTER 16 One-and-a-Quarter Centuries of Stock Market Drawdowns 193 CHAPTER 17 Stock Market Bubbles and Crashes: A Global Historical and Economic Perspective 199 CHAPTER 18 De ja` Vu All Over Again 211 CHAPTER 19 De ja` Vu Around the World 223 CHAPTER 20 Getting a Read on Risk: A Discussion with Roger Ibbotson, George Cooper, and Benö t Mandelbrot on the Crisis and Risk Models 239 PART FOUR Doing Asset Allocation CHAPTER 21 Does Asset-Allocation Policy Explain 40 Percent, 90 Percent, or 100 Percent of Performance? 253 CHAPTER 22 Asset-Allocation Models Using the Markowitz Approach 267 CHAPTER 23 Asset Allocation with Annuities for Retirement Income Management 275 CHAPTER 24 MPT Put Through the Wringer: A Debate Between Steven Fox and Michael Falk 303 CHAPTER 25 Updating Monte Carlo Simulation for the Twenty-First Century 311 CHAPTER 26 Markowitz 2.0 325 CHAPTER 27 What Does Harry Markowitz Think? A Discussion with Harry Markowitz and Sam Savage 351 Afterword 367 About the Author 375 Index 377
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