Planning, constructing and managing a multi-asset portfolio
A multi-asset investment management approach provides diversification benefits, enhances risk-adjusted returns and enables a portfolio to be tailored to a wide range of investing objectives, whether these are generating returns or income, or matching liabilities.
This book is divided into four parts that follow the four stages of the multi-asset investment management process:
1. Establishing objectives: Defining the return objectives, risk objectives and investment constraints of a portfolio.
2. Setting an investment strategy: Setting a plan to achieve investment objectives by thinking about long-term strategic asset allocation, combining asset classes and optimisation to derive the most efficient asset allocation.
3. Implementing a solution: Turning the investment strategy into a portfolio using short-term tactical asset allocation, investment selection and risk management. This section includes examples of investment strategies.
4. Reviewing: Evaluating the performance of a portfolio by examining results, risk, portfolio positioning and the economic environment.
By dividing the multi-asset investment process into these well-defined stages, Yoram Lustig guides the reader through the various decisions that have to be made and actions that have to be taken. He builds carefully from defining investme
About the Author
Acknowledgements
Preface
Introduction
Part 1: Establishing Objectives
Introduction
1. Return Objectives
2. Benchmarks
3. Risk Objectives
4. Rational or Irrational Markets
5. The Relationship Between Reward and Risk
6. Investment Constraints
Part 2: Setting an Investment Strategy
Introduction
7. Strategic Asset Allocation
8. Historical Performance of Asset Classes
9. Combining Asset Classes
10. Diversification
11. Capital Market Assumptions
12. Optimisation
Part 3: Implementing a Solution
Introduction
13. Tactical Asset Allocation
14. Forecasting
15. Economic Cycle
16. Investment Selection
17. Investment Selection Process
18. Active Versus Passive Investments
19. Investment Vehicles
20. Single-Manager Versus Multi-Manager
21. Single Asset Classes
22. Investment Management Process
23. Portfolio Construction
24. Implementation
25. Derivatives
26. Currency
27. Risk Budgeting
28. Risk Management
29. Investment Strategies
Part 4: Reviewing
30. Portfolio Review
31. Performance Attribution
Conclusion
Bibliography
Endnotes
Index
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