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Book Cover
Author Lumholdt, Henrik, author.

Title Strategic and tactical asset allocation : an integrated approach / Henrik Lumholdt.

Published Cham, Switzerland : Palgrave Macmillan, [2018]


Location Call No. Status
Physical description 1 online resource.
Series Springer Economics and Finance eBooks 2018 English+International
Bibliography Includes bibliographical references and index.
Contents Intro; Preface; Acknowledgments; Contents; About the Author; List of Figures; List of Tables; Part I: Foundations; 1: Introduction toAsset Allocation; 1.1 Asset Allocation andAsset Classes; 1.2 The Asset Allocation Process; 1.3 Strategic andTactical Asset Allocation; 1.4 The Investment Process; Deviations fromtheTarget Weights oftheSAA; 1.5 Rebalancing; Buy-and-Hold; Constant Mix; Constant Proportion Portfolio Insurance; Why theNeed foraRebalancing Strategy?; An Empirical Study; 1.6 Conclusion; References; 2: Performance Evaluation; 2.1 Benchmarks; Broad Market Indices
Fundamentally Based IndicesStyle-Based Indices; Customized Indices; Asset Allocation Benchmarks; 2.2 Risk-Adjusted Performance; The Treynor Ratio; The Sharpe Ratio; Jensen's Alpha; The Information Ratio; M2; Practical Issues; 2.3 Performance Attribution; Calculating Differential Returns; The Brinson, Hood andBeebower ("BHB") Model; The Interaction Effect; An Example; The Brinson-Fachler ("BF") Model; 2.4 Conclusion; References; 3: Strategic Versus Tactical Asset Allocation; 3.1 Absolute Versus Relative Risk; The SAA asaDecision; 3.2 Market Efficiency; Micro-Efficiency
Macro-Inefficiency3.3 The Importance ofAsset Allocation; 3.4 Time Diversification; The Importance ofTime Horizon; Terminal Wealth; Within-Horizon Risk; The Price ofOptions; Human Capital; 3.5 Conclusion; References; Part II: Strategic Asset Allocation; 4: Long-Term Return Expectations; 4.1 The Record; The Very Long Term; The Recent Past; Time Variation; 4.2 Macro-Fundamentals; 4.3 Default-Free Government Bonds; The Yield Curve; Central Bank Policy; Bond Returns: TheHistorical Record; How Do WeCreate Expectations AbouttheReturn onGovernment Bonds?; 4.4 The Credit Market
4.5 EquitiesHow Important Are Macro-Fundamentals?; The Equity Risk Premium; The Dividend Discount Model; The Bogle Approach toDecomposing theEquity Return; Using Historical Valuations; The "Fed Model"; 4.6 Asset Returns Over theNext Ten Years; 4.7 Conclusion; References; 5: Optimizing theStrategic Asset Allocation; 5.1 Modern Portfolio Theory; 5.2 Problems withMVO; The Normality Assumption; Correlations; The Data Input; 5.3 Suggested Solutions; Risk Management; Alternative Return Distributions; Checking forRobustness; Imposing Portfolio Constraints; 5.4 Alternative Approaches
Equal Weighting: 1/N ApproachRisk Parity; Factor-Based Optimization; 5.5 Conclusion; Technical Note: Finding Risk Parity Weights; References; 6: Factor Investing I; 6.1 Classification ofFactors; Overview; Factor Analysis; 6.2 The Theoretical Framework; From Single toMultifactor Models; 6.3 Empirical Research: Macro-Factors; 6.4 Empirical Research: Equity Style Factors; Value; Size; A Three-Factor Model; Momentum; Low Volatility; Quality; Liquidity; 6.5 Empirical Research: Corporate Bond Style Factors; References; 7: Factor Investing II; 7.1 What Explains Factor Rewards?
Summary This book covers each step in the asset allocation process, addressing as many of the relevant questions as possible along the way. How can we formulate expectations about long-term returns? How relevant are valuations? What are the challenges to optimizing the portfolio? Can factor investing add value and, if so, how can it be implemented? Which are the key performance drivers for each asset class, and what determines how they are correlated? How can we apply insights about the business cycle to tactical asset allocation? The book is aimed at finance professionals and others looking for a coherent framework for decision-making in asset allocation, both at the strategic and tactical level. It stresses analysis rather than pre-conceived ideas about investments, and it draws on both empirical research and practical experience to give the reader as strong a background as possible.-- Provided by publisher.
Other author SpringerLink issuing body.
Subject Asset allocation.
Strategic planning.
Electronic books.
Variant Title Strategic & tactical asset allocation
ISBN 9783319895543 (electronic bk.)
3319895540 (electronic bk.)