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Strategic risk management : a practical guide to portfolio risk management

Author: David Iverson
Publisher: Singapore : Wiley, [2013] ©2013
Edition/Format:   Book : EnglishView all editions and formats

A comprehensive guide to the key investment decisions all investors must make and how to manage the risk that entails Since all investors seek maximize returns balanced against acceptable risks,  Read more...

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Document Type: Book
All Authors / Contributors: David Iverson
ISBN: 9781118176405 1118176405
OCLC Number: 843809915
Description: xvi, 280 pages : illustrations ; 24 cm
Contents: Acknowledgments xi Preface xiii Chapter 1 Strategic Risk Management Framework 1 Organizing Framework 1 What Risks Does the Fund Face at Each Level? 4 Summary 11 Putting the Ideas into Action 12 Chapter 2 Governance Risk 17 Why Governance Matters 17 Good Governance 17 Signs of Poor Governance 26 Chapter 3 Investment Beliefs 31 Why Have Investment Beliefs? 31 Knowledge and Investment Beliefs 33 Investment Beliefs and Strategy 33 Categories of Investment Beliefs 34 Examples of Investment Beliefs 35 Approach to Developing Investment Beliefs 35 Putting the Ideas into Action 42 Chapter 4 Fund's Purpose 45 Clear Definition 45 Possible Ways to Express Objectives 46 Examples 47 Chapter 5 Strategic Asset Allocation 49 Guiding Principles 49 Key Steps 50 Capital Market Assumptions 51 Candidate Portfolios 58 Chapter 6 Hedge Funds 87 Not an Asset Class 87 Types of Strategies 88 Characteristics of Hedge Funds 89 Risks of Investing in Hedge Funds 91 Risk and Return Characteristics 96 Good Implementation 100 Reasonable Risk and Return Expectations 102 Chapter 7 Private Equity 103 Types of Private Equity 104 Stages of Investment 104 Features of Private Equity 105 Risks of Private Equity 106 Managing the Risks 107 Fund of Funds 110 Suitability for an Investor's Portfolio 111 Risk and Return Characteristics 111 Reasonable Risk and Return Expectations 112 Achieving Private Equity Allocations 113 Chapter 8 Benchmarks 115 What Are Benchmarks For? 115 Characteristics of Good Benchmarks 116 Market Capitalization and Benchmarks 119 Chapter 9 Tactical Asset Allocation 121 Tactical versus Strategic Asset Allocation 121 Approaches to TAA 122 TAA versus Global TAA versus DAA 122 Investment Beliefs 123 Conditions for Success 124 TAA Process 124 Evidence of Value Added 127 Market Timing and Time out of the Market 130 GTAA 133 Chapter 10 Active versus Passive Management 135 Decision Framework 135 Evidence on Market Efficiency 142 What Barriers Exist to Acceptance of the Concept of Market Efficiency? 149 Chapter 11 Passive Management 153 Physical Alternatives 153 Synthetic Implementation 154 Risk Considerations 154 Operational Considerations 155 Managing Risk with Derivatives--An Example of Alpha--Beta Separation 155 Chapter 12 Active Global Equities Structure 161 Active Risk and Return 161 Style Risks 163 Management Structure 169 Market Extensions 184 Chapter 13 Active Global Fixed Income Structure 187 Style 187 Management Structure 188 Market Extensions 190 Chapter 14 Manager Selection 193 Hiring Managers 193 Firing Managers 202 Fees 211 Performance-/Incentive-Based Investment Management Fees 212 Chapter 15 Execution 217 Rebalancing 217 Transitioning Managers 221 Chapter 16 Review and Monitoring 225 Levels of Performance Reporting 225 Sample Reports 226 Conclusion 235 Chapter 17 Case Study 1--Defined Benefit Plan 237 Background 237 Financial Position and Actuarial Valuation 237 Engaging an Investment Advisor 239 Investment Objectives 239 Asset Allocation Strategy 240 Chapter 18 Case Study 2--DC Member Investment Choice Fund 247 Plan Characteristics 247 Review of the Plan 249 Investment Objectives 249 Fund Design 250 Investment Strategy 253 Manager Structure 255 References 259 About the Author 273 Index 275
Responsibility: David Iverson.
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