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Table Of Contents

WHATIS STRATEGY?
WHATIS INVESTMENTSTRATEGY?
PLANNING TO ACHIEVE THE OBJECTIVE
CONCLUSIONS
SUMMARY
THE ASSETALLOCATION BACKGROUND
THE YALE MODEL
LIQUIDITY
LONG-TERM RETURNS
THE YALE MODELAND MAC INVESTING
Bonds
Quoted Equities
HOWMUCH SHOULD BE ALLOCATED TO EACH ASSETCLASS?
HOWIS THE YALE MODEL CURRENTLYALLOCATED?
WHATDOES ONE LOOK FOR IN SELECTING AN ASSETCLASS?
Risk
INTRODUCTION
THE ATHEISTCATHEDRAL
RISK AND THE CAPITALASSETPRICING MODEL
HOW‘RISK’IS USED IN PRACTICE
ARITHMETICALPROBLEMS WITH BETA
WHYBETAAND THE CAPM ARE IRRELEVANT
How to Define Risk
RISK AND UNCERTAINTY
RISK IN THE REALWORLD: UNCERTAINTY AND MATERIALITY
Return Risk
Capital Risk
How to Calculate Risk
PHI CALCULATIONS
PHI AND BETA
COMPOUND RETURN-BASED MODELLING
THE FUTURE OFRISK ANALYSIS
OTHER TYPES OFRISK
Quoted Equity
ACTIVE VERSUS PASSIVE EQUITIES MANAGEMENT
WHICH INDICES SHALLWE EXAMINE?
WHATCORRELATION IS THERE BETWEEN QUOTED MARKETS?
Correlation and the DollarInvestor
Correlation and the Sterling Investor
RETURN RISK OFQUOTED EQUITIES
HOWTO IMPROVE QUOTED EQUITYRETURNS
Hedge Funds
HEDGE FUND INVESTMENTSTRATEGIES
How do the Various Hedge Fund Strategies Compare?
What Return Risk is Present in Hedge Funds?
HEDGE FUNDS WITHIN THE YALE PORTFOLIO
Private Equity
VENTURE CAPITAL
Stage
Sector
Geography
VINTAGE YEAR VERSUS ANNUALRETURNS
FURTHER COMPLEXITIES OFPRIVATE EQUITYRETURNS
What Return Risk is Present in Private Equity?
What Capital Risk is Present in Private Equity?
How do we Address the Slow Capital Take-up Issue?
Property
INVESTING IN PROPERTY
INVESTING IN PROPERTY (REALESTATE) DIRECTLY
INVESTING IN PROPERTYINDIRECTLY
Quoted Property Companies
Specialist Quoted Vehicles
Private Institutional Funds (Limited Partnerships)
WHATPERFORMANCE BENCHMARKS SHOULD WE USE?
HOWHAVE RETURNS VARIED BYSECTOR?
CAN PROPERTYRETURNS BE IMPROVED BYLEVERAGE?
LIABILITYDRIVEN INVESTMENT
WHATIS ‘LIABILITYDRIVEN INVESTMENT’?
HOWDOES LIABILITYMATCHING HELP?
Why Liability Matching does Not Work
THE PENSION PLAN AS CREDITOR
THE STRATEGIC DILEMMA
PORTABLE ALPHA
THE CONCEPT
Problem 1: The Traditional Risk Model
Problem 2: Pure Alpha
Problem 3: Exactly What is Being Suggested?
Problem 4: Alpha Returns
RIVALSTRATEGIES?
Liquidity
Hedge Funds: Liquidity Considerations
Private Equity: Liquidity Issues
Property: Liquidity Issues
Liquidity of So-called Alternative Assets
Portfolio Performance
PARAMETERS OFTHE MODEL
Relative Performance
ARE PRIVATE EQUITYRETURNS MODELLED REALISTICALLY?
Mature Pension Plans
Index
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0470027991

0470027991

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Published by nimda_00

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Published by: nimda_00 on Sep 25, 2011
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