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This book is based on the sessions that Martson has developed for the CIMA program as well as for Morgan Stanley's Senior Consultants Program begun at Wharton in the mid-1980s even before the CIMA program began. The book is designed for top investment advisors who want to provide diversified portfolios for their clients, whether they are high net worth private clients or institutional investors. The book examines all of the major asset classes that go into modern portfolios and asks how much they add to portfolio diversification.
RICHARD C. MARSTON is currently James R.F. Guy Professor of Finance and Director, George Weiss Center for International Financial Research at the Wharton School, University of Pennsylvania. He was a recipient of the Rhodes Scholarship, Fulbright Fellowship, and the Sanwa Bank Prize in International Finance. He has been a research associate for the National Bureau of Economic Research since 1979, a visiting professor at London Business School, ESSEC in Paris, and the Sasin Institute at Chulalongkorn University in Bangkok, and Visiting Scholar at the Bank of Japan. Since 1999, he has been Academic Director of the Private Wealth Management Program at Wharton, a week-long program for ultra-high-net-worth investors, and he is a long-standing faculty member in the Certified Investment Management Analyst program at Wharton, having taught asset allocation to over 5000 financial advisors.
Table of Contents
About the Author
About the Book
Ingredients of Asset Allocation
Lessons of the Recent Downturn
So Are Bonds the Place to Invest?
So What Happens When the Economy Turns Up?
Some Necessary Tools for Analysis
Appendix: Description of the Statistical Tools
Long-Run Returns on Stocks and Bonds
Stocks and Bonds Since 1951
How Much More Attractive Are Stocks than Bone
Reconsidering Bond Returns
Reconsidering Stock Returns
Alternative Estimates of Long-Run Stock Returns
Upper and Lower Bounds for Equity Returns
Appendix: Alternative Estimates of Stock Returns
What Do We Mean by Small-Cap Stocks?
Relative Performance of Large-Cap and Small-Cap Stocks-Russell Series
Relative Performance of Large-Cap and Small-Cap Stocks-SBBI Series
Relative Performance of Large-Cap and Small-Cap Stocks-Broader Analysis
Large-Cap and Small-Cap Stocks in a Portfolio Context
Summary-Key Features of Small-Cap Stocks
Value and Growth Investing
Description of the Russell 1000 Indexes
Relative Performance of Growth and Value Indexes
Value and Growth Indexes for Earlier Periods
Relative Performance of Small-Cap Growth and Value Stocks
Portfolios with Growth and Value
Summary-Key Features of Growth and Value Stocks
Returns on Foreign and U.S. Stocks
Currency Capital Gains and Foreign Stock Returns
Diversification Benefits of Foreign Stock Investing
Are There Shortcuts to Owning Foreign Stocks?
Summary-Key Features of Foreign Stocks
What Is An Emerging Market?
Emerging Stock Market Indexes
Emerging Stock Market Returns
Risks of Investing in Emerging Stock Markets
Emerging Market Bonds-A Brief History
Returns on Emerging Market Bonds
Summary-Key Features of Emerging Market Stocks and Bonds
The Wider U.S. Bond Market
Returns on U.S. Bonds
Bond Markets Outside the United States
Summary-Key Features of Bonds
Strategic Asset Allocation
Expanding the Portfolio to Include Other Bonds and Stocks
Expanding the Portfolio to Include Foreign Stocks
The Dirty Secret of Optimization
Alternative Approaches to Optimization
Estimating Portfolio Returns-the Premium Method
Portfolios in Practice-Example of MarketWatch.com' Lazy Portfolios
Beyond the Traditional Efficient Frontier
Hedge Fund Returns
Hedge Fund Biases
Performance Across Managers
Fund of Funds
Hedge Funds in a Portfolio
Summary-Key Features of Hedge Funds
Venture Capital and Private Equity
Common Features of Venture Capital and Buyout Funds
Returns on Venture Capital
Returns on Buyout Funds
Key Features of Private Equity
Real Assets-Real Estate
Real Estate Investment Trusts
Direct Ownership of Real Estate
Sources of Return on Commodity Futures
Returns on Commodity Futures
Performance in a Portfolio
Does Gold Belong in the Portfolio?
Active Investment in Commodities-Managed Futures
Summary-Key Features of Commodity Investments
Asset Allocation with Alternative Investments
Diversifying into Real Estate-Alternatives for Ordinary Investors
Expanding the Menu of Alternative Assets
High Net Worth (HNW) Portfolios
Ultra HNW Portfolios
Lessons about Alternatives from the Yale Endowment
Lessons about Alternative Investments Learned in the Financial Crisis
Verdict on Alternative Investments
Investing and Spending by Foundations
Estimating Future Bond and Stock Returns
Volatility and Uncertainty
Portfolios of Stocks and Bonds
Description of the Spending Plan
Using Historical Returns Since 1951 to Set Spending Rules
Effect of Lower Stock Returns on Spending Rules
Effects of Different Stock/Bond Allocations
Investing and Spending in Retirement
Spending Rules for Retirement
Portfolios of Stocks and Bonds
Baseline Case: Can Two Live More Cheaply Than One?
Effects of Bequests and Variable Spending Rules
How Can I Turn a Defined Contribution Plan into Defined Benefit Plan?
Concluding Comments-Postpone Retirement?
The Discipline of Asset Allocation-Rebalancing
Rebalancing When Times Are Good
Rebalancing When Times Are Bad
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