MAC投资

出版时间：2006-12  出版社：John Wiley & Sons Inc  作者：Fraser-Sampson, Guy  页数：300  

内容概要

The book explains that instead of asset allocation being set in an isolated and arbitrary fashion, it is in fact the way in which specific hurdle investment returns can be targeted, and that this approach is already in use in the US (and has been for many years). It involves extended and detailed financial analysis of various asset class returns and proposes a five-asset class approach for future use.     Opening with a study of the historic asset allocation practice of UK pension funds, the book shows how the current approach has led to the present funding crisis. It goes on to compare and contrast the UK approach with that of the US and to propose a new approach to UK asset allocation: the five asset class approach ("MAC Investing”).     The book reviews and analyses different asset classes based on historic returns, examines risk, and concludes with a suggestion of the five asset classes to use; Quoted equities (both Domestic and foreign), hedge funds, private equity and property. This book also includes benchmark performance figures never previously published. 作者简介：    GUY FRASER-SAMPSON has twenty years’ experience of the investment industry across a range of asset classes, most notably private equity. His career has included a spell as Investment Controller with the Abu Dhabi Investment Authority, and setting up and running for several years the European operations of one of the world’s leading fund of funds managers.     Guy is a well-known figure on the conference circuit, both as a speaker and as a panellist. His first major speech on MAC investing (to the UK’s National Association of Pension Funds in 2005) sparked media attention around the globe and helped to establish MAC investing as one of the current hot topics of the investment world. He is the inventor of the Total Funding Model, by which pension funds can calculate their target rate of investment return, and previously developed a model for analysing the performance of buyout managers.     Guy Fraser-Sampson has an LLB with Honours from King’s College London and an MBA majoring in finance from Warwick Business School. Originally a practising lawyer, he was made an equity partner in a City of London law firm at the age of 26, having been elected a Fellow of the Royal Society of Arts a year earlier. Guy has contributed many articles over the years to investment and pension publications, but this is his first book.

书籍目录

Introduction Acknowledgements 1 Investment Strategy   What is strategy?   What is investment strategy?   Planning to achieve the objective     1 Real and artificial liabilities     2 Mapping the liability cashflows     3 Total funding     4 The escalator factor     5 Putting it together   Conclusions   Summary 2 Multi Asset Class Investing   The asset allocation background   Potential problems in moving to a Multi Asset Class approach   The Yale Model   Higher returns as a goal, not peer group benchmarking   Liquidity   Diversification   Long-term returns   The Yale Model and MAC investing     Bonds     Quoted equities   How much should be allocated to each asset class?   How is the Yale Model currently allocated?   What does one look for in selecting an asset class?     Is there a sufficiently robust benchmark available for the asset class?   Conclusions   Summary 3 Risk   Introduction   The atheist cathedral   Risk and the capital asset pricing model   How ‘risk’ is used in practice   Arithmetical problems with beta   Conceptual problems with beta   Why beta and the CAPM are irrelevant   Summary 4 How to Define Risk   Risk and uncertainty   Risk and diversification in the artificial world   Risk in the real world: uncertainty and materiality   Towards a new definition of risk     Return risk     Capital risk   Summary 5 How to Calculate Risk   Phi calculations   Phi and beta   Compound return-based modelling   The future of risk analysis   Direct comparison of different asset classes   Other types of risk   Summary 6 Quoted Equity 7 Hedge Funds 8 Private Equity 9 Property 10 LDI and Portable Alpha: Rival Strategies? 11 Liquidity 12 Portfolio Performance Appendix 1: Tables of Performance Figures Appendix 2: Investment Strategies for DC Schemes and Mature Pension Plans Index