{"product_id":"the-new-science-of-asset-allocation-isbn-9780470537404","title":"The New Science of Asset Allocation","description":"\u003cp\u003eA feasible asset allocation framework for the post 2008 financial world\u003c\/p\u003e \u003cp\u003eAsset allocation has long been a cornerstone of prudent investment management; however, traditional allocation plans failed investors miserably in 2008. Asset allocation still remains an essential part of the investment arena, and through a new approach, you'll discover how to make it work.\u003c\/p\u003e \u003cp\u003eIn \u003ci\u003eThe New Science of Asset Allocation,\u003c\/i\u003e authors Thomas Schneeweis, Garry Crowder, and Hossein Kazemi first explore the myths that plague this field then quickly move on to examine how the practice of asset allocation has failed in recent years. They then propose new allocation models that employ liquidity, transparency, and real risk controls across multiple asset classes.\u003c\/p\u003e \u003cul\u003e \u003cli\u003eOutlines a new approach to asset allocation in a post-2008 world, where risk seems hidden\u003c\/li\u003e \u003cli\u003eThe \"great manager\" problem is examined with solutions on how to capture manager alpha while limiting downside risk\u003c\/li\u003e \u003cli\u003eA complete case study is presented that allocates for beta and alpha\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eWritten by an experienced team of industry leaders and academic experts, \u003ci\u003eThe New Science of Asset Allocation\u003c\/i\u003e explains how you can effectively apply this approach to a financial world that continues to change.\u003c\/p\u003e \u003cp\u003ePreface xi\u003c\/p\u003e \u003cp\u003eAcknowledgments xix\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 A Brief History of Asset Allocation 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIn the Beginning 3\u003c\/p\u003e \u003cp\u003eA Review of the Capital Asset Pricing Model 4\u003c\/p\u003e \u003cp\u003eAsset Pricing in Cash and Derivative Markets 6\u003c\/p\u003e \u003cp\u003eModels of Return and Risk Post-1980 11\u003c\/p\u003e \u003cp\u003eAsset Allocation in the Modern World 14\u003c\/p\u003e \u003cp\u003eProduct Development: Yesterday, Today, and Tomorrow 15\u003c\/p\u003e \u003cp\u003eNotes 17\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 Measuring Risk 20\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eWhat is Risk? 22\u003c\/p\u003e \u003cp\u003eTraditional Approaches to Risk Measurement 24\u003c\/p\u003e \u003cp\u003eClassic Sharpe Ratio 26\u003c\/p\u003e \u003cp\u003eOther Measures of Risk Assessment 28\u003c\/p\u003e \u003cp\u003ePortfolio Risk Measures 30\u003c\/p\u003e \u003cp\u003eOther Measures of Portfolio Risk Measurement 33\u003c\/p\u003e \u003cp\u003eValue at Risk 34\u003c\/p\u003e \u003cp\u003eNotes 37\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 Alpha and Beta, and the Search for a True Measure of Manager Value 39\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eWhat is Alpha? 39\u003c\/p\u003e \u003cp\u003eIssues in Alpha and Beta Determination 46\u003c\/p\u003e \u003cp\u003eProblems in Alpha and Beta Determination 48\u003c\/p\u003e \u003cp\u003eMulti-Factor Return Estimation: An Example 50\u003c\/p\u003e \u003cp\u003eTracking Alternatives in Alpha Determination 54\u003c\/p\u003e \u003cp\u003eNotes 56\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 Asset Classes: What They are and Where to Put Them 58\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eOverview and Limitations of the Existing Asset Allocation Process 59\u003c\/p\u003e \u003cp\u003eAsset Allocation in Traditional and Alternative Investments: A Road Map 61\u003c\/p\u003e \u003cp\u003eHistorical Return and Risk Attributes and Strategy Allocation 66\u003c\/p\u003e \u003cp\u003eTraditional Stock\/Bond Allocation versus Multi-Asset Allocation 70\u003c\/p\u003e \u003cp\u003eRisk and Return Comparisons Under Differing Historical Time Periods 71\u003c\/p\u003e \u003cp\u003eExtreme Market Sensitivity 74\u003c\/p\u003e \u003cp\u003eMarket Segment or Market Sensitivity: Does It Matter? 82\u003c\/p\u003e \u003cp\u003eHow New is New? 84\u003c\/p\u003e \u003cp\u003eNotes 88\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Strategic, Tactical, and Dynamic Asset Allocation 91\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAsset Allocation Optimization Models 92\u003c\/p\u003e \u003cp\u003eStrategic Asset Allocation 99\u003c\/p\u003e \u003cp\u003eTactical Asset Allocation 101\u003c\/p\u003e \u003cp\u003eDynamic Asset Allocation 107\u003c\/p\u003e \u003cp\u003eNotes 109\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 Core and Satellite Investment: Market\/Manager Based Alternatives 110\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDetermining the Appropriate Benchmarks and Groupings 111\u003c\/p\u003e \u003cp\u003eSample Allocations 117\u003c\/p\u003e \u003cp\u003eCore Allocation 119\u003c\/p\u003e \u003cp\u003eSatellite Investment 120\u003c\/p\u003e \u003cp\u003eAlgorithmic and Discretionary Aspects of Core\/Satellite Exposure 120\u003c\/p\u003e \u003cp\u003eReplication Based Indices 122\u003c\/p\u003e \u003cp\u003ePeer Group Creation—Style Purity 126\u003c\/p\u003e \u003cp\u003eNotes 132\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 Sources of Risk and Return in Alternative Investments 134\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAsset Class Performance 135\u003c\/p\u003e \u003cp\u003eHedge Funds 139\u003c\/p\u003e \u003cp\u003eManaged Futures (Commodity Trading Advisors) 143\u003c\/p\u003e \u003cp\u003ePrivate Equity 148\u003c\/p\u003e \u003cp\u003eReal Estate 153\u003c\/p\u003e \u003cp\u003eCommodities 160\u003c\/p\u003e \u003cp\u003eNotes 166\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 Return and Risk Differences among Similar Asset Class Benchmarks 167\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMaking Sense Out of Traditional Stock and Bond Indices 168\u003c\/p\u003e \u003cp\u003ePrivate Equity 170\u003c\/p\u003e \u003cp\u003eReal Estate 173\u003c\/p\u003e \u003cp\u003eAlternative REIT Investments Indices 179\u003c\/p\u003e \u003cp\u003eCommodity Investment 179\u003c\/p\u003e \u003cp\u003eHedge Funds 185\u003c\/p\u003e \u003cp\u003eInvestable Manager Based Hedge Fund Indices 185\u003c\/p\u003e \u003cp\u003eCTA Investment 189\u003c\/p\u003e \u003cp\u003eIndex versus Fund Investment: A Hedge Fund Example 189\u003c\/p\u003e \u003cp\u003eNotes 194\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 Risk Budgeting and Asset Allocation 195\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eProcess of Risk Management: Multi-Factor Approach 195\u003c\/p\u003e \u003cp\u003eProcess of Risk Management: Volatility Target 200\u003c\/p\u003e \u003cp\u003eRisk Decomposition of Portfolio 202\u003c\/p\u003e \u003cp\u003eRisk Management Using Futures 203\u003c\/p\u003e \u003cp\u003eRisk Management Using Options 206\u003c\/p\u003e \u003cp\u003eCovered Call 206\u003c\/p\u003e \u003cp\u003eLong Collar 208\u003c\/p\u003e \u003cp\u003eNotes 210\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10 Myths of Asset Allocation 212\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eInvestor Attitudes, Not Economic Information, Drive Asset Values 213\u003c\/p\u003e \u003cp\u003eDiversification Across Domestic or International Equity Securities is Sufficient 214\u003c\/p\u003e \u003cp\u003eHistorical Security and Index Performance Provides a Simple Means to Forecast Future Excess Risk-Adjusted Returns 215\u003c\/p\u003e \u003cp\u003eRecent Manager Fund Return Performance Provides the Best Forecast of Future Return 215\u003c\/p\u003e \u003cp\u003eSuperior Managers or Superior Investment Ideas Do Not Exist 216\u003c\/p\u003e \u003cp\u003ePerformance Analytics Provide a Complete Means to Determine Better Performing Managers 216\u003c\/p\u003e \u003cp\u003eTraditional Assets Reflect “Actual Values” Better Than Alternative Investments 217\u003c\/p\u003e \u003cp\u003eStock and Bond Investment Means Investors Have No Derivatives Exposure 217\u003c\/p\u003e \u003cp\u003eStock and Bond Investment Removes Investor Concerns as to Leverage 218\u003c\/p\u003e \u003cp\u003eGiven the Efficiency of the Stock and Bond Markets, Managers Provide No Useful Service 218\u003c\/p\u003e \u003cp\u003eInvestors Can Rely on Academics and Investment Professionals to Provide Current Investment Models and Theories 218\u003c\/p\u003e \u003cp\u003eAlternative Assets are Riskier Than Equity and Fixed Income Securities 219\u003c\/p\u003e \u003cp\u003eAlternative Assets Such as Hedge Funds are Absolute Return Vehicles 220\u003c\/p\u003e \u003cp\u003eAlternative Investments Such as Hedge Funds are Unique in Their Investment Strategies 221\u003c\/p\u003e \u003cp\u003eHedge Funds are Black Box Trading Systems Unintelligible to Investors 222\u003c\/p\u003e \u003cp\u003eHedge Funds are Traders, Not Investment Managers 222\u003c\/p\u003e \u003cp\u003eAlternative Investment Strategies are So Unique That They Cannot Be Replicated 223\u003c\/p\u003e \u003cp\u003eIt Makes Little Difference Which Traditional or Alternative Indices are Used in an Asset Allocation Model 223\u003c\/p\u003e \u003cp\u003eModern Portfolio Theory is Too Simplistic to Deal with Private Equity, Real Estate, and Hedge Funds 223\u003c\/p\u003e \u003cp\u003eNotes 225\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 11 The Importance of Discretion in Asset Allocation Decisions 226\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Why and Wherefore of Asset Allocation Models 226\u003c\/p\u003e \u003cp\u003eValue of Manager Discretion 230\u003c\/p\u003e \u003cp\u003eManager Evaluation and Review: The Due Diligence Process 232\u003c\/p\u003e \u003cp\u003eMadoff: Due Diligence Gone Wrong or Never Conducted 233\u003c\/p\u003e \u003cp\u003eNotes 239\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 12 Asset Allocation: Where is It Headed? 240\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAn Uncertain Future 241\u003c\/p\u003e \u003cp\u003eWhat is the Definition of Order? 243\u003c\/p\u003e \u003cp\u003eCosts and Benefits 246\u003c\/p\u003e \u003cp\u003eToday’s Issue 246\u003c\/p\u003e \u003cp\u003ePossible Governmental and Private Fund Responses to Current Market Concerns 247\u003c\/p\u003e \u003cp\u003eNote 249\u003c\/p\u003e \u003cp\u003eAppendix: Risk and Return of Asset Classes and Risk Factors Through Business Cycles 251\u003c\/p\u003e \u003cp\u003eGlossary: Asset Class Benchmarks 271\u003c\/p\u003e \u003cp\u003eBibliography 279\u003c\/p\u003e \u003cp\u003eAbout the Authors 285\u003c\/p\u003e \u003cp\u003eIndex 287\u003c\/p\u003e  \u003cp\u003e\u003cb\u003eTHOMAS SCHNEEWEIS, P\u003csmall\u003eH\u003c\/small\u003eD,\u003c\/b\u003e is the Michael and Cheryl Philipp Professor of Finance at the University of Massachusetts, Amherst and is the founding director of the Center for International Securities and Derivatives Markets. He is also the founding editor of the \u003ci\u003eJournal of Alternative Investments\u003c\/i\u003e, cofounder of the Chartered Alternative Investment Analyst Association, and a founding Director of the Institute for Global Asset and Risk Management. During his almost forty years of investment management experience, he has been associated with the development of alpha transfer and fund replication products, the creation and development of the Zurich Hedge Fund Indices and the Dow Jones Hedge Fund Benchmark Series, as well as being instrumental in the creation of the Bache Commodity Index. Schneeweis publishes widely in the area of investment management and is often quoted in the financial press. \u003c\/p\u003e\u003cp\u003e\u003cb\u003eGARRY B. CROWDER, JD, MBA,\u003c\/b\u003e is a noted expert in the development and creation of multi-asset portfolio solutions and products. He has designed and implemented asset allocation solutions for leading multinational banks, insurance companies, and family offices. Crowder created and was managing partner of one of the first and largest hedge fund platforms based on managed accounts. In this capacity, he formed and led the team that created the Zurich Hedge Fund Indices and the Dow Jones Hedge Fund Benchmark Series. With over twenty years of investment experience, he is a founding Director of the Institute for Global Asset and Risk Management and has also served in managing director positions at Morgan Stanley Asset Management and Tiger Management LLC. \u003c\/p\u003e\u003cp\u003e\u003cb\u003eHOSSEIN KAZEMI, P\u003csmall\u003eH\u003c\/small\u003eD, CFA,\u003c\/b\u003e is regarded as a leader in the area of asset allocation, and has published over thirty academic and practitioner articles in the area of asset pricing and asset allocation. He is a founding partner of Alternative Investment Analytics, LLC, and White Bear Partners, LLC. Kazemi is a professor of finance at the University of Massachusetts, Amherst and is the Associate Director of the Center for International Securities and Derivatives Markets. He is the current Program Director of the Chartered Alternative Analyst Investment Association.   \u003c\/p\u003e\u003cp\u003eWhile in most instances asset allocation failed to protect investors from devastating losses in 2007 and 2008, it remains an essential element of the investment decision. Asset allocation is not solely about maximizing expected return. Much of asset allocation is based on the tradeoffs between the costs and returns that are consistent with an investor's risk tolerance or investment goals. Today the challenge is greater than ever, not only because we are working in a more dynamic market but because the number of investment vehicles available to investors has increased as well. \u003ci\u003eThe New Science of Asset Allocation\u003c\/i\u003e provides expert guidance with a fresh approach designed to meet this challenge. \u003c\/p\u003e\u003cp\u003eThe authors, each a prominent industry leader, first focus on risk, examining the principal tools associated with quantitative and qualitative analysis in determining fundamental asset and portfolio risk, as well as the ability of money managers to create value. While pointing out the importance of manager discretion in the asset allocation process, they also present solutions, which emphasize systematic approaches to capturing expected returns while limiting downside risk. They provide illustrative examples of an investor's decision-making process in moving between and among core and satellite portfolios and offer an overview of sample allocations and expected risk\/return scenarios. \u003c\/p\u003e\u003cp\u003eWhile most books on asset allocation continue to emphasize the return and risk characteristics of traditional stock and bond investments, \u003ci\u003eThe New Science of Asset Allocation\u003c\/i\u003e details major forms of alternative investments—their source of returns, their inherent risks, and their recent performance—including hedge funds, managed futures, private equity, real estate, and commodities. The book focuses on several practical techniques that can be used to measure, monitor, and manage the risk of a portfolio, stressing throughout that the road to a balanced portfolio through time comes from actively monitoring and managing risk. In addition, the expert authors identify investment myths that have become working beliefs in asset allocation—such as that diversification across equity issues or countries is sufficient, or that superior managers do not exist—and debunk each one with solid research. \u003c\/p\u003e\u003cp\u003eAsset allocation remains a cornerstone of prudent investment management, and through the new approach presented in \u003ci\u003eThe New Science of Asset Allocation,\u003c\/i\u003e you'll discover how to make it work.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47990299263205,"sku":"NP9780470537404","price":80.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780470537404.jpg?v=1761787257","url":"https:\/\/k12savings.com\/products\/the-new-science-of-asset-allocation-isbn-9780470537404","provider":"K12savings","version":"1.0","type":"link"}