Preface.
1. Introduction.
1.1 Characteristics of a successful investment process.
1.2 Challenges to be solved.
1.3 Approach taken in this book.
1.4 Structure of the book.
1.5 Notation.
PART I: THE VALUE CHAIN OF ACTIVE INVESTMENT MANAGEMENT.
2. Key Success Factors for Generating Positive Alpha Positive Alpha.
2.1 Key success factors.
2.2 Decomposing return.
2.3 Defining risk.
2.4 The information ratio.
2.5 Fundamental law of active management.
2.6 The process of developing an investment process.
3. The Investment Management Value Chain.
3.1 The value chain components.
3.2 Designing a value chain based investment process.
3.3 Implementing the value chain approach.
3.4 Investment Processes Example.
PART II: FORECASTING MARKETS.
4. Judgmental Approaches for Forecasting Markets Markets.
4.1 Market efficiencies.
4.2 Understanding asset returns.
4.3 Forecasting asset returns.
4.4 Example.
5. Quantitative Approaches for Forecasting Markets for Forecasting Markets.
5.1 Building a quantitative forecasting model.
5.2 Defining the model structure.
5.3 Handling data in parameter estimation.
5.4 Testing the model.
5.5 Mitigating model risk.
5.6 Example.
6. Taking Investment Decisions.
6.1 Understanding the theory of decision making.
6.2 Building a decision making process.
6.3 Example.
PART III: RISK MEASUREMENT AND MANAGEMENT.
7. Modeling Risk.
7.1 The different dimensions of risk.
7.2 Risk management from an investor's perspective.
7.3 Risk from an investment manager's perspective.
7.4 The theory behind modeling market risk.
7.5 The process of developing a risk model.
7.6 Information risk.
8. Volatility as a Risk Measure.
8.1 The volatility risk model in theory.
8.2 Selecting data for parameter estimation.
8.3 Estimating the risk model's parameters.
8.4 Decomposing volatility.
8.5 Additional pitfalls.
8.6 Testing risk models.
9. Alternative Risk Measures.
9.1 Framework defining risk.
9.2 Alternative return distributions.
9.3 Exposure based risk models.
9.4 Nonparametric risk models.
9.5 Handling assets with nonlinear payoffs.
9.6 Credit risk models.
PART IV: PORTFOLIO CONSTRUCTION.
10. Single Period Mean-Variance Based Portfolio Construction Portfolio Construction.
10.1 Developing a modular portfolio construction process.
10.2 The mean-variance framework.
10.3 The Markowitz mean-variance model.
10.4 Alternative mean-variance based models.
10.5 Models with alternative risk definitions.
10.6 Information risk based models.
10.7 Selecting a portfolio construction approach.
11. Single Period Factor Model Based Portfolio Construction Portfolio Construction.
11.1 Factor models and their relation to risk.
11.2 Portfolio construction exploiting idiosyncratic risk.
11.3 Pure factor model exposure based portfolio construction.
11.4 Factor sensitivity based portfolio construction.
11.5 Combining systematic and specific risk based portfolio construction algorithms.
12. Dynamic Portfolio Construction.
12.1 Dynamic portfolio construction models.
12.2 Dynamic portfolio construction algorithms.
PART V PORTFOLIO IMPLEMENTATION.
13. Transaction Costs, Liquidity and Trading.
13.1 Understanding transaction costs and market liquidity.
13.2 The action and context of trading.
13.3 Implementation and trading as a module of an investment process value chain.
13.4 Equity asset allocation trading approach example.
14. Using Derivatives.
14.1 Derivative Instrument characteristics.
14.2 Using derivatives to implement an investment strategy.
14.3 Example.
PART VI: INVESTMENT PRODUCTS AND SOLUTIONS.
15. Benchmark Oriented Solutions Benchmark Oriented Solutions.
15.1 benchmarks.
15.2 Passive benchmark oriented investment solutions.
15.3 Active benchmark oriented investment solutions.
15.4 Core-satellite solutions.
15.5 A sample benchmark oriented solution.
16. Absolute Positive Return Solutions.
16.1 What absolute positive return can mean.
16.2 Satisfying the investor's expectations.
16.3 The relationship between risk and return.
16.4 Long-only forecasting based solutions.
16.5 The portable alpha approach.
16.6 combining APR and benchmark oriented solutions.
17. Capital Protection and Preservation Approaches Approaches.
17.1 The investor's utility function.
17.2 Portfolio insurance investment processes.
17.3 Comparing different PIIPs.
17.4 Managing risk.
17.5 Designing a client specific capital protection solution.
18. Hedge Funds Hedge Funds.
18.1 Success factors of hedge funds.
18.2 Exploitable alpha generating sources.
18.3 Issues specific to hedge funds.
18.4 Developing a hedge fund investment process.
18.5 Hedge funds as an asset class.
19. Liability Driven Investing.
19.1 The concept of liability driven investing.
19.2 Portfolio construction in a Liability driven investment context.
19.3 Liability driven investment solutions.
19.4 A process for determining an LDI solution.
PART VII: QUALITY MANAGEMENT.
20. Investment Performance Measurement.
20.1 Performance measurement dimensions.
20.2 Setting up a performance measurement framework.
20.3 Basics of performance measurement.
20.4 Performance attribution.
20.5 Performance contribution.
20.6 The process behind the process.
20.7 Practical considerations in performance measurement.
20.8 Examples of performance measurement frameworks.
Bibliography.
Index.
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