Portfolio Design

Portfolio Design - choosing the right mix of assets
appropriate to a particular investor - is the key to
successful investing. It can help you accumulate wealth over time,
while cushioning the blow of possible economic downturns. But
in order to successfully achieve this goal, you need to be familiar
with all of the major asset classes that go into modern portfolios
and learn how much they add to portfolio
diversification. Thoughtful asset allocation provides
discipline to the investment process and gives you the best chance
of building and safeguarding wealth. Wharton Professor Richard
C. Marston, 2014 recipient of the Investment Management Consultants
Association's prestigious Matthew R. McArthur Award,
will guide you through the major decisions that need to be made
when designing a portfolio and will put you in the best position to
balance the risk-reward relationship that is part of this
endeavor.

Portfolio Design is to be read by investment
advisors. The book is rich in information about individual
asset classes, including both traditional assets like stocks and
bonds as well as alternative assets such as hedge funds, private
equity, real estate, and commodities. So it should appeal to
all sophisticated advisors whether or not they are trying to
qualify for one of the major investment designations. In fact, the
book is designed to be read by any advisor who is as fascinated as
Marston by the investment process.

Auteur

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.

Texte du rabat
Praise for "Wharton professor Richard Marston has captivated investors and investment professionals for over thirty years, including the 600 ultra-high-net-worth investors who have completed Wharton's five-day Private Wealth Management program. Never boring, and always practical, Dick Marston knows both institutional investors and individual investors well—their concerns and challenges. Portfolio Design will no doubt become a timeless reference for any serious investor."
—CHARLOTTE BEYER, founder and CEO, Institute for Private Investors "Richard Marston's tremendous insight into building well-diversified and successful investment portfolios has benefited a generation of financial advisors and individual and institutional investors. Marston offers a dynamic and cutting-edge understanding of the asset allocation process."
—PHIL C. SHAFFER, CIMA, Managing Director, Graystone Consulting, Morgan Stanley Smith Barney "After taking a bruising the past couple of years, many advisors who only learned the basics of asset allocation have too quickly dismissed the science of effective portfolio design. Many of these advisors have turned their back on the essential knowledge, tools, and skills for a new age of sophisticated investors. For more than twenty-three years, the best and brightest financial advisors in the world have learned asset allocation and portfolio design strategies from Dr. Marston on their path to become Certified Investment Management AnalystSM (CIMA®) practitioners, the premier credential for investment consultants. Advisors who are serious about serving their clients' investment objectives will consume this book from cover to cover."
—SEAN R. WALTERS, CEO/Executive Director, Investment Management Consultants Association®, the credentialing body for CIMA® certification "Dick has done it again! He has synthesized a vast body of knowledge into an incisive foundational tome for financial advisers. He uses the prism of historical returns to make sense of recent downturns and dispels common myths in various asset classes. For financial advisers seeking a solid foundation on which to base their advice, Portfolio Design is a must-read."
—STEPHEN M. HORAN, PHD, CFA, Head, Professional Education Content and Private Wealth, CFA Institute

Résumé
Portfolio Design choosing the right mix of assets appropriate to a particular investor is the key to successful investing. It can help you accumulate wealth over time, while cushioning the blow of possible economic downturns. But in order to successfully achieve this goal, you need to be familiar with all of the major asset classes that go into modern portfolios and learn how much they add to portfolio diversification. Thoughtful asset allocation provides discipline to the investment process and gives you the best chance of building and safeguarding wealth. Wharton Professor Richard C. Marston, 2014 recipient of the Investment Management Consultants Association's prestigious Matthew R. McArthur Award, will guide you through the major decisions that need to be made when designing a portfolio and will put you in the best position to balance the risk-reward relationship that is part of this endeavor.

Portfolio Design is to be read by investment advisors. The book is rich in information about individual asset classes, including both traditional assets like stocks and bonds as well as alternative assets such as hedge funds, private equity, real estate, and commodities. So it should appeal to all sophisticated advisors whether or not they are trying to qualify for one of the major investment designations. In fact, the book is designed to be read by any advisor who is as fascinated as Marston by the investment process.

Contenu

Preface xiii

Acknowledgements xv

About the Author xvii

About the Book xix

Disclaimers xxi

CHAPTER 1 Asset Allocation 1

Ingredients of Asset Allocation 3

Lessons of the Recent Downturn 6

So Are Bonds the Place to Invest? 10

So What Happens When the Economy Turns Up? 13

Some Necessary Tools for Analysis 15

Appendix: Description of the Statistical Tools 16

CHAPTER 2 Long-Run Returns on Stocks and Bonds 21

Stocks and Bonds Since 1951 22

How Much More Attractive Are Stocks than Bonds? 24

Real Returns 25

Reconsidering Bond Returns 27

Reconsidering Stock Returns 30

Alternative Estimates of Long-Run Stock Returns 32

Upper and Lower Bounds for Equity Returns 35

Appendix: Alternative Estimates of Stock Returns 36

CHAPTER 3 Small-Cap Stocks 41

What Do We Mean by Small-Cap Stocks? 43

Relative Performance of Large-Cap and Small-Cap StocksRussell Series 45

Relative Performance of Large-Cap and Small-Cap StocksSBBI Series 48

Relative Performance of Large-Cap and Small-Cap StocksBroader Analysis 50

Large-Cap and Small-Cap Stocks in a Portfolio Context 52

SummaryKey Features of Small-Cap Stocks 55

CHAPTER 4 Value and Growth Investing 57

Description of the Russell 1000 Indexes 57

Relative Performance of Growth and Value Indexes 59

Value and Growth Indexes for Earlier Periods 64

Relative Performance of Small-Cap Growth and Value Stocks 65

Portfolios with Growth and Value 69

SummaryKey Features of Growth and Value Stocks 71

CHAPTER 5 Foreign Stocks 73

Returns on Foreign and U.S. Stocks 75

Currency Capital Gains and Foreign Stock Returns 79

Diversification Benefits of Foreign St…