Stanyer P. Guide to investment strategy. How to understand markets, risk, rewards and behaviour. - New-York: Bloomberg Press, 2006. - xxii, 250 p.: ill. - (The economist). - ISBN ISBN 1-57660-237-0  Место хранения:   022 | Институт экономики и организации промышленного производства | Новосибирск

Оглавление / Contents

Foreword ...................................................... xix Introduction .................................................. xxi Part l The big picture 1 Setting the scene ............................................ 3 Think about risk before it hits you .......................... 5 Know your niche .............................................. 7 Box Base currency ........................................... 10 2 Understand your behaviour ................................... 11 Insights from behavioural finance ........................... 11 Investor biases ............................................. 13 Investor preferences ........................................ 15 Loss aversion Mental accounting and behavioural portfolio theory Investment strategy and behavioural finance ................. 18 Parameter uncertainty and behavioural finance ............... 20 Traditional finance, behavioural finance and evolution ................................................ 21 3 Market investment returns: will the markets make me rich? ................................................. 23 Sources of investment performance ........................... 23 Safe havens that provide different kinds of shelter ......... 25 Which government bonds will perform best? ................... 25 Box Is the break-even inflation rate the market's forecast? ....................................... 27 What premium return should bond investors expect? ........... 29 The equity risk premium ..................................... 31 Equity risk: don't bank on time diversifying risk ........... 35 4 The time horizon and the shape of strategy: start with no frills and few thrills ..................... 40 Short-term investment strategies ............................ 40 The chance of a bad outcome may be much higher than you think No all-seasons short-term strategy Box Do bonds provide insurance for short-term investors? ............................................ 45 Are you in it for the long term? ............................ 47 Time horizon for private and institutional wealth Long-term investors ......................................... 49 Financial planning and the time horizon "Safe havens", benchmarking, risk-taking and long-term strategies The danger of keeping things too simple Good and bad volatility Box Unexpected inflation: yet again the party pooper ................................................ 55 "Keep-it-simple" long-term asset allocation models Inflation, again Laddered government bonds: a useful safety-first portfolio Bond ladders, tax and creditworthiness: the case of US municipal bonds Box Orange County saga: What is a good-quality municipal bond? ....................................... 62 What's the catch in following one of these long-term strategies? Lifestyle investing: income from employment often helps to diversify investment risk ................................ 64 Long-term strategy: "imperfect information changes everything" ...................................... 65 Some "keep-it-simple" concluding messages ................... 66 5 Implementing "keep-it-simple" strategies .................... 68 Market timing: an unavoidable risk .......................... 68 Strongly held market views and the safe haven: the 1990s equity boom .................................... 70 Box Bubbles ................................................. 70 Should long-term investors hold more equities? .............. 74 Part 2 Implementing more complicated strategies 6 Setting the scene ........................................... 79 A health warning: liquidity risk ............................ 79 Behavioural finance, market efficiency and arbitrage opportunities .................................. 81 Barriers to arbitrage ....................................... 83 Fundamental risk and arbitrage Herd behaviour and arbitrage Implementation costs, market evolution and arbitrage Institutional wealth and private wealth: taxation ........... 87 7 Equities .................................................... 91 Concentrated stock positions in private portfolios .......... 91 Corporate executive remuneration programmes The restless shape of the equity market ..................... 93 Stockmarket anomalies and the fundamental insight of the Capital Asset Pricing Model ............... 94 "Small cap" and "large cap" ................................. 96 Don't get carried away by your "style" ...................... 99 Box Value and growth managers .............................. 100 Should cautious investors overweight value stocks? ......... 102 Equity dividends for cautious investors .................... 104 Home bias: how much international? ......................... 105 To hedge or not to hedge international equities ............ 110 International equities and liquidity risk .................. 113 8 Bonds, debt and credit ..................................... 115 Credit quality and the role of credit-rating agencies ................................................... 116 Portfolio diversification and credit risk .................. 120 Box Local currency emerging-market debt .................... 122 Securitisation and modern ways to invest in bond markets ............................................... 123 Mortgage-backed securities Box The role of mortgage-backed securities in meeting investment objectives ..................... 125 Asset-backed securities and collateralised debt obligations Who should invest in CDOs? International bonds and currency hedging ................... 130 What does it achieve? What does it cost? How easy is foreign exchange forecasting? 9 Hedge funds: try to keep it simple ......................... 136 What are hedge funds? ...................................... 136 What motivates hedge fund managers? ........................ 137 Are hedge fund fees too high? .............................. 138 The importance of skill in hedge fund returns .............. 140 Alternative sources of systematic return and risk .......... 142 Does the hedge fund industry face a capacity constraint? ............................................. 144 "Do hedge funds hedge?" .................................... 144 The quality of hedge fund performance data ................. 146 Types of hedge fund strategy ............................... 147 The size of the hedge fund market Directional strategies Global/macro Equity hedge, equity long/short and equity market neutral Short-selling or short-biased managers Long-only equity hedge funds Emerging-market hedge funds Fixed-income hedge funds: diversified Fixed income Fixed-income hedge funds: distressed debt Arbitrage strategies Fixed-income arbitrage Merger arbitrage Convertible arbitrage Statistical arbitrage Multi-strategy funds Commodity trading advisers (Managed futures funds) Hedge fund risk ............................................ 159 A little-regulated environment Operational risks Illiquid hedge fund investments and long notice periods Lies, damn lies, and some hedge fund risk statistics "Perfect storms" and hedge fund risk Managing investor risk: the role of hedge funds of funds How much should you allocate to hedge funds? ............... 164 Questions to ask ........................................... 166 Your hedge fund manager Your hedge fund adviser Your hedge fund of funds manager 10 Private equity: information-based returns .................. 170 What is private equity? .................................... 170 Private equity market risk ................................. 172 Private equity portfolios .................................. 175 Private equity returns ..................................... 176 Box Private investments, successful transactions and biases in appraisal valuations ...................... 178 11 Real estate ................................................ 179 What is real estate investing? ............................. 180 Box Using derivatives to gain real estate market exposure ......................................... 181 What are the attractions of investing in real estate? .................................................... 182 Diversification Income yield Inflation hedge Styles of real estate investing and opportunities for active management ................. 185 What is a property worth and how much return should you expect? ...................................... 186 Rental income Government bond yields as the benchmark for real estate investing Tenant credit risk Property obsolescence Private and public markets for real estate ................. 190 International diversification of real estate investment ................................................. 191 Currency risk and international real estate investing Appendices 1 Glossary ................................................... 194 2 Essential management information for investors ............. 210 3 Trusting your adviser ...................................... 217 4 Recommended reading ........................................ 220 Notes on sources .............................................. 229 Index ......................................................... 231