MAC投资
2006-12
John Wiley & Sons Inc
Fraser-Sampson, Guy
300
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.
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
