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CHAPTER 1
Overview of Investment Management 1
Setting Investment Objectives 2
Establishing an Investment Policy 4
Selecting a Portfolio Strategy 9
Constructing and Monitoring the Portfolio 10
Measuring and Evaluating Performance 11
References 11
PART ONE
Portfolio Theory and Asset Pricing 13
CHAPTER 2
Theory of Portfolio Selection 15
Some Basic Concepts 16
Measuring a Portfolio’s Expected Return 19
Measuring Portfolio Risk 21
Portfolio Diversifi cation 26
Choosing a Portfolio of Risky Assets 30
Index Model’s Approximations to the Covariance Structure 36
Summary 39
References 40
CHAPTER 3
Applying Mean-Variance Analysis 41
Using Historical Data to Estimate Inputs 42
Application of Portfolio Theory to Asset Allocation 46
Implementing the Optimal Portfolio 53
Summary 56
References 57
CHAPTER 4
Issues in the Theory of Portfolio Selection 59
Quick Review of Probability Theory 60
Limitations of the Variance as a Risk Measure 64
Desirable Features of Investment Risk Measures 68
Alternative Risk Measures for Portfolio Selection 74
Extensions of the Theory of Portfolio Selection 77
Behavioral Finance Attack on the Theory of Portfolio 80
Summary 82
References 84
CHAPTER 5
Asset Pricing Theories 89
Characteristics of an Asset Pricing Model 90
Capital Asset Pricing Model 91
Arbitrage Pricing Theory Model 102
Some Principles to Take Away 107
Summary 108
Appendix 109
References 117
PART TWO
Common Stock Analysis and Portfolio Management 119
CHAPTER 6
The U.S. Equity Markets 121
Exchange Market Structures 121
The U.S. Stock Markets: Exchanges and OTC Markets 125
Off-Exchange Markets and Alternative Electronic Markets 134
Evolving Stock Market Practices 138
Basic Functioning of Stock Markets 140
ummary 145
References 145
CHAPTER 7
Common Stock Strategies and Performance Evaluation 147
Market Effi ciency 147
Stock Market Indicators 149
Top-Down vs. Bottom-Up Approaches 152
Fundamental vs. Technical Analysis 153
Strategies Based on Technical Analysis 154
Strategies Based on Fundamental Analysis 161
Equity Style Investing 166
Passive Strategies 169
Measuring and Evaluating Performance 176
Summary 187
References 189
CHAPTER 8
Financial Analysis 193
Financial Ratio Analysis 194
Cash Flow Analysis 223
Usefulness of Cash Flows in Financial Analysis 235
Summary 241
References 242
CHAPTER 9
Applied Equity Valuation 245
Discounted Cash Flow Models 245
Relative Valuation Methods 266
DCF vs. RV Methods 272
Summary 275
References 276
CHAPTER 10
Forecasting Stock Returns 277
The Concept of Predictability 279
A Closer Look at Pricing Models 286
Predictive Return Models 287
Is Forecasting Markets Worth the Effort? 293
Summary 295
References 297
CHAPTER 11
Managing a Common Stock Portfolio with Fundamental Factor Models 299
Tracking Error 300
Fundamental Factor Model Description and Estimation 309
Risk Decomposition 312
Applications in Portfolio Construction and Risk Control 316
Summary 329
References 330
CHAPTER 12
Transaction Costs and Trade Execution in
Common Stock Portfolio Management 331
Trading Mechanics 332
Trading Arrangements for Institutional Investors 335
A Taxonomy of Transaction Costs 340
Liquidity and Transaction Costs 347
Market Impact Measurements and Empirical Findings 349
Forecasting and Modeling Market Impact 352
Incorporating Transaction Costs in Asset-Allocation Models 355
Optimal Trading 356
Integrated Portfolio Management:
Beyond Expected Return and Portfolio Risk 359
Summary 360
References 362
CHAPTER 13
Using Stock Index Futures and Equity Swaps in
Equity Portfolio Management 365
Derivatives Process 366
Basic Features of Futures Contracts 367
Basic Features of Stock Index Futures 373
Applications for Stock Index Futures 381
Equity Swaps 393
Summary 394
References 395
CHAPTER 14
Using Equity Options in Investment Management 397
Basic Features of Options 397
Basic Features of Listed Equity Options 400
Risk and Return Characteristics of Listed Options 402
The Option Price 410
Use of Listed Equity Options in Portfolio Management 415
OTC Equity Options: The Basics 421
Use of Exotic Equity Options 425
Summary 426
References 427
CHAPTER 15
Equity Option Pricing Models 429
Put-Call Parity Relationship 429
Option Pricing Models 431
Sensitivity of the Option Price to a Change in Factors 447
Estimating Expected Stock Return Volatility 452
Summary 453
References 454
PART THREE
Bond Analysis and Portfolio Management 455
CHAPTER 16
Bond Fundamentals and Risks 457
Features of Bonds 457
Risks Associated with Investing in Bonds 467
Summary 482
Appendix: Calculating Accrued Interest 484
References 486
CHAPTER 17
Treasury and Agency Securities, Corporate Bonds, and Municipal Bonds 487
Treasury Securities 487
Federal Agency Securities 490
Corporate Bonds 491
Municipal Bonds 495
Non-U.S. Bonds 501
Summary 504
References 505
CHAPTER 18
Structured Products: RMBS, CMBS, and ABS 507
Agency Residential Mortgage-Backed Securities 509
Private-Label Residential MBS 528
Mortgage-Related, Asset-Backed Securities: Subprime MBS 533
Commercial Mortgage-Backed Securities 537
Nonmortgage Asset-Backed Securities 540
Summary 546
References 547
CHAPTER 19
The Structure of Interest Rates 549
The Base Interest Rate 549
The Risk Premium Between Non-Treasury and
Treasury Securities with the Same Maturity 550
Factors Affecting the Risk Premium 551
Term Structure of Interest Rates 555
Summary 564
References 565
CHAPTER 20
Bond Pricing and Yield Measures 567
Pricing of Option-Free Bonds 567
Conventional Yield Measures 576
Portfolio Yield Measures 583
Total Return 585
Summary 592
CHAPTER 21
Bond Price Volatility and the Measurement of Interest Rate Risk 593
Price Volatility Properties of Option-Free Bonds 593
Factors that Affect a Bond’s Price Volatility 596
Measuring Interest Rate Risk Using the Price Value of a
Basis Point 596
Measuring Interest Rate Risk Using Duration and Convexity 598
Measuring Exposure to Yield Curve Changes
Key Rate Duration 610
Summary 611
References 612
CHAPTER 22
Valuing Bonds with Embedded Options 613
The Interest Rate Lattice 614
Calibrating the Lattice 618
Using the Lattice for Valuation 622
Using the Lattice Model to Value Bonds with
Embedded Options 625
Extensions 630
Summary 634
References 634
CHAPTER 23
Bond Portfolio Strategies 635
Bond Market Indexes 635
The Spectrum of Strategies 640
Value-Added Strategies 647
Using Factor Models to Manage a Portfolio 658
Liability-Driven Strategies 672
Summary 680
References 682
CHAPTER 24
Using Derivatives in Bond Portfolio Management 683
Using Treasury Bond and Note Futures Contracts in
Bond Portfolio Management 683
Use of Interest Rate Options in Bond Portfolio Management 692
Using Interest Rate Swaps in Bond Portfolio Management 704
Using Stock Index Futures and Treasury Bond Futures to
Implement an Asset Allocation Decision 715
Using Credit Default Swaps to Manage Credit Risk 716
Summary 720
References 722
PART FOUR
Investment Companies, Exchange-Traded Funds,
and Alternative Investments 723
CHAPTER 25
Investment Companies, Exchange-Traded Funds,
and Investment-Oriented Life Insurance 725
Investment Companies 725
Exchange-Traded Funds 739
Investment-Oriented Life Insurance 744
Summary 764
References 765
CHAPTER 26
Alternative Assets 767
Hedge Funds 767
Private Equity 786
Commodity Investments 798
Summary 806
References 807
APPENDIX
Measuring and Forecasting Yield Volatility 809
Calculating the Standard Deviation from Historical Data 809
Modeling and Forecasting Yield Volatility 814
Summary 825
References 825
Index 827

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