35986841_10216840653711318_1105697261150535680_n

Investments / Zvi Bodie, Boston University, Alex Kane, University of California, San Diego, Alan J. Marcus, Boston College

By: Bodie, Zvi [author]
Contributor(s): Kane, Alex, 1942- [author] | Marcus, Alan J [author]
Material type: TextTextSeries: McGraw-Hill/Irwin series in finance, insurance, and real estate: Publisher: New York : McGraw-Hill Education, [2014]Copyright date: ��2014Edition: Tenth editionDescription: 1 volume (various pagings) : illustrations ; 27 cmContent type: text Media type: unmediated Carrier type: volumeISBN: 9780077861674; 0077861671; 9780077161149; 0077161149Subject(s): Investments | Portfolio managementDDC classification: 332.6 LOC classification: HG4521 | .B564 2014HG4521 | .B564 2014
Contents:
Machine generated contents note: pt. I Introduction -- ch. 1 The Investment Environment -- 1.1. Real Assets versus Financial Assets -- 1.2. Financial Assets -- 1.3. Financial Markets and the Economy -- The Informational Role of Financial Markets/Consumption Timing/Allocation of Risk/Separation of Ownership and Management/Corporate Governance and Corporate Ethics -- 1.4. The Investment Process -- 1.5. Markets Are Competitive -- The Risk--Return Trade-Off/Efficient Markets -- 1.6. The Players -- Financial Intermediaries/Investment Bankers/Venture Capital and Private Equity -- 1.7. The Financial Crisis of 2008 -- Antecedents of the Crisis/Changes in Housing Finance/Mortgage Derivatives/Credit Default Swaps/The Rise of Systemic Risk/The Shoe Drops/The Dodd-Frank Reform Act -- 1.8. Outline of the Text -- End of Chapter Material -- ch. 2 Asset Classes and Financial Instruments -- 2.1. The Money Market
Contents note continued: Treasury Bills/Certificates of Deposit/Commercial Paper/Bankers ��cceptances/Eurodollars/Repos and Reverses/Federal Funds/Brokers' Calls/The LIBOR Market/Yields on Money Market Instruments -- 2.2. The Bond Market -- Treasury Notes and Bonds/Inflation-Protected Treasury Bonds/Federal Agency Debt/International Bonds/Municipal Bonds/Corporate Bonds/Mortgages and Mortgage-Backed Securities -- 2.3. Equity Securities -- Common Stock as Ownership Shares/Characteristics of Common Stock/Stock Market Listings/Preferred Stock/Depository Receipts -- 2.4. Stock and Bond Market Indexes -- Stock Market Indexes/Dow Jones Averages/Standard & Poor's Indexes/Other U.S. Market-Value Indexes/Equally Weighted Indexes/Foreign and International Stock Market Indexes/Bond Market Indicators -- 2.5. Derivative Markets -- Options/Futures Contracts -- End of Chapter Material -- ch. 3 How Securities Are Traded -- 3.1. How Firms Issue Securities
Contents note continued: Privately Held Firms/Publicly Traded Companies/Shelf Registration/Initial Public Offerings -- 3.2. How Securities Are Traded -- Types of Markets -- Direct Search Markets/Brokered Markets/Dealer Markets/Auction Markets -- Types of Orders -- Market Orders/Price-Contingent Orders -- Trading Mechanisms -- Dealer Markets/Electronic Communication Networks (ECNs) -- Specialist Markets -- 3.3. The Rise of Electronic Trading -- 3.4.U.S. Markets -- NASDAQ/The New York Stock Exchange/ECNs -- 3.5. New Trading Strategies -- Algorithmic Trading/High-Frequency Trading/Dark Pools/Bond Trading -- 3.6. Globalization of Stock Markets -- 3.7. Trading Costs -- 3.8. Buying on Margin -- 3.9. Short Sales -- 3.10. Regulation of Securities Markets -- Self-Regulation/The Sarbanes-Oxley Act/Insider Trading -- End of Chapter Material -- ch. 4 Mutual Funds and Other Investment Companies -- 4.1. Investment Companies -- 4.2. Types of Investment Companies
Contents note continued: Unit Investment Trusts/Managed Investment Companies/Other Investment Organizations -- Commingled Funds/Real Estate Investment Trusts (REITs)/Hedge Funds -- 4.3. Mutual Funds -- Investment Policies -- Money Market Funds/Equity Funds/Sector Funds/Bond Funds/International Funds/Balanced Funds/Asset Allocation and Flexible Funds/Index Funds How Funds Are Sold -- 4.4. Costs of Investing in Mutual Funds -- Fee Structure -- Operating Expenses/Front-End Load/Back-End Load/12b-1 Charges -- Fees and Mutual Fund Returns -- 4.5. Taxation of Mutual Fund Income -- 4.6. Exchange-Traded Funds -- 4.7. Mutual Fund Investment Performance: A First Look -- 4.8. Information on Mutual Funds -- End of Chapter Material -- pt. II Portfolio Theory and Practice -- ch. 5 Risk, Return, and the Historical Record -- 5.1. Determinants of the Level of Interest Rates
Contents note continued: Real and Nominal Rates of Interest/The Equilibrium Real Rate of Interest/The Equilibrium Nominal Rate of Interest/Taxes and the Real Rate of Interest -- 5.2.Comparing Rates of Return for Different Holding Periods -- Annual Percentage Rates/Continuous Compounding -- 5.3. Bills and Inflation, 1926--2012 -- 5.4. Risk and Risk Premiums -- Holding-Period Returns/Expected Return and Standard Deviation/Excess Returns and Risk Premiums -- 5.5. Time Series Analysis of Past Rates of Return -- Time Series versus Scenario Analysis/Expected Returns and the Arithmetic Average/The Geometric (Time-Weighted) Average Return/Variance and Standard Deviation/Mean and Standard Deviation Estimates from Higher-Frequency Observations/The Reward-to-Volatility (Sharpe) Ratio -- 5.6. The Normal Distribution -- 5.7. Deviations from Normality and Risk Measures
Contents note continued: Value at Risk/Expected Shortfall/Lower Partial Standard Deviation and the Sortino Ratio/Relative Frequency of Large, Negative 3-Sigma Returns -- 5.8. Historic Returns on Risky Portfolios -- Portfolio Returns/A Global View of the Historical Record -- 5.9. Long-Term Investments -- Normal and Lognormal Returns/Simulation of Long-Term Future Rates of Return/The Risk-Free Rate Revisited/Where Is Research on Rates of Return Headed?/Forecasts for the Long Haul -- End of Chapter Material -- ch. 6 Capital Allocation to Risky Assets -- 6.1. Risk and Risk Aversion -- Risk, Speculation, and Gambling/Risk Aversion and Utility Values/Estimating Risk Aversion -- 6.2. Capital Allocation across Risky and Risk-Free Portfolios -- 6.3. The Risk-Free Asset -- 6.4. Portfolios of One Risky Asset and a Risk-Free Asset -- 6.5. Risk Tolerance and Asset Allocation -- Nonnormal Returns -- 6.6. Passive Strategies: The Capital Market Line -- End of Chapter Material
Contents note continued: Appendix A Risk Aversion, Expected Utility, and the St. Petersburg Paradox -- Appendix B Utility Functions and Equilibrium Prices of Insurance Contracts -- Appendix C The Kelly Criterion -- ch. 7 Optimal Risky Portfolios -- 7.1. Diversification and Portfolio Risk -- 7.2. Portfolios of Two Risky Assets -- 7.3. Asset Allocation with Stocks, Bonds, and Bills -- Asset Allocation with Two Risky Asset Classes -- 7.4. The Markowitz Portfolio Optimization Model -- Security Selection/Capital Allocation and the Separation Property/The Power of Diversification/Asset Allocation and Security Selection/Optimal Portfolios and Nonnormal Returns -- 7.5. Risk Pooling, Risk Sharing, and the Risk of Long-Term Investments -- Risk Pooling and the Insurance Principle/Risk Sharing/Investment for the Long Run -- End of Chapter Material -- Appendix A A Spreadsheet Model for Efficient Diversification -- Appendix B Review of Portfolio Statistics -- ch. 8 Index Models
Contents note continued: 8.1.A Single-Factor Security Market -- The Input List of the Markowitz Model/Normality of Returns and Systematic Risk -- 8.2. The Single-Index Model -- The Regression Equation of the Single-Index Model/The Expected Return-Beta Relationship/Risk and Covariance in the Single-Index Model/The Set of Estimates Needed for the Single-Index Model/The Index Model and Diversification -- 8.3. Estimating the Single-Index Model -- The Security Characteristic Line for Hewlett-Packard/The Explanatory Power of the SCL for HP/Analysis of Variance/The Estimate of Alpha/The Estimate of Beta/Firm-Specific Risk/Correlation and Covariance Matrix -- 8.4. Portfolio Construction and the Single-Index Model -- Alpha and Security Analysis/The Index Portfolio as an Investment Asset/The Single-Index-Model Input List/The Optimal Risky Portfolio in the Single-Index Model/The Information Ratio/Summary of Optimization Procedure/An Example
Contents note continued: Risk Premium Forecasts/The Optimal Risky Portfolio -- 8.5. Practical Aspects of Portfolio Management with the Index Model -- Is the Index Model Inferior to the Full-Covariance Model?/The Industry Version of the Index Model/Predicting Betas/Index Models and Tracking Portfolios -- End of Chapter Material -- pt. III Equilibrium in Capital Markets -- ch. 9 The Capital Asset Pricing Model -- 9.1. The Capital Asset Pricing Model -- Why Do All Investors Hold the Market Portfolio?/The Passive Strategy Is Efficient/The Risk Premium of the Market Portfolio/Expected Returns on Individual Securities/The Security Market Line/The CAPM and the Single-Index Market -- 9.2. Assumptions and Extensions of the CAPM -- Assumptions of the CAPM/Challenges and Extensions to the CAPM/The Zero-Beta Model/Labor Income and Nontraded Assets/A Multiperiod Model and Hedge Portfolios/A Consumption-Based CAPM/Liquidity and the CAPM -- 9.3. The CAPM and the Academic World
Contents note continued: 9.4. The CAPM and the Investment Industry -- End of Chapter Material -- ch. 10 Arbitrage Pricing Theory and Multifactor Models of Risk and Return -- 10.1. Multifactor Models: An Overview -- Factor Models of Security Returns -- 10.2. Arbitrage Pricing Theory -- Arbitrage, Risk Arbitrage, and Equilibrium/Well-Diversified Portfolios/Diversification and Residual Risk in Practice/Executing Arbitrage/The No-Arbitrage Equation of the APT -- 10.3. The APT, the CAPM, and the Index Model -- The APT and the CAPM/The APT and Portfolio Optimization in a Single-Index Market -- 10.4.A Multifactor APT -- 10.5. The Fama-French (FF) Three-Factor Model -- End of Chapter Material -- ch. 11 The Efficient Market Hypothesis -- 11.1. Random Walks and the Efficient Market Hypothesis -- Competition as the Source of Efficiency/Versions of the Efficient Market Hypothesis -- 11.2. Implications of the EMH
Contents note continued: Technical Analysis/Fundamental Analysis/Active versus Passive Portfolio Management/The Role of Portfolio Management in an Efficient Market/Resource Allocation -- 11.3. Event Studies -- 11.4. Are Markets Efficient? -- The Issues -- The Magnitude Issue/The Selection Bias Issue/The Lucky Event Issue -- Weak-Form Tests: Patterns in Stock Returns -- Returns over Short Horizons/Returns over Long Horizons -- Predictors of Broad Market Returns/Semistrong Tests: Market Anomalies -- The Small-Firm-in-January Effect/The Neglected-Firm Effect and Liquidity Effects/Book-to-Market Ratios/Post-Earnings-Announcement Price Drift -- Strong-Form Tests: Inside Information/Interpreting the Anomalies -- Risk Premiums or Inefficiencies?/Anomalies or Data -- Mining?/Anomalies over Time -- Bubbles and Market Efficiency -- 11.5. Mutual Fund and Analyst Performance -- Stock Market Analysts/Mutual Fund Managers/So, Are Markets Efficient? -- End of Chapter Material
Contents note continued: ch. 12 Behavioral Finance and Technical Analysis -- 12.1. The Behavioral Critique -- Information Processing -- Forecasting Errors/Overconfidence/Conservatism/Sample Size Neglect and Representativeness -- Behavioral Biases -- Framing/Mental Accounting/Regret Avoidance Affect -- Prospect Theory -- Limits to Arbitrage -- Fundamental Risk/Implementation Costs/Model Risk -- Limits to Arbitrage and the Law of One Price -- "Siamese Twin" Companies/Equity Carve-Outs/Closed-End Funds -- Bubbles and Behavioral Economics/Evaluating the Behavioral Critique -- 12.2. Technical Analysis and Behavioral Finance -- Trends and Corrections -- Momentum and Moving Averages/Relative Strength/Breadth -- Sentiment Indicators -- Trin Statistic/Confidence Index/Put/Call Ratio -- A Warning -- End of Chapter Material -- ch. 13 Empirical Evidence on Security Returns -- 13.1. The Index Model and the Single-Factor APT -- The Expected Return-Beta Relationship
Contents note continued: Setting Up the Sample Data/Estimating the SCL/Estimating the SML Tests of the CAPM/The Market Index/Measurement Error in Beta -- 13.2. Tests of the Multifactor CAPM and APT -- Labor Income/Private (Nontraded) Business/Early Versions of the Multifactor CAPM and APT/A Macro Factor Model -- 13.3. Fama-French-Type Factor Models -- Size and B/M as Risk Factors/Behavioral Explanations/Momentum: A Fourth Factor -- 13.4. Liquidity and Asset Pricing -- 13.5. Consumption-Based Asset Pricing and the Equity Premium Puzzle -- Consumption Growth and Market Rates of Return/Expected versus Realized Returns/Survivorship Bias/Extensions to the Capm May Resolve the Equity Premium Puzzle/Liquidity and the Equity Premium Puzzle/Behavioral Explanations of the Equity Premium Puzzle -- End of Chapter Material -- pt. IV Fixed-Income Securities -- ch. 14 Bond Prices and Yields -- 14.1. Bond Characteristics -- Treasury Bonds and Notes -- Accrued Interest and Quoted Bond Prices
Contents note continued: Corporate Bonds -- Call Provisions on Corporate Bonds/Convertible Bonds/Puttable Bonds/Floating-Rate Bonds -- Preferred Stock/Other Domestic Issuers/International Bonds/Innovation in the Bond Market -- Inverse Floaters/Asset-Backed Bonds/Catastrophe -- Bonds/Indexed Bonds -- 14.2. Bond Pricing -- Bond Pricing between Coupon Dates -- 14.3. Bond Yields -- Yield to Maturity/Yield to Call/Realized Compound Return versus Yield to Maturity -- 14.4. Bond Prices over Time -- Yield to Maturity versus Holding-Period Return/Zero-Coupon Bonds and Treasury Strips/After-Tax Returns -- 14.5. Default Risk and Bond Pricing -- Junk Bonds/Determinants of Bond Safety/Bond Indentures -- Sinking Funds/Subordination of Further Debt/Dividend Restrictions/Collateral -- Yield to Maturity and Default Risk/Credit Default Swaps/Credit Risk and Collateralized Debt Obligations -- End of Chapter Material -- ch. 15 The Term Structure of Interest Rates -- 15.1. The Yield Curve
Contents note continued: Bond Pricing -- 15.2. The Yield Curve and Future Interest Rates -- The Yield Curve under Certainty/Holding-Period Returns/Forward Rates -- 15.3. Interest Rate Uncertainty and Forward Rates -- 15.4. Theories of the Term Structure -- The Expectations Hypothesis/Liquidity Preference -- 15.5. Interpreting the Term Structure -- 15.6. Forward Rates as Forward Contracts -- End of Chapter Material -- ch. 16 Managing Bond Portfolios -- 16.1. Interest Rate Risk -- Interest Rate Sensitivity/Duration/What Determines Duration? -- Rule 1 for Duration/Rule 2 for Duration/Rule 3 for Duration/Rule 4 for Duration/Rule 5 for Duration -- 16.2. Convexity -- Why Do Investors Like Convexity?/Duration and Convexity of Callable Bonds/Duration and Convexity of Mortgage-Backed Securities -- 16.3. Passive Bond Management -- Bond-Index Funds/Immunization/Cash Flow Matching and Dedication/Other Problems with Conventional Immunization -- 16.4. Active Bond Management
Contents note continued: Sources of Potential Profit/Horizon Analysis -- End of Chapter Material -- pt. V Security Analysis -- ch. 17 Macroeconomic and Industry Analysis -- 17.1. The Global Economy -- 17.2. The Domestic Macroeconomy -- 17.3. Demand and Supply Shocks -- 17.4. Federal Government Policy -- Fiscal Policy/Monetary Policy/Supply-Side Policies -- 17.5. Business Cycles -- The Business Cycle/Economic Indicators/Other Indicators -- 17.6. Industry Analysis -- Defining an Industry/Sensitivity to the Business Cycle/Sector Rotation/Industry Life Cycles -- Start-Up Stage/Consolidation Stage/Maturity Stage/Relative Decline -- Industry Structure and Performance -- Threat of Entry/Rivalry between Existing Competitors/Pressure from Substitute Products/Bargaining Power of Buyers/Bargaining Power of Suppliers -- End of Chapter Material -- ch. 18 Equity Valuation Models -- 18.1. Valuation by Comparables -- Limitations of Book Value -- 18.2. Intrinsic Value versus Market Price
Contents note continued: 18.3. Dividend Discount Models -- The Constant-Growth DDM/Convergence of Price to Intrinsic Value/Stock Prices and Investment Opportunities/Life Cycles and Multistage Growth Models/Multistage Growth Models -- 18.4. Price-Earnings Ratio -- The Price-Earnings Ratio and Growth Opportunities/P/E Ratios and Stock Risk/Pitfalls in P/E Analysis/Combining P/E Analysis and the DDM/Other Comparative Valuation Ratios -- Price-to-Book Ratio/Price-to-Cash-Flow Ratio/Price-to-Sales Ratio -- 18.5. Free Cash Flow Valuation Approaches -- Comparing the Valuation Models/The Problem with DCF Models -- 18.6. The Aggregate Stock Market -- End of Chapter Material -- ch. 19 Financial Statement Analysis -- 19.1. The Major Financial Statements -- The Income Statement/The Balance Sheet/The Statement of Cash Flows -- 19.2. Measuring Firm Performance -- 19.3. Profitability Measures
Contents note continued: Return on Assets, ROA/Return on Capital, ROC/Return on Equity, ROE/Financial Leverage and ROE/Economic Value Added -- 19.4. Ratio Analysis -- Decomposition of ROE/Turnover and Other Asset Utilization Ratios/Liquidity Ratios/Market Price Ratios: Growth versus Value/Choosing a Benchmark -- 19.5. An Illustration of Financial Statement Analysis -- 19.6.Comparability Problems -- Inventory Valuation/Depreciation/Inflation and Interest Expense/Fair Value Accounting/Quality of Earnings and Accounting Practices/International Accounting Conventions -- 19.7. Value Investing: The Graham Technique -- End of Chapter Material -- pt. VI Options, Futures, and Other Derivatives -- ch. 20 Options Markets: Introduction -- 20.1. The Option Contract -- Options Trading/American and European Options/Adjustments in Option Contract Terms/The Options Clearing Corporation/Other Listed Options -- Index Options/Futures Options/Foreign Currency Options/Interest Rate Options
Contents note continued: 20.2. Values of Options at Expiration -- Call Options/Put Options/Option versus Stock Investments -- 20.3. Option Strategies -- Protective Put/Covered Calls/Straddle/Spreads/Collars -- 20.4. The Put-Call Parity Relationship -- 20.5. Option-Like Securities -- Callable Bonds/Convertible Securities/Warrants/Collateralized Loans/Levered Equity and Risky Debt -- 20.6. Financial Engineering -- 20.7. Exotic Options -- Asian Options/Barrier Options/Lookback Options/Currency-Translated Options/Digital Options -- End of Chapter Material -- ch. 21 Option Valuation -- 21.1. Option Valuation: Introduction -- Intrinsic and Time Values/Determinants of Option Values -- 21.2. Restrictions on Option Values -- Restrictions on the Value of a Call Option/Early Exercise and Dividends/Early Exercise of American Puts -- 21.3. Binomial Option Pricing -- Two-State Option Pricing/Generalizing the Two-State Approach/Making the Valuation Model Practical
Contents note continued: 21.4. Black-Scholes Option Valuation -- The Black-Scholes Formula/Dividends and Call Option Valuation/Put Option Valuation/Dividends and Put Option Valuation -- 21.5. Using the Black-Scholes Formula -- Hedge Ratios and the Black-Scholes Formula/Portfolio Insurance/Option Pricing and the Crisis of 2008--2009/Option Pricing and Portfolio Theory/Hedging Bets on Mispriced Options -- 21.6. Empirical Evidence on Option Pricing -- End of Chapter Material -- ch. 22 Futures Markets -- 22.1. The Futures Contract -- The Basics of Futures Contracts/Existing Contracts -- 22.2. Trading Mechanics -- The Clearinghouse and Open Interest/The Margin Account and Marking to Market/Cash versus Actual Delivery/Regulations/Taxation -- 22.3. Futures Markets Strategies -- Hedging and Speculation/Basis Risk and Hedging -- 22.4. Futures Prices -- The Spot-Futures Parity Theorem/Spreads/Forward versus Futures Pricing -- 22.5. Futures Prices versus Expected Spot Prices
Contents note continued: Expectations Hypothesis/Normal Backwardation/Contango/Modem Portfolio Theory -- End of Chapter Material -- ch. 23 Futures, Swaps, and Risk Management -- 23.1. Foreign Exchange Futures -- The Markets/Interest Rate Parity/Direct versus Indirect Quotes/Using Futures to Manage Exchange Rate Risk -- 23.2. Stock-Index Futures -- The Contracts/Creating Synthetic Stock Positions: An Asset Allocation Tool/Index Arbitrage/Using Index Futures to Hedge Market Risk -- 23.3. Interest Rate Futures -- Hedging Interest Rate Risk -- 23.4. Swaps -- Swaps and Balance Sheet Restructuring/The Swap Dealer/Other Interest Rate Contracts/Swap Pricing/Credit Risk in the Swap Market/Credit Default Swaps -- 23.5.Commodity Futures Pricing -- Pricing with Storage Costs/Discounted Cash Flow Analysis for Commodity Futures -- End of Chapter Material -- pt. VII Applied Portfolio Management -- ch. 24 Portfolio Performance Evaluation -- 24.1. The Conventional Theory of Performance Evaluation
Contents note continued: Average Rates of Return/Time-Weighted Returns versus Dollar-Weighted Returns/Dollar-Weighted Return and Investment Performance/Adjusting Returns for Risk/The M2 Measure of Performance/Sharpe's Ratio Is the Criterion for Overall Portfolios/Appropriate Performance Measures in Two Scenarios -- Jane's Portfolio Represents Her Entire Risky Investment Fund/Jane's Choice Portfolio Is One of Many Portfolios Combined into a Large-Investment Fund The Role of Alpha in Performance Measures/Actual Performance Measurement: An Example/Performance Manipulation and the Morningstar Risk-Adjusted Rating/Realized Returns versus Expected [ect.] -- 24.2. Performance Measurement for Hedge Funds -- 24.3. Performance Measurement with Changing Portfolio Composition -- 24.4. Market Timing -- The Potential Value of Market Timing/Valuing Market Timing as a Call Option/The Value of Imperfect Forecasting -- 24.5. Style Analysis
Contents note continued: Style Analysis and Multifactor Benchmarks/Style Analysis in Excel -- 24.6. Performance Attribution Procedures -- Asset Allocation Decisions/Sector and Security Selection Decisions/Summing Up Component Contributions -- End of Chapter Material -- ch. 25 International Diversification -- 25.1. Global Markets for Equities -- Developed Countries/Emerging Markets/Market Capitalization and GDP/Home-Country Bias -- 25.2. Risk Factors in International Investing -- Exchange Rate Risk/Political Risk -- 25.3. International Investing: Risk, Return, and Benefits from Diversification
Contents note continued: Risk and Return: Summary Statistics/Are Investments in Emerging Markets Riskier?/Are Average Returns Higher in Emerging Markets?/Is Exchange Rate Risk Important in International Portfolios?/Benefits from International Diversification/Misleading Representation of Diversification Benefits/Realistic Benefits from International Diversification/Are Benefits from International Diversification Preserved in Bear [ect.] -- 25.4. Assessing the Potential of International Diversification -- 25.5. International Investing and Performance Attribution -- Constructing a Benchmark Portfolio of Foreign Assets/Performance Attribution -- End of Chapter Material -- ch. 26 Hedge Funds -- 26.1. Hedge Funds versus Mutual Funds -- 26.2. Hedge Fund Strategies -- Directional and Nondirectional Strategies/Statistical Arbitrage -- 26.3. Portable Alpha -- An Example of a Pure Play -- 26.4. Style Analysis for Hedge Funds -- 26.5. Performance Measurement for Hedge Funds
Contents note continued: Liquidity and Hedge Fund Performance/Hedge Fund Performance and Survivorship Bias/Hedge Fund Performance and Changing Factor Loadings/Tail Events and Hedge Fund Performance -- 26.6. Fee Structure in Hedge Funds -- End of Chapter Material -- ch. 27 The Theory of Active Portfolio Management -- 27.1. Optimal Portfolios and Alpha Values -- Forecasts of Alpha Values and Extreme Portfolio Weights/Restriction of Benchmark Risk -- 27.2. The Treynor-Black Model and Forecast Precision -- Adjusting Forecasts for the Precision of Alpha/Distribution of Alpha Values/Organizational Structure and Performance -- 27.3. The Black-Litterman Model -- Black-Litterman Asset Allocation Decision/Step 1: The Covariance Matrix from Historical Data/Step 2: Determination of a Baseline Forecast/Step 3: Integrating the Manager's Private Views/Step 4: Revised (Posterior) Expectations/Step 5: Portfolio Optimization -- 27.4. Treynor-Black versus Black-Litterman: Complements, Not Substitutes
Contents note continued: The BL Model as Icing on the TB Cake/Why Not Replace the Entire TB Cake with the BL Icing? -- 27.5. The Value of Active Management -- A Model for the Estimation of Potential Fees/Results from the Distribution of Actual Information Ratios/Results from Distribution of Actual Forecasts/Results with Reasonable Forecasting Records -- 27.6. Concluding Remarks on Active Management -- End of Chapter Material -- Appendix A Forecasts and Realizations of Alpha -- Appendix B The General Black-Litterman Model -- ch. 28 Investment Policy and the Framework of the CFA Institute -- 28.1. The Investment Management Process -- Objectives/Individual Investors/Personal Trusts/Mutual Funds/Pension Funds/Endowment Funds/Life Insurance Companies/Non-Life Insurance Companies/Banks -- 28.2. Constraints -- Liquidity/Investment Horizon/Regulations/Tax Considerations/Unique Needs -- 28.3. Policy Statements -- Sample Policy Statements for Individual Investors -- 28.4. Asset Allocation
Contents note continued: Taxes and Asset Allocation -- 28.5. Managing Portfolios of Individual Investors -- Human Capital and Insurance/Investment in Residence/Saving for Retirement and the Assumption of Risk/Retirement Planning Models/Manage Your Own Portfolio or Rely on Others?/Tax Sheltering -- The Tax-Deferral Option/Tax-Deferred Retirement Plans/Deferred Annuities/Variable and Universal Life Insurance -- 28.6. Pension Funds -- Defined Contribution Plans/Defined Benefit Plans/Pension Investment Strategies -- Investing in Equities/Wrong Reasons to Invest in Equities -- 28.7. Investments for the Long Run -- Target Investing and the Term Structure of Bonds/Making Simple Investment Choices/Inflation Risk and Long-Term Investors -- End of Chapter Material
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Books Books Centeral Library
First floor - Management
332.6 B.Z.I 2014 (Browse shelf) Available 21922
Books Books Centeral Library
First floor - Management
332.6 B.Z.I 2014 (Browse shelf) Available 21923
Books Books Centeral Library
First floor - Management
332.6 B.Z.I 2014 (Browse shelf) Available 21921

Includes bibliographical references and indexes

Machine generated contents note: pt. I Introduction -- ch. 1 The Investment Environment -- 1.1. Real Assets versus Financial Assets -- 1.2. Financial Assets -- 1.3. Financial Markets and the Economy -- The Informational Role of Financial Markets/Consumption Timing/Allocation of Risk/Separation of Ownership and Management/Corporate Governance and Corporate Ethics -- 1.4. The Investment Process -- 1.5. Markets Are Competitive -- The Risk--Return Trade-Off/Efficient Markets -- 1.6. The Players -- Financial Intermediaries/Investment Bankers/Venture Capital and Private Equity -- 1.7. The Financial Crisis of 2008 -- Antecedents of the Crisis/Changes in Housing Finance/Mortgage Derivatives/Credit Default Swaps/The Rise of Systemic Risk/The Shoe Drops/The Dodd-Frank Reform Act -- 1.8. Outline of the Text -- End of Chapter Material -- ch. 2 Asset Classes and Financial Instruments -- 2.1. The Money Market

Contents note continued: Treasury Bills/Certificates of Deposit/Commercial Paper/Bankers ��cceptances/Eurodollars/Repos and Reverses/Federal Funds/Brokers' Calls/The LIBOR Market/Yields on Money Market Instruments -- 2.2. The Bond Market -- Treasury Notes and Bonds/Inflation-Protected Treasury Bonds/Federal Agency Debt/International Bonds/Municipal Bonds/Corporate Bonds/Mortgages and Mortgage-Backed Securities -- 2.3. Equity Securities -- Common Stock as Ownership Shares/Characteristics of Common Stock/Stock Market Listings/Preferred Stock/Depository Receipts -- 2.4. Stock and Bond Market Indexes -- Stock Market Indexes/Dow Jones Averages/Standard & Poor's Indexes/Other U.S. Market-Value Indexes/Equally Weighted Indexes/Foreign and International Stock Market Indexes/Bond Market Indicators -- 2.5. Derivative Markets -- Options/Futures Contracts -- End of Chapter Material -- ch. 3 How Securities Are Traded -- 3.1. How Firms Issue Securities

Contents note continued: Privately Held Firms/Publicly Traded Companies/Shelf Registration/Initial Public Offerings -- 3.2. How Securities Are Traded -- Types of Markets -- Direct Search Markets/Brokered Markets/Dealer Markets/Auction Markets -- Types of Orders -- Market Orders/Price-Contingent Orders -- Trading Mechanisms -- Dealer Markets/Electronic Communication Networks (ECNs) -- Specialist Markets -- 3.3. The Rise of Electronic Trading -- 3.4.U.S. Markets -- NASDAQ/The New York Stock Exchange/ECNs -- 3.5. New Trading Strategies -- Algorithmic Trading/High-Frequency Trading/Dark Pools/Bond Trading -- 3.6. Globalization of Stock Markets -- 3.7. Trading Costs -- 3.8. Buying on Margin -- 3.9. Short Sales -- 3.10. Regulation of Securities Markets -- Self-Regulation/The Sarbanes-Oxley Act/Insider Trading -- End of Chapter Material -- ch. 4 Mutual Funds and Other Investment Companies -- 4.1. Investment Companies -- 4.2. Types of Investment Companies

Contents note continued: Unit Investment Trusts/Managed Investment Companies/Other Investment Organizations -- Commingled Funds/Real Estate Investment Trusts (REITs)/Hedge Funds -- 4.3. Mutual Funds -- Investment Policies -- Money Market Funds/Equity Funds/Sector Funds/Bond Funds/International Funds/Balanced Funds/Asset Allocation and Flexible Funds/Index Funds How Funds Are Sold -- 4.4. Costs of Investing in Mutual Funds -- Fee Structure -- Operating Expenses/Front-End Load/Back-End Load/12b-1 Charges -- Fees and Mutual Fund Returns -- 4.5. Taxation of Mutual Fund Income -- 4.6. Exchange-Traded Funds -- 4.7. Mutual Fund Investment Performance: A First Look -- 4.8. Information on Mutual Funds -- End of Chapter Material -- pt. II Portfolio Theory and Practice -- ch. 5 Risk, Return, and the Historical Record -- 5.1. Determinants of the Level of Interest Rates

Contents note continued: Real and Nominal Rates of Interest/The Equilibrium Real Rate of Interest/The Equilibrium Nominal Rate of Interest/Taxes and the Real Rate of Interest -- 5.2.Comparing Rates of Return for Different Holding Periods -- Annual Percentage Rates/Continuous Compounding -- 5.3. Bills and Inflation, 1926--2012 -- 5.4. Risk and Risk Premiums -- Holding-Period Returns/Expected Return and Standard Deviation/Excess Returns and Risk Premiums -- 5.5. Time Series Analysis of Past Rates of Return -- Time Series versus Scenario Analysis/Expected Returns and the Arithmetic Average/The Geometric (Time-Weighted) Average Return/Variance and Standard Deviation/Mean and Standard Deviation Estimates from Higher-Frequency Observations/The Reward-to-Volatility (Sharpe) Ratio -- 5.6. The Normal Distribution -- 5.7. Deviations from Normality and Risk Measures

Contents note continued: Value at Risk/Expected Shortfall/Lower Partial Standard Deviation and the Sortino Ratio/Relative Frequency of Large, Negative 3-Sigma Returns -- 5.8. Historic Returns on Risky Portfolios -- Portfolio Returns/A Global View of the Historical Record -- 5.9. Long-Term Investments -- Normal and Lognormal Returns/Simulation of Long-Term Future Rates of Return/The Risk-Free Rate Revisited/Where Is Research on Rates of Return Headed?/Forecasts for the Long Haul -- End of Chapter Material -- ch. 6 Capital Allocation to Risky Assets -- 6.1. Risk and Risk Aversion -- Risk, Speculation, and Gambling/Risk Aversion and Utility Values/Estimating Risk Aversion -- 6.2. Capital Allocation across Risky and Risk-Free Portfolios -- 6.3. The Risk-Free Asset -- 6.4. Portfolios of One Risky Asset and a Risk-Free Asset -- 6.5. Risk Tolerance and Asset Allocation -- Nonnormal Returns -- 6.6. Passive Strategies: The Capital Market Line -- End of Chapter Material

Contents note continued: Appendix A Risk Aversion, Expected Utility, and the St. Petersburg Paradox -- Appendix B Utility Functions and Equilibrium Prices of Insurance Contracts -- Appendix C The Kelly Criterion -- ch. 7 Optimal Risky Portfolios -- 7.1. Diversification and Portfolio Risk -- 7.2. Portfolios of Two Risky Assets -- 7.3. Asset Allocation with Stocks, Bonds, and Bills -- Asset Allocation with Two Risky Asset Classes -- 7.4. The Markowitz Portfolio Optimization Model -- Security Selection/Capital Allocation and the Separation Property/The Power of Diversification/Asset Allocation and Security Selection/Optimal Portfolios and Nonnormal Returns -- 7.5. Risk Pooling, Risk Sharing, and the Risk of Long-Term Investments -- Risk Pooling and the Insurance Principle/Risk Sharing/Investment for the Long Run -- End of Chapter Material -- Appendix A A Spreadsheet Model for Efficient Diversification -- Appendix B Review of Portfolio Statistics -- ch. 8 Index Models

Contents note continued: 8.1.A Single-Factor Security Market -- The Input List of the Markowitz Model/Normality of Returns and Systematic Risk -- 8.2. The Single-Index Model -- The Regression Equation of the Single-Index Model/The Expected Return-Beta Relationship/Risk and Covariance in the Single-Index Model/The Set of Estimates Needed for the Single-Index Model/The Index Model and Diversification -- 8.3. Estimating the Single-Index Model -- The Security Characteristic Line for Hewlett-Packard/The Explanatory Power of the SCL for HP/Analysis of Variance/The Estimate of Alpha/The Estimate of Beta/Firm-Specific Risk/Correlation and Covariance Matrix -- 8.4. Portfolio Construction and the Single-Index Model -- Alpha and Security Analysis/The Index Portfolio as an Investment Asset/The Single-Index-Model Input List/The Optimal Risky Portfolio in the Single-Index Model/The Information Ratio/Summary of Optimization Procedure/An Example

Contents note continued: Risk Premium Forecasts/The Optimal Risky Portfolio -- 8.5. Practical Aspects of Portfolio Management with the Index Model -- Is the Index Model Inferior to the Full-Covariance Model?/The Industry Version of the Index Model/Predicting Betas/Index Models and Tracking Portfolios -- End of Chapter Material -- pt. III Equilibrium in Capital Markets -- ch. 9 The Capital Asset Pricing Model -- 9.1. The Capital Asset Pricing Model -- Why Do All Investors Hold the Market Portfolio?/The Passive Strategy Is Efficient/The Risk Premium of the Market Portfolio/Expected Returns on Individual Securities/The Security Market Line/The CAPM and the Single-Index Market -- 9.2. Assumptions and Extensions of the CAPM -- Assumptions of the CAPM/Challenges and Extensions to the CAPM/The Zero-Beta Model/Labor Income and Nontraded Assets/A Multiperiod Model and Hedge Portfolios/A Consumption-Based CAPM/Liquidity and the CAPM -- 9.3. The CAPM and the Academic World

Contents note continued: 9.4. The CAPM and the Investment Industry -- End of Chapter Material -- ch. 10 Arbitrage Pricing Theory and Multifactor Models of Risk and Return -- 10.1. Multifactor Models: An Overview -- Factor Models of Security Returns -- 10.2. Arbitrage Pricing Theory -- Arbitrage, Risk Arbitrage, and Equilibrium/Well-Diversified Portfolios/Diversification and Residual Risk in Practice/Executing Arbitrage/The No-Arbitrage Equation of the APT -- 10.3. The APT, the CAPM, and the Index Model -- The APT and the CAPM/The APT and Portfolio Optimization in a Single-Index Market -- 10.4.A Multifactor APT -- 10.5. The Fama-French (FF) Three-Factor Model -- End of Chapter Material -- ch. 11 The Efficient Market Hypothesis -- 11.1. Random Walks and the Efficient Market Hypothesis -- Competition as the Source of Efficiency/Versions of the Efficient Market Hypothesis -- 11.2. Implications of the EMH

Contents note continued: Technical Analysis/Fundamental Analysis/Active versus Passive Portfolio Management/The Role of Portfolio Management in an Efficient Market/Resource Allocation -- 11.3. Event Studies -- 11.4. Are Markets Efficient? -- The Issues -- The Magnitude Issue/The Selection Bias Issue/The Lucky Event Issue -- Weak-Form Tests: Patterns in Stock Returns -- Returns over Short Horizons/Returns over Long Horizons -- Predictors of Broad Market Returns/Semistrong Tests: Market Anomalies -- The Small-Firm-in-January Effect/The Neglected-Firm Effect and Liquidity Effects/Book-to-Market Ratios/Post-Earnings-Announcement Price Drift -- Strong-Form Tests: Inside Information/Interpreting the Anomalies -- Risk Premiums or Inefficiencies?/Anomalies or Data -- Mining?/Anomalies over Time -- Bubbles and Market Efficiency -- 11.5. Mutual Fund and Analyst Performance -- Stock Market Analysts/Mutual Fund Managers/So, Are Markets Efficient? -- End of Chapter Material

Contents note continued: ch. 12 Behavioral Finance and Technical Analysis -- 12.1. The Behavioral Critique -- Information Processing -- Forecasting Errors/Overconfidence/Conservatism/Sample Size Neglect and Representativeness -- Behavioral Biases -- Framing/Mental Accounting/Regret Avoidance Affect -- Prospect Theory -- Limits to Arbitrage -- Fundamental Risk/Implementation Costs/Model Risk -- Limits to Arbitrage and the Law of One Price -- "Siamese Twin" Companies/Equity Carve-Outs/Closed-End Funds -- Bubbles and Behavioral Economics/Evaluating the Behavioral Critique -- 12.2. Technical Analysis and Behavioral Finance -- Trends and Corrections -- Momentum and Moving Averages/Relative Strength/Breadth -- Sentiment Indicators -- Trin Statistic/Confidence Index/Put/Call Ratio -- A Warning -- End of Chapter Material -- ch. 13 Empirical Evidence on Security Returns -- 13.1. The Index Model and the Single-Factor APT -- The Expected Return-Beta Relationship

Contents note continued: Setting Up the Sample Data/Estimating the SCL/Estimating the SML Tests of the CAPM/The Market Index/Measurement Error in Beta -- 13.2. Tests of the Multifactor CAPM and APT -- Labor Income/Private (Nontraded) Business/Early Versions of the Multifactor CAPM and APT/A Macro Factor Model -- 13.3. Fama-French-Type Factor Models -- Size and B/M as Risk Factors/Behavioral Explanations/Momentum: A Fourth Factor -- 13.4. Liquidity and Asset Pricing -- 13.5. Consumption-Based Asset Pricing and the Equity Premium Puzzle -- Consumption Growth and Market Rates of Return/Expected versus Realized Returns/Survivorship Bias/Extensions to the Capm May Resolve the Equity Premium Puzzle/Liquidity and the Equity Premium Puzzle/Behavioral Explanations of the Equity Premium Puzzle -- End of Chapter Material -- pt. IV Fixed-Income Securities -- ch. 14 Bond Prices and Yields -- 14.1. Bond Characteristics -- Treasury Bonds and Notes -- Accrued Interest and Quoted Bond Prices

Contents note continued: Corporate Bonds -- Call Provisions on Corporate Bonds/Convertible Bonds/Puttable Bonds/Floating-Rate Bonds -- Preferred Stock/Other Domestic Issuers/International Bonds/Innovation in the Bond Market -- Inverse Floaters/Asset-Backed Bonds/Catastrophe -- Bonds/Indexed Bonds -- 14.2. Bond Pricing -- Bond Pricing between Coupon Dates -- 14.3. Bond Yields -- Yield to Maturity/Yield to Call/Realized Compound Return versus Yield to Maturity -- 14.4. Bond Prices over Time -- Yield to Maturity versus Holding-Period Return/Zero-Coupon Bonds and Treasury Strips/After-Tax Returns -- 14.5. Default Risk and Bond Pricing -- Junk Bonds/Determinants of Bond Safety/Bond Indentures -- Sinking Funds/Subordination of Further Debt/Dividend Restrictions/Collateral -- Yield to Maturity and Default Risk/Credit Default Swaps/Credit Risk and Collateralized Debt Obligations -- End of Chapter Material -- ch. 15 The Term Structure of Interest Rates -- 15.1. The Yield Curve

Contents note continued: Bond Pricing -- 15.2. The Yield Curve and Future Interest Rates -- The Yield Curve under Certainty/Holding-Period Returns/Forward Rates -- 15.3. Interest Rate Uncertainty and Forward Rates -- 15.4. Theories of the Term Structure -- The Expectations Hypothesis/Liquidity Preference -- 15.5. Interpreting the Term Structure -- 15.6. Forward Rates as Forward Contracts -- End of Chapter Material -- ch. 16 Managing Bond Portfolios -- 16.1. Interest Rate Risk -- Interest Rate Sensitivity/Duration/What Determines Duration? -- Rule 1 for Duration/Rule 2 for Duration/Rule 3 for Duration/Rule 4 for Duration/Rule 5 for Duration -- 16.2. Convexity -- Why Do Investors Like Convexity?/Duration and Convexity of Callable Bonds/Duration and Convexity of Mortgage-Backed Securities -- 16.3. Passive Bond Management -- Bond-Index Funds/Immunization/Cash Flow Matching and Dedication/Other Problems with Conventional Immunization -- 16.4. Active Bond Management

Contents note continued: Sources of Potential Profit/Horizon Analysis -- End of Chapter Material -- pt. V Security Analysis -- ch. 17 Macroeconomic and Industry Analysis -- 17.1. The Global Economy -- 17.2. The Domestic Macroeconomy -- 17.3. Demand and Supply Shocks -- 17.4. Federal Government Policy -- Fiscal Policy/Monetary Policy/Supply-Side Policies -- 17.5. Business Cycles -- The Business Cycle/Economic Indicators/Other Indicators -- 17.6. Industry Analysis -- Defining an Industry/Sensitivity to the Business Cycle/Sector Rotation/Industry Life Cycles -- Start-Up Stage/Consolidation Stage/Maturity Stage/Relative Decline -- Industry Structure and Performance -- Threat of Entry/Rivalry between Existing Competitors/Pressure from Substitute Products/Bargaining Power of Buyers/Bargaining Power of Suppliers -- End of Chapter Material -- ch. 18 Equity Valuation Models -- 18.1. Valuation by Comparables -- Limitations of Book Value -- 18.2. Intrinsic Value versus Market Price

Contents note continued: 18.3. Dividend Discount Models -- The Constant-Growth DDM/Convergence of Price to Intrinsic Value/Stock Prices and Investment Opportunities/Life Cycles and Multistage Growth Models/Multistage Growth Models -- 18.4. Price-Earnings Ratio -- The Price-Earnings Ratio and Growth Opportunities/P/E Ratios and Stock Risk/Pitfalls in P/E Analysis/Combining P/E Analysis and the DDM/Other Comparative Valuation Ratios -- Price-to-Book Ratio/Price-to-Cash-Flow Ratio/Price-to-Sales Ratio -- 18.5. Free Cash Flow Valuation Approaches -- Comparing the Valuation Models/The Problem with DCF Models -- 18.6. The Aggregate Stock Market -- End of Chapter Material -- ch. 19 Financial Statement Analysis -- 19.1. The Major Financial Statements -- The Income Statement/The Balance Sheet/The Statement of Cash Flows -- 19.2. Measuring Firm Performance -- 19.3. Profitability Measures

Contents note continued: Return on Assets, ROA/Return on Capital, ROC/Return on Equity, ROE/Financial Leverage and ROE/Economic Value Added -- 19.4. Ratio Analysis -- Decomposition of ROE/Turnover and Other Asset Utilization Ratios/Liquidity Ratios/Market Price Ratios: Growth versus Value/Choosing a Benchmark -- 19.5. An Illustration of Financial Statement Analysis -- 19.6.Comparability Problems -- Inventory Valuation/Depreciation/Inflation and Interest Expense/Fair Value Accounting/Quality of Earnings and Accounting Practices/International Accounting Conventions -- 19.7. Value Investing: The Graham Technique -- End of Chapter Material -- pt. VI Options, Futures, and Other Derivatives -- ch. 20 Options Markets: Introduction -- 20.1. The Option Contract -- Options Trading/American and European Options/Adjustments in Option Contract Terms/The Options Clearing Corporation/Other Listed Options -- Index Options/Futures Options/Foreign Currency Options/Interest Rate Options

Contents note continued: 20.2. Values of Options at Expiration -- Call Options/Put Options/Option versus Stock Investments -- 20.3. Option Strategies -- Protective Put/Covered Calls/Straddle/Spreads/Collars -- 20.4. The Put-Call Parity Relationship -- 20.5. Option-Like Securities -- Callable Bonds/Convertible Securities/Warrants/Collateralized Loans/Levered Equity and Risky Debt -- 20.6. Financial Engineering -- 20.7. Exotic Options -- Asian Options/Barrier Options/Lookback Options/Currency-Translated Options/Digital Options -- End of Chapter Material -- ch. 21 Option Valuation -- 21.1. Option Valuation: Introduction -- Intrinsic and Time Values/Determinants of Option Values -- 21.2. Restrictions on Option Values -- Restrictions on the Value of a Call Option/Early Exercise and Dividends/Early Exercise of American Puts -- 21.3. Binomial Option Pricing -- Two-State Option Pricing/Generalizing the Two-State Approach/Making the Valuation Model Practical

Contents note continued: 21.4. Black-Scholes Option Valuation -- The Black-Scholes Formula/Dividends and Call Option Valuation/Put Option Valuation/Dividends and Put Option Valuation -- 21.5. Using the Black-Scholes Formula -- Hedge Ratios and the Black-Scholes Formula/Portfolio Insurance/Option Pricing and the Crisis of 2008--2009/Option Pricing and Portfolio Theory/Hedging Bets on Mispriced Options -- 21.6. Empirical Evidence on Option Pricing -- End of Chapter Material -- ch. 22 Futures Markets -- 22.1. The Futures Contract -- The Basics of Futures Contracts/Existing Contracts -- 22.2. Trading Mechanics -- The Clearinghouse and Open Interest/The Margin Account and Marking to Market/Cash versus Actual Delivery/Regulations/Taxation -- 22.3. Futures Markets Strategies -- Hedging and Speculation/Basis Risk and Hedging -- 22.4. Futures Prices -- The Spot-Futures Parity Theorem/Spreads/Forward versus Futures Pricing -- 22.5. Futures Prices versus Expected Spot Prices

Contents note continued: Expectations Hypothesis/Normal Backwardation/Contango/Modem Portfolio Theory -- End of Chapter Material -- ch. 23 Futures, Swaps, and Risk Management -- 23.1. Foreign Exchange Futures -- The Markets/Interest Rate Parity/Direct versus Indirect Quotes/Using Futures to Manage Exchange Rate Risk -- 23.2. Stock-Index Futures -- The Contracts/Creating Synthetic Stock Positions: An Asset Allocation Tool/Index Arbitrage/Using Index Futures to Hedge Market Risk -- 23.3. Interest Rate Futures -- Hedging Interest Rate Risk -- 23.4. Swaps -- Swaps and Balance Sheet Restructuring/The Swap Dealer/Other Interest Rate Contracts/Swap Pricing/Credit Risk in the Swap Market/Credit Default Swaps -- 23.5.Commodity Futures Pricing -- Pricing with Storage Costs/Discounted Cash Flow Analysis for Commodity Futures -- End of Chapter Material -- pt. VII Applied Portfolio Management -- ch. 24 Portfolio Performance Evaluation -- 24.1. The Conventional Theory of Performance Evaluation

Contents note continued: Average Rates of Return/Time-Weighted Returns versus Dollar-Weighted Returns/Dollar-Weighted Return and Investment Performance/Adjusting Returns for Risk/The M2 Measure of Performance/Sharpe's Ratio Is the Criterion for Overall Portfolios/Appropriate Performance Measures in Two Scenarios -- Jane's Portfolio Represents Her Entire Risky Investment Fund/Jane's Choice Portfolio Is One of Many Portfolios Combined into a Large-Investment Fund The Role of Alpha in Performance Measures/Actual Performance Measurement: An Example/Performance Manipulation and the Morningstar Risk-Adjusted Rating/Realized Returns versus Expected [ect.] -- 24.2. Performance Measurement for Hedge Funds -- 24.3. Performance Measurement with Changing Portfolio Composition -- 24.4. Market Timing -- The Potential Value of Market Timing/Valuing Market Timing as a Call Option/The Value of Imperfect Forecasting -- 24.5. Style Analysis

Contents note continued: Style Analysis and Multifactor Benchmarks/Style Analysis in Excel -- 24.6. Performance Attribution Procedures -- Asset Allocation Decisions/Sector and Security Selection Decisions/Summing Up Component Contributions -- End of Chapter Material -- ch. 25 International Diversification -- 25.1. Global Markets for Equities -- Developed Countries/Emerging Markets/Market Capitalization and GDP/Home-Country Bias -- 25.2. Risk Factors in International Investing -- Exchange Rate Risk/Political Risk -- 25.3. International Investing: Risk, Return, and Benefits from Diversification

Contents note continued: Risk and Return: Summary Statistics/Are Investments in Emerging Markets Riskier?/Are Average Returns Higher in Emerging Markets?/Is Exchange Rate Risk Important in International Portfolios?/Benefits from International Diversification/Misleading Representation of Diversification Benefits/Realistic Benefits from International Diversification/Are Benefits from International Diversification Preserved in Bear [ect.] -- 25.4. Assessing the Potential of International Diversification -- 25.5. International Investing and Performance Attribution -- Constructing a Benchmark Portfolio of Foreign Assets/Performance Attribution -- End of Chapter Material -- ch. 26 Hedge Funds -- 26.1. Hedge Funds versus Mutual Funds -- 26.2. Hedge Fund Strategies -- Directional and Nondirectional Strategies/Statistical Arbitrage -- 26.3. Portable Alpha -- An Example of a Pure Play -- 26.4. Style Analysis for Hedge Funds -- 26.5. Performance Measurement for Hedge Funds

Contents note continued: Liquidity and Hedge Fund Performance/Hedge Fund Performance and Survivorship Bias/Hedge Fund Performance and Changing Factor Loadings/Tail Events and Hedge Fund Performance -- 26.6. Fee Structure in Hedge Funds -- End of Chapter Material -- ch. 27 The Theory of Active Portfolio Management -- 27.1. Optimal Portfolios and Alpha Values -- Forecasts of Alpha Values and Extreme Portfolio Weights/Restriction of Benchmark Risk -- 27.2. The Treynor-Black Model and Forecast Precision -- Adjusting Forecasts for the Precision of Alpha/Distribution of Alpha Values/Organizational Structure and Performance -- 27.3. The Black-Litterman Model -- Black-Litterman Asset Allocation Decision/Step 1: The Covariance Matrix from Historical Data/Step 2: Determination of a Baseline Forecast/Step 3: Integrating the Manager's Private Views/Step 4: Revised (Posterior) Expectations/Step 5: Portfolio Optimization -- 27.4. Treynor-Black versus Black-Litterman: Complements, Not Substitutes

Contents note continued: The BL Model as Icing on the TB Cake/Why Not Replace the Entire TB Cake with the BL Icing? -- 27.5. The Value of Active Management -- A Model for the Estimation of Potential Fees/Results from the Distribution of Actual Information Ratios/Results from Distribution of Actual Forecasts/Results with Reasonable Forecasting Records -- 27.6. Concluding Remarks on Active Management -- End of Chapter Material -- Appendix A Forecasts and Realizations of Alpha -- Appendix B The General Black-Litterman Model -- ch. 28 Investment Policy and the Framework of the CFA Institute -- 28.1. The Investment Management Process -- Objectives/Individual Investors/Personal Trusts/Mutual Funds/Pension Funds/Endowment Funds/Life Insurance Companies/Non-Life Insurance Companies/Banks -- 28.2. Constraints -- Liquidity/Investment Horizon/Regulations/Tax Considerations/Unique Needs -- 28.3. Policy Statements -- Sample Policy Statements for Individual Investors -- 28.4. Asset Allocation

Contents note continued: Taxes and Asset Allocation -- 28.5. Managing Portfolios of Individual Investors -- Human Capital and Insurance/Investment in Residence/Saving for Retirement and the Assumption of Risk/Retirement Planning Models/Manage Your Own Portfolio or Rely on Others?/Tax Sheltering -- The Tax-Deferral Option/Tax-Deferred Retirement Plans/Deferred Annuities/Variable and Universal Life Insurance -- 28.6. Pension Funds -- Defined Contribution Plans/Defined Benefit Plans/Pension Investment Strategies -- Investing in Equities/Wrong Reasons to Invest in Equities -- 28.7. Investments for the Long Run -- Target Investing and the Term Structure of Bonds/Making Simple Investment Choices/Inflation Risk and Long-Term Investors -- End of Chapter Material

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