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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.
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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.
Notes
Subtitled, A Modern Approach To Asset Allocation.
Back Cover
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
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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
Author Biography
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.
Table of Contents
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 Stocks—Russell Series 45 Relative Performance of Large-Cap and Small-Cap Stocks—SBBI Series 48 Relative Performance of Large-Cap and Small-Cap Stocks—Broader Analysis 50 Large-Cap and Small-Cap Stocks in a Portfolio Context 52 Summary—Key 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 Summary—Key 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 Stock Investing 85 Are There Shortcuts to Owning Foreign Stocks? 90 Summary—Key Features of Foreign Stocks 93 CHAPTER 6 Emerging Markets 97 What Is An Emerging Market? 98 Emerging Stock Market Indexes 101 Emerging Stock Market Returns 103 Risks of Investing in Emerging Stock Markets 107 Emerging Market Bonds—A Brief History 113 Returns on Emerging Market Bonds 114 Summary—Key Features of Emerging Market Stocks and Bonds 117 CHAPTER 7 Bonds 121 Treasury Bonds 122 The Wider U.S. Bond Market 127 Returns on U.S. Bonds 131 Bond Markets Outside the United States 133 Summary—Key Features of Bonds 140 CHAPTER 8 Strategic Asset Allocation 143 Expanding the Portfolio to Include Other Bonds and Stocks 145 Expanding the Portfolio to Include Foreign Stocks 147 The Dirty Secret of Optimization 150 Alternative Approaches to Optimization 154 Estimating Portfolio Returns—the Premium Method 155 Portfolios in Practice—Example of MarketWatch.com's Lazy Portfolios 159 Beyond the Traditional Efficient Frontier 163 CHAPTER 9 Hedge Funds 167 Investment Strategies 169 Hedge Fund Returns 172 Hedge Fund Biases 178 Performance Across Managers 181 Fund of Funds 182 Hedge Funds in a Portfolio 186 Summary—Key Features of Hedge Funds 187 CHAPTER 10 Venture Capital and Private Equity 191 Common Features of Venture Capital and Buyout Funds 192 Venture Capital 195 Returns on Venture Capital 198 Buyout Funds 205 Returns on Buyout Funds 207 Key Features of Private Equity 211 CHAPTER 11 Real Assets—Real Estate 213 Real Estate Investment Trusts 214 Direct Ownership of Real Estate 220 Home Ownership 223 Concluding Remarks 231 CHAPTER 12 Real Assets—Commodities 235 Sources of Return on Commodity Futures 236 Returns on Commodity Futures 239 Performance in a Portfolio 245 Does Gold Belong in the Portfolio? 249 Active Investment in Commodities—Managed Futures 251 Summary—Key Features of Commodity Investments 253 CHAPTER 13 Asset Allocation with Alternative Investments 257 Diversifying into Real Estate—Alternatives for Ordinary Investors 258 Expanding the Menu of Alternative Assets 262 High Net Worth (HNW) Portfolios 264 Ultra HNW Portfolios 266 Lessons about Alternatives from the Yale Endowment 269 Lessons about Alternative Investments Learned in the Financial Crisis 277 Verdict on Alternative Investments 280 CHAPTER 14 Investing and Spending by Foundations 285 Spending Rules 286 Estimating Future Bond and Stock Returns 288 Volatility and Uncertainty 288 Portfolios of Stocks and Bonds 290 Description of the Spending Plan 291 Using Historical Returns Since 1951 to Set Spending Rules 292 Effect of Lower Stock Returns on Spending Rules 294 Effects of Different Stock/Bond Allocations 296 Concluding Comments 299 CHAPTER 15 Investing and Spending in Retirement 303 Longevity 306 Spending Rules for Retirement 308 Portfolios of Stocks and Bonds 309 Baseline Case: Can Two Live More Cheaply Than One? 310 Effects of Bequests and Variable Spending Rules 311 How Can I Turn a Defined Contribution Plan into a Defined Benefit Plan? 313 Concluding Comments—Postpone Retirement? 314 CHAPTER 16 The Discipline of Asset Allocation—Rebalancing 319 Rebalancing Defined 320 Rebalancing When Times Are Good 321 Rebalancing When Times Are Bad 323 References 325 Index 331
Review
"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 (R)) 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 (R), the credentialing body for CIMA (R) 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
Long Description
"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 Whartons 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 Marstons 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
Review Text
"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
Details ISBN047093123X Year 2011 ISBN-10 047093123X ISBN-13 9780470931233 Format Hardcover Subtitle A Modern Approach to Asset Allocation Short Title PORTFOLIO DESIGN Language English Media Book Series Number 641 DEWEY 332.6 Pages 368 Illustrations Illustrations Edition 1st Series Wiley Finance Publisher John Wiley & Sons Inc Imprint John Wiley & Sons Inc Place of Publication New York Country of Publication United States UK Release Date 2011-04-05 AU Release Date 2011-03-29 NZ Release Date 2011-03-29 Author Richard C. Marston Publication Date 2011-04-05 Audience General US Release Date 2011-04-05 We've got this
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