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Bodie, Kane, and Marcus’ Investments sets the standard for graduate/MBA investments textbooks. It blends practical and theoretical coverage, while maintaining an appropriate rigor and a clear writing style. Its unifying theme is that security markets are nearly efficient, meaning that most securities are priced appropriately given their risk and return attributes. The text places greater emphasis on asset allocation and offers a much broader and deeper treatment of futures, options, and other derivative security markets than most investment texts. It is also the only graduate Investments text to offer an online homework management system, McGraw-Hill’s Connect Finance.

 

Table of Content:

  1. PART I: INTRODUCTION
  2. CHAPTER 1 The Investment Environment
  3. 1.1 Real Assets versus Financial Assets
  4. 1.2 Financial Assets
  5. 1.3 Financial Markets and the Economy
  6. The Informational Role of Financial Markets
  7. Consumption Timing
  8. Allocation of Risk
  9. Separation of Ownership and Management
  10. Corporate Governance and Corporate Ethics
  11. 1.4 The Investment Process
  12. 1.5 Markets Are Competitive
  13. The Risk–Return Trade-Off
  14. Efficient Markets
  15. 1.6 The Players
  16. Financial Intermediaries
  17. Investment Bankers
  18. Venture Capital and Private Equity
  19. 1.7 The Financial Crisis of 2008
  20. Antecedents of the Crisis
  21. Changes in Housing Finance
  22. Mortgage Derivatives
  23. Credit Default Swaps
  24. The Rise of Systemic Risk
  25. The Shoe Drops
  26. The Dodd–Frank Reform Act
  27. The Canadian Experience of the Financial Crisis
  28. 1.8 Outline of the Text
  29. End of Chapter Material
  30. CHAPTER 2 Financial Markets, Asset Classes, and Financial Instruments
  31. 2.1 The Money Market
  32. Treasury Bills
  33. Certificates of Deposit
  34. Commercial Paper
  35. Bankers’ Acceptances
  36. Repos and Reverses
  37. The Bank of Canada Overnight Rate and the U.S. Federal Funds Rate
  38. Brokers’ Call Loans
  39. The LIBOR Market
  40. Yields on Money Market Instruments
  41. T-Bill Yields
  42. 2.2 The Bond Market
  43. Government of Canada Bonds
  44. Inflation-Protected Bonds
  45. Provincial Bonds
  46. Corporate Bonds
  47. Municipal Bonds
  48. International Bonds
  49. Mortgages and Mortgage-Backed Securities
  50. 2.3 Equity Securities
  51. Common Stock as Ownership Shares
  52. Characteristics of Common Stock
  53. Stock Market Listings
  54. Income Trusts
  55. Preferred Stock
  56. Depository Receipts
  57. 2.4 Stock and Bond Market Indexes
  58. Stock Market Indexes
  59. Toronto Stock Exchange Indexes
  60. Dow Jones Averages
  61. Standard & Poor’s U.S. Indexes
  62. Other U.S. Market-Value Indexes
  63. Equally Weighted Indexes
  64. Other Foreign and International Stock Market Indexes
  65. Bond Market Indicators
  66. 2.5 Derivative Markets
  67. Options
  68. Futures Contracts
  69. Other Derivative Assets Warrants, Swaps, and Hybrid Securities
  70. End of Chapter Material
  71. CHAPTER 3 How Securities Are Traded
  72. 3.1 How Firms Issue Securities
  73. Privately Held Firms
  74. Publicly Traded Companies
  75. Shelf Registration
  76. Short Form Prospectus Distribution System (SFPD)
  77. Initial Public Offerings
  78. 3.2 How Securities Are Traded
  79. Types of Markets and Orders
  80. Types of Orders
  81. Trading Mechanisms
  82. The Execution of Trades
  83. Settlement
  84. The Rise of Electronic Trading
  85. 3.3 Securities Markets
  86. The Toronto Stock Exchange
  87. The Bond Market
  88. U.S. Markets
  89. NASDAQ
  90. The New York Stock Exchange
  91. ECNs
  92. New Trading Strategies
  93. Foreign Markets
  94. Derivative Markets
  95. 3.4 Trading Costs
  96. Internet Investing
  97. 3.5 Trading with Margin and Short Sales
  98. Trading with Margin
  99. Buying on Margin
  100. Short Sales
  101. 3.6 Regulation of Securities Markets
  102. Regulatory Responses to Recent Scandals and the 2008–09 Financial Crisis
  103. Self-Regulation and Circuit Breakers
  104. Short-Selling Circuit Breakers
  105. Insider Trading
  106. End of Chapter Material
  107. Appendix 3A A Detailed Margin Position
  108. CHAPTER 4 Mutual Funds and Other Investment Companies
  109. 4.1 Investment Companies
  110. 4.2 Types of Investment Companies
  111. Other Investment Organizations
  112. 4.3 Mutual Funds
  113. Investment Policies
  114. How Funds Are Sold
  115. 4.4 Costs of Investing in Mutual Funds
  116. Fee Structure
  117. Fees and Mutual Fund Returns
  118. 4.5 Taxation of Mutual Fund Income
  119. 4.6 Exchange-Traded Funds
  120. 4.7 Mutual Fund Investment Performance A First Look
  121. 4.8 Information on Mutual Funds
  122. End of Chapter Material
  123. PART II: PORTFOLIO THEORY AND PRACTICE
  124. CHAPTER 5 Risk, Return, and the Historical Record
  125. 5.1 Determinants of the Level of Interest Rates
  126. Real and Nominal Rates of Interest
  127. The Equilibrium Real Rate of Interest
  128. The Equilibrium Nominal Rate of Interest
  129. Taxes and the Real Rate of Interest
  130. 5.2 Comparing Rates of Return for Different Holding Periods
  131. Annual Percentage Rates
  132. Continuous Compounding
  133. 5.3 Bills and Inflation, 1957–2016
  134. 5.4 Risk and Risk Premiums
  135. Holding-Period Returns
  136. Expected Return and Standard Deviation
  137. Excess Returns and Risk Premiums
  138. 5.5 Time Series Analysis of Past Rates of Return
  139. Time Series versus Scenario Analysis
  140. Expected Returns and the Arithmetic Average
  141. The Geometric (Time-Weighted) Average Return
  142. Variance and Standard Deviation
  143. Mean and Standard Deviation Estimates from Higher-Frequency Observations
  144. The Reward-to-Volatility (Sharpe) Ratio
  145. 5.6 The Normal Distribution
  146. 5.7 Deviations from Normality and Alternative Risk Measures
  147. Value at Risk
  148. Expected Shortfall
  149. Lower Partial Standard Deviation and the Sortino Ratio
  150. Relative Frequency of Large, Negative 3-Sigma Returns
  151. 5.8 Historic Returns on Risky Portfolio
  152. A Global View of the Historical Record
  153. 5.9 Long-Term Investments
  154. Short-Run versus Long-Run Risk
  155. Forecasts for the Long Haul
  156. End of Chapter Material
  157. CHAPTER 6 Capital Allocation to Risky Assets
  158. 6.1 Risk and Risk Aversion
  159. Risk, Speculation, and Gambling
  160. Risk Aversion and Utility Values
  161. Estimating Risk Aversion
  162. 6.2 Capital Allocation Across Risky and Risk-Free Portfolios
  163. 6.3 The Risk-Free Asset
  164. 6.4 Portfolios of One Risky Asset and a Risk-Free Asset
  165. 6.5 Risk Tolerance and Asset Allocation
  166. Non-normal Returns
  167. 6.6 Passive Strategies The Capital Market Line
  168. End of Chapter Material
  169. Appendix 6A Risk Aversion, Expected Utility, and the St. Petersburg Paradox
  170. Appendix 6B Utility Functions and Risk Premiums
  171. CHAPTER 7 Optimal Risky Portfolios
  172. 7.1 Diversification and Portfolio Risk
  173. 7.2 Portfolios of Two Risky Assets
  174. 7.3 Asset Allocation with Stocks, Bonds, and Bills
  175. Asset Allocation with Two Risky Asset Classes
  176. 7.4 The Markowitz Portfolio Optimization Model
  177. Security Selection
  178. Capital Allocation and the Separation Property
  179. The Power of Diversification
  180. Asset Allocation and Security Selection
  181. Optimal Portfolios and Non-normal Returns
  182. 7.5 Risk Pooling, Risk Sharing, and the Risk of Long-Term Investments
  183. Risk Pooling and the Insurance Principle
  184. Risk Sharing
  185. Diversification and the Sharpe Ratio
  186. Time Diversification and the Investment Horizon
  187. End of Chapter Material
  188. Appendix 7A A Spreadsheet Model for Efficient Diversification
  189. Appendix 7B Review of Portfolio Statistics
  190. CHAPTER 8 Index Models
  191. 8.1 A Single-Factor Security Market
  192. The Input List of the Markowitz Model
  193. Systematic versus Firm-Specific Risk
  194. 8.2 The Single-Index Model
  195. The Regression Equation of the Single-Index Model
  196. The Expected Return–Beta Relationship
  197. Risk and Covariance in the Single-Index Model
  198. The Set of Estimates Needed for the Single-Index Model
  199. The Index Model and Diversification
  200. 8.3 Estimating the Single-Index Model
  201. The Security Characteristic Line for Suncor
  202. The Explanatory Power of the SCL for Suncor
  203. The Estimate of Alpha
  204. The Estimate of Beta
  205. Firm-Specific Risk
  206. 8.4 The Industry Version of the Index Model
  207. Company Beta Estimates
  208. Predicting Betas
  209. Index Models and Tracking Portfolios
  210. Portfolio Construction Using the Single-Index Model with a Detailed Example
  211. Alpha and Security Analysis
  212. The Index Portfolio as an Investment Asset
  213. The Single-Index-Model Input List
  214. The Optimal Risky Portfolio in the Single-Index Model
  215. The Information Ratio
  216. Summary of Optimization Procedure
  217. An Example
  218. Correlation and Covariance Matrix
  219. Is the Index Model Inferior to the Full-Covariance Models?
  220. End of Chapter Material
  221. PART III: EQUILIBRIUM IN CAPITAL MARKETS
  222. CHAPTER 9 The Capital Asset Pricing Model
  223. 9.1 The Capital Asset Pricing Model
  224. Why Do All Investors Hold the Market Portfolio?
  225. The Passive Strategy Is Efficient
  226. The Risk Premium of the Market Portfolio
  227. Expected Returns on Individual Securities
  228. The Security Market Line
  229. The CAPM and the Single-Index Market
  230. 9.2 Assumptions and Extensions of the CAPM
  231. Identical Input Lists
  232. Risk-Free Borrowing and the Zero-Beta Model
  233. Labour Income and Non-traded Assets
  234. A Multi-period Model and Hedge Portfolios
  235. A Consumption-Based CAPM
  236. Liquidity and the CAPM
  237. 9.3 The CAPM and the Academic World
  238. 9.4 The CAPM and the Investment Industry
  239. End of Chapter Material
  240. CHAPTER 10 Arbitrage Pricing Theory and Multifactor Models of Risk and Return
  241. 10.1 Multifactor Models An Overview
  242. Factor Models of Security Returns
  243. 10.2 Arbitrage Pricing Theory
  244. Arbitrage, Risk Arbitrage, and Equilibrium
  245. Well-Diversified Portfolios
  246. Diversification and Residual Risk in Practice
  247. Executing Arbitrage
  248. The No-Arbitrage Equation of the APT
  249. 10.3 The APT, the CAPM, and the Index Model
  250. The APT and the CAPM
  251. The APT and Portfolio Optimization in a Single-Index Market
  252. 10.4 A Multifactor APT
  253. 10.5 The Fama–French (FF) Three-Factor Model
  254. End of Chapter Material
  255. CHAPTER 11 The Efficient Market Hypothesis
  256. 11.1 Random Walks and the Efficient Market Hypothesis
  257. Competition as the Source of Efficiency
  258. Versions of the Efficient Market Hypothesis
  259. 11.2 Implications of the EMH
  260. Technical Analysis
  261. Fundamental Analysis
  262. Active versus Passive Portfolio Management
  263. The Role of Portfolio Management in an Efficient Market
  264. Resource Allocation
  265. 11.3 Event Studies
  266. 11.4 Are Markets Efficient?
  267. The Issues
  268. Weak-Form Tests Patterns in Stock Returns
  269. Predictors of Broad Market Returns
  270. Semistrong Tests Market Anomalies
  271. Strong-Form Tests Inside Information
  272. Interpreting the Anomalies
  273. Bubbles and Market Efficiency
  274. 11.5 Mutual Fund and Analyst Performance
  275. Stock Market Analysts
  276. Mutual Fund Managers
  277. So, Are Markets Efficient?
  278. End of Chapter Material
  279. CHAPTER 12 Behavioural Finance and Technical Analysis
  280. 12.1 The Behavioural Critique
  281. Information Processing
  282. Behavioural Biases
  283. Affect
  284. Limits to Arbitrage
  285. Limits to Arbitrage and the Law of One Price
  286. Bubbles and Behavioural Economics
  287. Evaluating the Behavioural Critique
  288. 12.2 Technical Analysis and Behavioural Finance
  289. Trends and Corrections
  290. Sentiment Indicators
  291. Indicators of Overall Market Sentiment
  292. A Warning
  293. End of Chapter Material
  294. CHAPTER 13 Empirical Evidence on Security Returns
  295. 13.1 The Index Model and the Single-Factor APT
  296. The Expected Return–Beta Relationship
  297. Tests of the CAPM
  298. Canadian Tests of the CAPM
  299. Thin Trading
  300. The Market Index
  301. Measurement Error in Beta
  302. 13.2 Tests of the Multifactor CAPM and APT
  303. Labour Income
  304. Private (Non-traded) Business
  305. Early Versions of the Multifactor CAPM and APT
  306. A Macro Factor Model
  307. 13.3 Fama–French-Type Factor Models
  308. Size and B/M as Risk Factors
  309. Behavioural Explanations
  310. Momentum A Fourth Factor
  311. 13.4 Liquidity and Asset Pricing
  312. 13.5 Consumption-Based Asset Pricing and the Equity Premium Puzzle
  313. Consumption Growth and Market Rates of Return
  314. Expected versus Realized Returns
  315. Survivorship Bias
  316. Extensions to the CAPM May Resolve the Equity Premium Puzzle
  317. Liquidity and the Equity Premium Puzzle
  318. Behavioural Explanations of the Equity Premium Puzzle
  319. End of Chapter Material
  320. PART IV FIXED-INCOME SECURITIES
  321. CHAPTER 14 Bond Prices and Yields
  322. 14.1 Bond Characteristics
  323. Canadian Government Bonds
  324. Corporate Bonds
  325. Preferred Stock
  326. International Bonds
  327. Innovation in the Bond Market
  328. 14.2 Bond Pricing
  329. Bond Pricing between Coupon Dates
  330. 14.3 Bond Yields
  331. Yield to Maturity
  332. Yield to Call
  333. Realized Compound Return versus Yield to Maturity
  334. 14.4 Bond Prices Over Time
  335. Yield to Maturity versus Holding-Period Return
  336. Zero-Coupon Bonds and Stripped Coupons
  337. After-Tax Returns
  338. 14.5 Default Risk and Bond Pricing
  339. Junk Bonds
  340. Determinants of Bond Safety
  341. Bond Indentures
  342. Yield to Maturity and Default Risk
  343. Credit Default Swaps
  344. Credit Risk and Collateralized Debt Obligations
  345. End of Chapter Material
  346. CHAPTER 15 The Term Structure of Interest Rates
  347. 15.1 The Yield Curve
  348. Bond Pricing
  349. 15.2 The Yield Curve and Future Interest Rates
  350. The Yield Curve Under Certainty
  351. Holding-Period Returns
  352. Forward Rates
  353. 15.3 Interest Rate Uncertainty and Forward Rates
  354. 15.4 Theories of the Term Structure
  355. The Expectations Hypothesis
  356. Liquidity Preference
  357. 15.5 Interpreting the Term Structure
  358. 15.6 Forward Rates as Forward Contracts
  359. End of Chapter Material
  360. CHAPTER 16 Managing Bond Portfolios
  361. 16.1 Interest Rate Risk
  362. Interest Rate Sensitivity
  363. Duration
  364. What Determines Duration?
  365. 16.2 Convexity
  366. Why Do Investors Like Convexity?
  367. Duration and Convexity of Callable Bonds
  368. Duration and Convexity of Mortgage-Backed Securities
  369. 16.3 Passive Bond Management
  370. Bond-Index Funds
  371. Immunization
  372. Cash Flow Matching and Dedication
  373. Other Problems with Conventional Immunization
  374. 16.4 Active Bond Management
  375. Sources of Potential Profit
  376. Horizon Analysis
  377. End of Chapter Material
  378. PART V: SECURITY ANALYSIS
  379. CHAPTER 17 Macroeconomic and Industry Analysis
  380. 17.1 The Global Economy
  381. 17.2 The Domestic Macroeconomy
  382. Key Economic Indicators
  383. 17.3 Demand and Supply Shocks
  384. 17.4 Federal Government Policy
  385. Fiscal Policy
  386. Monetary Policy
  387. Supply-Side Policies
  388. 17.5 Business Cycles
  389. The Business Cycle
  390. Economic Indicators
  391. Other Indicators
  392. 17.6 Industry Analysis
  393. Defining an Industry
  394. Sensitivity to the Business Cycle
  395. Sector Rotation
  396. Industry Life Cycles
  397. Industry Structure and Performance
  398. End of Chapter Material
  399. CHAPTER 18 Equity Valuation Models
  400. 18.1 Valuation by Comparables
  401. Limitations of Book Value
  402. 18.2 Intrinsic Value versus Market Price
  403. 18.3 Dividend Discount Models
  404. The Constant-Growth DDM
  405. Convergence of Price with Intrinsic Value
  406. Stock Prices and Investment Opportunities
  407. Life Cycles and Multi-stage Growth Models
  408. Multi-stage Growth Models
  409. 18.4 Price–Earnings Ratio
  410. The Price–Earnings Ratio and Growth Opportunities
  411. P/E Ratios and Stock Risk
  412. Pitfalls in P/E Analysis
  413. Combining P/E Analysis and the DDM
  414. Other Comparative Valuation Ratios
  415. 18.5 Free Cash Flow Valuation Approaches
  416. Comparing the Valuation Models
  417. The Problem with DCF Models
  418. 18.6 The Aggregate Stock Market
  419. End of Chapter Material
  420. CHAPTER 19 Financial Statement Analysis
  421. 19.1 The Major Financial Statements
  422. The Income Statement
  423. The Balance Sheet
  424. The Statement of Cash Flows
  425. 19.2 Measuring Firm Performance
  426. 19.3 Profitability Measures
  427. Return on Assets (ROA)
  428. Return on Capital (ROC)
  429. Return on Equity (ROE)
  430. Financial Leverage and ROE
  431. Economic Value Added
  432. 19.4 Ratio Analysis
  433. Decomposition of ROE
  434. Turnover and Other Asset Utilization Ratios
  435. Liquidity Ratios
  436. Market Price Ratios Growth versus Value
  437. Choosing a Benchmark
  438. 19.5 An Illustration of Financial Statement Analysis
  439. 19.6 Comparability Problems
  440. Inventory Valuation
  441. Depreciation
  442. Inflation and Interest Expense
  443. Fair Value Accounting
  444. Quality of Earnings and Accounting Practices
  445. International Accounting Conventions
  446. 19.7 Value Investing The Graham Technique
  447. End of Chapter Material
  448. PART VI: OPTIONS, FUTURES, AND OTHER DERIVATIVES
  449. CHAPTER 20 Options Markets Introduction
  450. 20.1 The Option Contract
  451. Options Trading
  452. American and European Options
  453. Adjustments in Option Contract Terms
  454. Options Clearing
  455. Other Listed Options
  456. 20.2 Values of Options at Expiration
  457. Call Options
  458. Put Options
  459. Option versus Stock Investments
  460. 20.3 Option Strategies
  461. Protective Put
  462. Covered Calls
  463. Straddle
  464. Spreads
  465. Collars
  466. 20.4 The Put–Call Parity Relationship
  467. 20.5 Option-Like Securities
  468. Callable Bonds
  469. Convertible Securities
  470. Warrants
  471. Collateralized Loans
  472. Levered Equity and Risky Debt
  473. 20.6 Financial Engineering
  474. 20.7 Exotic Options
  475. Asian Options
  476. Barrier Options
  477. Lookback Options
  478. Currency-Translated Options
  479. Digital Options
  480. End of Chapter Material
  481. CHAPTER 21 Option Valuation
  482. 21.1 Option Valuation Introduction
  483. Intrinsic and Time Values
  484. Determinants of Option Values
  485. 21.2 Restrictions on Option Values
  486. Restrictions on the Value of a Call Option
  487. Early Exercise and Dividends
  488. Early Exercise of American Puts
  489. 21.3 Binomial Option Pricing
  490. Two-State Option Pricing
  491. Generalizing the Two-State Approach
  492. Making the Valuation Model Practical
  493. 21.4 Black–Scholes Option Valuation
  494. The Black–Scholes Formula
  495. Dividends and Call Option Valuation
  496. Put Option Valuation
  497. Dividends and Put Option Valuation
  498. 21.5 Using the Black–Scholes Formula
  499. Hedge Ratios and the Black–Scholes Formula
  500. Portfolio Insurance
  501. Option Pricing and the Crisis of 2008–2009
  502. Option Pricing and Portfolio Theory
  503. Hedging Bets on Mispriced Options
  504. 21.6 Empirical Evidence on Option Pricing
  505. End of Chapter Material
  506. CHAPTER 22 Futures Markets
  507. 22.1 The Futures Contract
  508. The Basics of Futures Contracts
  509. Existing Contracts
  510. 22.2 Trading Mechanics
  511. The Clearinghouse and Open Interest
  512. The Margin Account and Marking to Market
  513. Cash versus Actual Delivery
  514. Regulations
  515. Taxation
  516. 22.3 Futures Markets Strategies
  517. Hedging and Speculation
  518. Basis Risk and Hedging
  519. 22.4 Futures Prices
  520. The Spot–Futures Parity Theorem
  521. Spreads
  522. Forward versus Futures Pricing
  523. 22.5 Futures Prices versus Expected Spot Prices
  524. Expectations Hypothesis
  525. Normal Backwardation
  526. Contango
  527. Modern Portfolio Theory
  528. End of Chapter Material
  529. CHAPTER 23 Futures, Swaps, and Risk Management
  530. 23.1 Foreign Exchange Futures
  531. The Markets
  532. Interest Rate Parity
  533. Direct versus Indirect Quotes
  534. Using Futures to Manage Exchange Rate Risk
  535. 23.2 Stock-Index Futures
  536. The Contracts
  537. Creating Synthetic Stock Positions An Asset Allocation Tool
  538. Index Arbitrage
  539. Using Index Futures to Hedge Market Risk
  540. 23.3 Interest Rate Futures
  541. Hedging Interest Rate Risk
  542. 23.4 Swaps
  543. Swaps and Balance Sheet Restructuring
  544. The Swap Dealer
  545. Other Interest Rate Contracts
  546. Swap Pricing
  547. Credit Risk in the Swap Market
  548. Credit Default Swaps
  549. 23.5 Commodity Futures Pricing
  550. Pricing with Storage Costs
  551. Discounted Cash Flow Analysis for Commodity Futures
  552. End of Chapter Material
  553. PART VII: APPLIED PORTFOLIO MANAGEMENT
  554. CHAPTER 24 Portfolio Performance Evaluation
  555. 24.1 The Conventional Theory of Performance Evaluation
  556. Average Rates of Return
  557. Time-Weighted Returns versus Dollar-Weighted Returns
  558. Adjusting Returns for Risk
  559. The Sharpe Ratio for Overall Portfolios
  560. The Treynor Ratio
  561. The Information Ratio
  562. The Role of Alpha in Performance Measures
  563. Implementing Performance Measurement An Example
  564. Realized Returns versus Expected Returns
  565. 24.2 Style Analysis
  566. 24.3 Performance Measurement with Changing Portfolio Composition
  567. Performance Manipulation and the Morningstar Risk-Adjusted Rating
  568. 24.4 Market Timing
  569. The Potential Value of Market Timing
  570. Valuing Market Timing as a Call Option
  571. The Value of Imperfect Forecasting
  572. 24.5 Performance Attribution Procedures
  573. Asset Allocation Decisions
  574. Sector and Security Selection Decisions
  575. Summing Up Component Contributions
  576. End of Chapter Material
  577. CHAPTER 25 International Diversification
  578. 25.1 Global Markets for Equities
  579. Developed Countries
  580. Emerging Markets
  581. Market Capitalization and GDP
  582. Home-Country Bias
  583. 25.2 Exchange Rate Risk and International Diversification
  584. Exchange Rate Risk
  585. Investment Risk in International Markets
  586. International Diversification
  587. Are Benefits from International Diversification Preserved during Bear Markets?
  588. 25.3 Political Risk
  589. 25.4 International Investing and Performance Attribution
  590. Constructing a Benchmark Portfolio of Foreign Assets
  591. Performance Attribution
  592. End of Chapter Material
  593. CHAPTER 26 Hedge Funds
  594. 26.1 Hedge Funds versus Mutual Funds
  595. 26.2 Hedge Fund Strategies
  596. Directional and Non-directional Strategies
  597. Statistical Arbitrage
  598. 26.3 Portable Alpha
  599. An Example of a Pure Play
  600. 26.4 Style Analysis for Hedge Funds
  601. 26.5 Performance Measurement for Hedge Funds
  602. Liquidity and Hedge Fund Performance
  603. Hedge Fund Performance and Survivorship Bias
  604. Hedge Fund Performance and Changing Factor Loadings
  605. Tail Events and Hedge Fund Performance
  606. 26.6 Fee Structure in Hedge Funds
  607. End of Chapter Material
  608. CHAPTER 27 The Theory of Active Portfolio Management
  609. 27.1 Optimal Portfolios and Alpha Values
  610. Forecasts of Alpha Values and Extreme Portfolio Weights
  611. Restriction of Benchmark Risk
  612. 27.2 The Treynor–Black Model and Forecast Precision
  613. Adjusting Forecasts for the Precision of Alpha
  614. Distribution of Alpha Values
  615. Organizational Structure and Performance
  616. 27.3 The Black–Litterman Model
  617. Black–Litterman Asset Allocation Decision
  618. Step 1 The Covariance Matrix from Historical Data
  619. Step 2 Determination of a Baseline Forecast
  620. Step 3 Integrating the Manager’s Private Views
  621. Step 4 Revised (Posterior) Expectations
  622. Step 5 Portfolio Optimization
  623. 27.4 Treynor–Black versus Black–Litterman Complements, Not Substitutes
  624. The BL Model as Icing on the TB Cake
  625. Why Not Replace the Entire TB Cake with the BL Icing?
  626. 27.5 The Value of Active Management
  627. A Model for the Estimation of Potential Fees
  628. Results from the Distribution of Actual Information Ratios
  629. Results from Distribution of Actual Forecasts
  630. 27.6 Concluding Remarks on Active Management
  631. End of Chapter Material
  632. Appendix 27A: Forecasts and Realizations of Alpha
  633. Appendix 27B: The General Black–Litterman Model
  634. CHAPTER 28 Investment Policy and the Framework of the CFA Institute
  635. 28.1 The Investment Management Process
  636. Objectives
  637. Individual Investors
  638. Personal Trusts
  639. Mutual Funds
  640. Pension Funds
  641. Endowment Funds
  642. Life Insurance Companies
  643. Non–life Insurance Companies
  644. Banks
  645. 28.2 Constraints
  646. Liquidity
  647. Investment Horizon
  648. Regulations
  649. Tax Considerations
  650. Unique Needs
  651. 28.3 Policy Statements
  652. Sample Policy Statements for Individual Investors
  653. 28.4 Asset Allocation
  654. Taxes and Asset Allocation
  655. 28.5 Managing Portfolios of Individual Investors
  656. Human Capital and Insurance
  657. Investment in Residence
  658. Saving for Retirement and the Assumption of Risk
  659. Retirement Planning Models
  660. Manage Your Own Portfolio or Rely on Others?
  661. Tax Sheltering
  662. 28.6 Pension Funds
  663. Defined Contribution Plans
  664. Defined Benefit Plans
  665. Pension Investment Strategies
  666. 28.7 Investments for the Long Run
  667. Making Simple Investment Choices
  668. Inflation Risk and Long-Term Investors
  669. End of Chapter Material
  670. References to CFA Problems
  671. Glossary
  672. A
  673. B
  674. C
  675. D
  676. E
  677. F
  678. G
  679. H
  680. I
  681. J
  682. K
  683. L
  684. M
  685. N
  686. O
  687. P
  688. Q
  689. R
  690. S
  691. T
  692. U
  693. V
  694. W
  695. Y
  696. Z
  697. Name Index
  698. A
  699. B
  700. C
  701. D
  702. E
  703. F
  704. G
  705. H
  706. I
  707. J
  708. K
  709. L
  710. M
  711. N
  712. O
  713. P
  714. R
  715. S
  716. T
  717. U
  718. V
  719. W
  720. Y
  721. Z
  722. Subject Index
  723. A
  724. B
  725. C
  726. D
  727. E
  728. F
  729. G
  730. H
  731. I
  732. J
  733. K
  734. L
  735. M
  736. N
  737. O
  738. P
  739. Q
  740. R
  741. S
  742. T
  743. U
  744. V
  745. W
  746. Y
  747. Z
  748. Commonly Used Notations
  749. Useful Formulas

 

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