Multi-asset investing a practical guide to modern portfolio management

Establishing objectives: Defining the return objectives, risk objectives and investment constraints of a portfolio. Setting an investment strategy: Setting a plan to achieve investment objectives by thinking about long-term strategic asset allocation, combining asset classes and optimisation to derive the most efficient asset allocation. Implementing a solution: Turning the investment strategy into a portfolio using short-term tactical asset allocation, investment selection and risk management.

This section includes examples of investment strategies. Reviewing: Evaluating the performance of a portfolio by examining results, risk, portfolio positioning and the economic environment. This book is divided into four parts that follow the four stages of the multi-asset investment management process: 1.

Establishing objectives: Defining the return objectives, risk objectives and investment constraints of a portfolio. Setting an investment strategy: Setting a plan to achieve investment objectives by thinking about long-term strategic asset allocation, combining asset classes and optimisation to derive the most efficient asset allocation. Implementing a solution: Turning the investment strategy into a portfolio using short-term tactical asset allocation, investment selection and risk management.

This section includes examples of investment strategies. Reviewing: Evaluating the performance of a portfolio by examining results, risk, portfolio positioning and the economic environment. By dividing the multi-asset investment process into these well-defined stages, Yoram Lustig guides the reader through the various decisions that have to be made and actions that have to be taken.

He builds carefully from defining investment objectives, formulating an investment strategy and the steps of selecting investments, leading to constructing and managing multi-asset portfolios.

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Deviations from safe haven assets should be carefully considered. Buy and hold, rule-based strategies without SAA are appropriate. Cash is not a safe haven since inflation is a risk and liabilities typically have long durations. Contrarian strategy invests in assets that are out of favour, with the risk that they will stay out of favour for a long time.

The strategy needs to take risk to be able to achieve the target return while protecting the downside to achieve the positive return. Such a strategy needs skill and discretion. These funds are designed as a retirement solution for investors in defined contribution pension schemes. Alpha can be imported to a portfolio even when the beta exposure to the asset class is low. Active managers can be hired to deliver pure alpha without beta exposure.

By buying a put and shorting a call on the stock the combination makes suitable collateral to borrow against it on margin and diversify the position. The relevant risks are shortfall risk and tracking error against liabilities. New topics in this edition include: The success of multiple-asset-class investing during the stock market's "lost decade" Methods for forecasting long-term asset class returns and the limitations of prediction The dangers of market timing and the challenges involved in tactical asset allocation strategies--with insights from the field of behavioral finance Observations from the Global SIDONI Financial Crisis of and what it means for the multiple-asset-class investor With more than three decades of experience managing clients' portfolios and expectations, Gibson underscores the importance of identifying and working through the emotional and psychological traps that impede investment success.

Join the quarter-century trend of Asset Allocation providing investors with a sound approach to financial well-being. He is, without a doubt, the best and most articulate voice on the subject of asset allocation today. I congratulate [him] for treating the asset allocation subject in such depth and bringing this issue, which is the critical investment issue for all investors, to the forefront.

It is the best overall piece of work I have seen. The extensive data is updated with new chapters on the financial crisis and forecasting. This practical book focuses on meeting investor objectives in a risky world.