Treasury Inflation-Protected Securities (TIPS) as an Asset Class. Implicatons for Asset Allocation PDF Download
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Author: Alexander Hardt Publisher: GRIN Verlag ISBN: 3656697558 Category : Business & Economics Languages : en Pages : 71
Book Description
Bachelor Thesis from the year 2014 in the subject Business economics - Investment and Finance, grade: 1,0, Texas A&M University (Texas A&M University-Commerce), language: English, abstract: This thesis examines optimized portfolios of three investor types during four different time intervals ranging from 1998 to 2013 to determine if the inclusion of Treasury Inflation-Protected Securities (TIPS) has benefits for institutional investors such as pension plans, university endowments, foundations and sovereign wealth funds. The three investor types used in this study differ in their risk tolerance, with the more risk-averse investor type choosing not to include certain asset classes in his investment portfolio. The efficient frontier algorithm, developed by Prof. Harry Markowitz, is used to determine whether the inclusion of TIPS improves the risk/return profile of the portfolio. Sharpe ratio, developed by Prof. William Sharpe, is used to measure a portfolio’s risk adjusted performance. The study found that the benefits of the inclusion of TIPS in a portfolio vary by time period and investor type. While all investors were able to improve their risk return profile, the more risk-averse investor type benefits to a larger degree from the inclusion of TIPS. Furthermore, a significant increase in the financial efficiency was only observed in the 1998 to 2002 period. Therefore, the researcher concludes that the TIPS market is quite dynamic and investors need to take into account forward-looking information to profit from the inclusion of TIPS in investment portfolios.
Author: Alexander Hardt Publisher: GRIN Verlag ISBN: 3656697558 Category : Business & Economics Languages : en Pages : 71
Book Description
Bachelor Thesis from the year 2014 in the subject Business economics - Investment and Finance, grade: 1,0, Texas A&M University (Texas A&M University-Commerce), language: English, abstract: This thesis examines optimized portfolios of three investor types during four different time intervals ranging from 1998 to 2013 to determine if the inclusion of Treasury Inflation-Protected Securities (TIPS) has benefits for institutional investors such as pension plans, university endowments, foundations and sovereign wealth funds. The three investor types used in this study differ in their risk tolerance, with the more risk-averse investor type choosing not to include certain asset classes in his investment portfolio. The efficient frontier algorithm, developed by Prof. Harry Markowitz, is used to determine whether the inclusion of TIPS improves the risk/return profile of the portfolio. Sharpe ratio, developed by Prof. William Sharpe, is used to measure a portfolio’s risk adjusted performance. The study found that the benefits of the inclusion of TIPS in a portfolio vary by time period and investor type. While all investors were able to improve their risk return profile, the more risk-averse investor type benefits to a larger degree from the inclusion of TIPS. Furthermore, a significant increase in the financial efficiency was only observed in the 1998 to 2002 period. Therefore, the researcher concludes that the TIPS market is quite dynamic and investors need to take into account forward-looking information to profit from the inclusion of TIPS in investment portfolios.
Author: William Kinlaw Publisher: John Wiley & Sons ISBN: 1119402425 Category : Business & Economics Languages : en Pages : 259
Book Description
Since the formalization of asset allocation in 1952 with the publication of Portfolio Selection by Harry Markowitz, there have been great strides made to enhance the application of this groundbreaking theory. However, progress has been uneven. It has been punctuated with instances of misleading research, which has contributed to the stubborn persistence of certain fallacies about asset allocation. A Practitioner's Guide to Asset Allocation fills a void in the literature by offering a hands-on resource that describes the many important innovations that address key challenges to asset allocation and dispels common fallacies about asset allocation. The authors cover the fundamentals of asset allocation, including a discussion of the attributes that qualify a group of securities as an asset class and a detailed description of the conventional application of mean-variance analysis to asset allocation.. The authors review a number of common fallacies about asset allocation and dispel these misconceptions with logic or hard evidence. The fallacies debunked include such notions as: asset allocation determines more than 90% of investment performance; time diversifies risk; optimization is hypersensitive to estimation error; factors provide greater diversification than assets and are more effective at reducing noise; and that equally weighted portfolios perform more reliably out of sample than optimized portfolios. A Practitioner's Guide to Asset Allocation also explores the innovations that address key challenges to asset allocation and presents an alternative optimization procedure to address the idea that some investors have complex preferences and returns may not be elliptically distributed. Among the challenges highlighted, the authors explain how to overcome inefficiencies that result from constraints by expanding the optimization objective function to incorporate absolute and relative goals simultaneously. The text also explores the challenge of currency risk, describes how to use shadow assets and liabilities to unify liquidity with expected return and risk, and shows how to evaluate alternative asset mixes by assessing exposure to loss throughout the investment horizon based on regime-dependent risk. This practical text contains an illustrative example of asset allocation which is used to demonstrate the impact of the innovations described throughout the book. In addition, the book includes supplemental material that summarizes the key takeaways and includes information on relevant statistical and theoretical concepts, as well as a comprehensive glossary of terms.
Author: Adam Butler Publisher: John Wiley & Sons ISBN: 1119220394 Category : Business & Economics Languages : en Pages : 244
Book Description
Build an agile, responsive portfolio with a new approach to global asset allocation Adaptive Asset Allocation is a no-nonsense how-to guide for dynamic portfolio management. Written by the team behind Gestaltu.com, this book walks you through a uniquely objective and unbiased investment philosophy and provides clear guidelines for execution. From foundational concepts and timing to forecasting and portfolio optimization, this book shares insightful perspective on portfolio adaptation that can improve any investment strategy. Accessible explanations of both classical and contemporary research support the methodologies presented, bolstered by the authors' own capstone case study showing the direct impact of this approach on the individual investor. Financial advisors are competing in an increasingly commoditized environment, with the added burden of two substantial bear markets in the last 15 years. This book presents a framework that addresses the major challenges both advisors and investors face, emphasizing the importance of an agile, globally-diversified portfolio. Drill down to the most important concepts in wealth management Optimize portfolio performance with careful timing of savings and withdrawals Forecast returns 80% more accurately than assuming long-term averages Adopt an investment framework for stability, growth, and maximum income An optimized portfolio must be structured in a way that allows quick response to changes in asset class risks and relationships, and the flexibility to continually adapt to market changes. To execute such an ambitious strategy, it is essential to have a strong grasp of foundational wealth management concepts, a reliable system of forecasting, and a clear understanding of the merits of individual investment methods. Adaptive Asset Allocation provides critical background information alongside a streamlined framework for improving portfolio performance.
Author: CFA Darst, David M. Publisher: McGraw Hill Professional ISBN: 0071719539 Category : Business & Economics Languages : en Pages : 554
Book Description
The following chapter comes from Mastering the Art of Asset Allocation, which focuses on the knowledge and nuances that will help you achieve asset allocation success. Asset allocation authority David Darst builds upon his bestselling The Art of Asset Allocation to explore every aspect of asset allocation from foundations through correlations, providing you with detailed techniques for understanding and implementing asset allocation in any portfolio.
Author: Marvin Appel Publisher: ISBN: 9781282638365 Category : Languages : en Pages : 9
Book Description
"This Element is an excerpt from Higher Returns from Safe Investments: Using Bonds, Stocks, and Options to Generate Lifetime Income (ISBN: 9780137003358) by Marvin Appel. Protecting yourself against inflation with the world's safest investment: Treasury Inflation-Protected Securities (TIPS)"--Resource description page.
Author: David H. Darst Publisher: McGraw Hill Professional ISBN: 0071642943 Category : Business & Economics Languages : en Pages : 432
Book Description
The fully revised classic on employing asset allocation techniques to grow real wealth A global leader and preeminent expert in asset allocation, David Darst delivers his masterwork on the topic. In a fully updated and expanded second edition of The Art of Asset Allocation, Morgan Stanley's Chief Investment Strategist covers the historic market events, instruments, asset classes, and economic forces that investors need to be aware of as they create asset-building portfolios. He then explains how to use modern asset allocation concepts and tools to augment returns and control risks in a wide range of financial market environments. This completely revised edition shows how to achieve asset balance with the author's proven methods, decades of expertise, relevant charts, practical tools, and astute analyses. Known as the king of asset allocation, Darst brings his expertise to bear to provide complete asset class descriptions, identifying historical risk, return, and correlation characteristics for all major asset classes. Using actual data, he explains the differences between tactical and strategic asset allocation, outlines clear rebalancing guidelines, and includes an annotated guide to both traditional and Internet-based information sources. Praise for the first edition: “You want to be a better investor, a better client, or a better advisor? DEVOUR THIS BOOK NOW!”-James J. Cramer “David Darst is the expert on Asset Allocation. He has chosen to share his decades of practical experience in The Art of Asset Allocation, to the benefit of professional and individual investors alike.”-Seth A. Klarman
Author: Frank Benham Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
In this paper, we address how much of an investment fund's portfolio should be strategically allocated to Treasury Inflation Protected Securities (TIPS). Overall, Meketa Investment Group recommends that for (a) moderately risky or balanced portfolios, TIPS should constitute 5 to 15% of the entire portfolio, or roughly 15 to 35% of the bond sub-portfolio, and for (b) conservative portfolios, TIPS should constitute approximately 30 to 50% of the entire portfolio, or roughly 40 to 60% of the bond sub-portfolio.
Author: Roger C. Gibson Publisher: Irwin Professional Publishing ISBN: Category : Business & Economics Languages : en Pages : 296
Book Description
Asset Allocation: Balancing Financial Risk, Second Edition, is the revised edition of the best-selling reference book on asset allocation with completely updated facts and figures. Inside you'll find a comprehensive review of the capital market theory behind asset allocation, plus step-by-step guidelines for designing and implementing appropriate asset allocation strategies. This is essential reading for anyone who advises individuals and/or institutional clients regarding the investment of money.
Author: Robert D. Arnott Publisher: Irwin Professional Publishing ISBN: Category : Business & Economics Languages : en Pages : 448
Book Description
No issue is more critical to institutional investors than asset allocation. In today's volatile and increasingly global financial markets, asset mix and portfolio allocation are ever more important. However, the term asset allocation means different things to different people in different contexts. Whether policy asset allocation, tactical asset allocation or dynamic strategies for asset allocation, the policies and tactics are designed to reshape the return distribution. Because there are a number of decisions to make and issues to evaluate when reviewing asset allocation, this authoritative text assembles some of the best thinking in the investment world today on the subject of asset allocation. In Active Asset Allocation, pension sponsors, endowment and foundation managers and portfolio managers will find answers to many of the perplexing problems of assessing and managing the asset mix. Editors Robert D. Arnott and Frank J. Fabozzi, joined by a host of eminent practitioners and theoreticians, focus on the many dimensions of the asset allocation decision, tactical asset allocation and the risks associated with active asset allocation. Completely revised to reflect the latest thinking, Active Asset Allocation updates the ground-breaking material that made the first edition a critically acclaimed best-seller. Some of these current thoughts on asset allocation are communicated through a comprehensive series of chapters, including Managing the Asset Mix; Asset Performance and Surplus Control; Risk-Adjusted Surplus; Tax Consequences of Trading; A Disciplined Approach to Global Asset Allocation; Does Tactical Asset Allocation Work? and At Last, a Rational Case forLong-Horizon Risk Tolerance and for Asset Allocation Timing?
Author: Alexander Hardt
Author: Alexander Hardt
Author: Alexander Hardt
Author: William Kinlaw
Author: Adam Butler
Author: CFA Darst, David M.
Author: Marvin Appel
Author: David H. Darst
Author: Frank Benham
Author: Roger C. Gibson
Author: Robert D. Arnott