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Portfolio Management in Practice, Volume 3 : Equity Portfolio Management.

By: Institute, CFA.
Series: Publisher: Newark : John Wiley & Sons, Incorporated, ©2020Description: (470 pages).Content type: text Media type: unmediated Carrier type: volumeISBN: 9781119789253.Genre/Form: Print books.
Contents:
Cover -- Portfolio Management In Practice Volume 3 -- Title Page -- Copyright -- Contents -- Preface -- Acknowledgments -- About the CFA Institute Investment Series -- Chapter 1: Overview of Equity Securities -- Learning Outcomes -- 1. Introduction -- 2. Equity Securities in Global Financial Markets -- 3. Types and Characteristics of Equity Securities -- 3.1. Common Shares -- 3.2. Preference Shares -- 4. Private versus Public Equity Securities -- 5. Investing in Non-Domestic Equity Securities -- 5.1. Direct Investing -- 5.2. Depository Receipts -- 6. Risk and Return Characteristics of Equity Securities -- 6.1. Return Characteristics of Equity Securities -- 6.2. Risk of Equity Securities -- 7. Equity Securities and Company Value -- 7.1. Accounting Return on Equity -- 7.2. The Cost of Equity and Investors' Required Rates of Return -- Summary -- References -- Practice Problems -- Chapter 2: Market Efficiency -- Learning Outcomes -- 1. Introduction -- 2. The Concept of Market Efficiency -- 2.1. The Description of Efficient Markets -- 2.2. Market Value versus Intrinsic Value -- 2.4. Transaction Costs and Information-Acquisition Costs -- 3. Forms of Market Efficiency -- 3.1. Weak Form -- 3.2. Semi-Strong Form -- 3.3. Strong Form -- 3.4. Implications of the Efficient Market Hypothesis -- 4. Market Pricing Anomalies -- 4.1. Time-Series Anomalies -- 4.2. Cross-Sectional Anomalies -- 4.3. Other Anomalies -- 4.4. Implications for Investment Strategies -- 5. Behavioral Finance -- 5.1. Loss Aversion -- 5.2. Herding -- 5.3. Overconfidence -- 5.4. Information Cascades -- 5.5. Other Behavioral Biases -- 5.6. Behavioral Finance and Investors -- 5.7. Behavioral Finance and Efficient Markets -- Summary -- References -- Practice Problems -- Chapter 3: Overview of Equity Portfolio Management -- Learning Outcomes -- 1. Introduction.
2. The Roles of Equities in a Portfolio -- 2.1. Capital Appreciation -- 2.2. Dividend Income -- 2.3. Diversification with Other Asset Classes -- 2.4. Hedge Against Inflation -- 2.5. Client Considerations for Equities in a Portfolio -- 3. Equity Investment Universe -- 3.1. Segmentation by Size and Style -- 3.2. Segmentation by Geography -- 3.3. Segmentation by Economic Activity -- 3.4. Segmentation of Equity Indexes and Benchmarks -- 4. Income and Costs in an Equity Portfolio -- 4.1. Dividend Income -- 4.2. Securities Lending Income -- 4.3. Ancillary Investment Strategies -- 4.4. Management Fees -- 4.5. Performance Fees -- 4.6. Administration Fees -- 4.7. Marketing and Distribution Costs -- 4.8. Trading Costs -- 4.9. Investment Approaches and Effects on Costs -- 5. Shareholder Engagement -- 5.1. Benefits of Shareholder Engagement -- 5.2. Disadvantages of Shareholder Engagement -- 5.3. The Role of an Equity Manager in Shareholder Engagement -- 6. Equity Investment across the Passive-Active Spectrum -- 6.1. Confidence to Outperform -- 6.2. Client Preference -- 6.3. Suitable Benchmark -- 6.4. Client-Specific Mandates -- 6.5. Risks/Costs of Active Management -- 6.6. Taxes -- Summary -- References -- Practice Problems -- Chapter 4: PASSIVE EQUITY INVESTING -- Learning Outcomes -- 1. Introduction -- 2. Choosing a Benchmark -- 2.1. Indexes as a Basis for Investment -- 2.2. Considerations When Choosing a Benchmark Index -- 2.3. Index Construction Methodologies -- 2.4. Factor-Based Strategies -- 3. Approaches to Passive Equity Investing -- 3.1. Pooled Investments -- 3.2. Derivatives-Based Approaches -- 3.3. Separately Managed Equity Index-Based Portfolios -- 4. Portfolio Construction -- 4.1. Full Replication -- 4.2. Stratified Sampling -- 4.3. Optimization -- 4.4. Blended Approach -- 5. Tracking Error Management -- 5.1. Tracking Error and Excess Return.
5.2. Potential Causes of Tracking Error and Excess Return -- 5.3. Controlling Tracking Error -- 6. Sources of Return and Risk in Passive Equity Portfolios -- 6.1. Attribution Analysis -- 6.2. Securities Lending -- 6.3. Investor Activism and Engagement by Passive Managers -- Summary -- References -- Practice Problems -- Chapter 5: Analysis of Active Portfolio Management -- Learning Outcomes -- 1. Introduction -- 2. Active Management and Value Added -- 2.1. Choice of Benchmark -- 2.2. Measuring Value Added -- 2.3. Decomposition of Value Added -- 3. Comparing Risk and Return -- 3.1. The Sharpe Ratio -- 3.2. The Information Ratio -- 3.3. Constructing Optimal Portfolios -- 4. The Fundamental Law of Active Management -- 4.1. Active Security Returns -- 4.2. The Basic Fundamental Law -- 4.3. The Expanded Fundamental Law -- 4.4. Ex Post Performance Measurement -- 5. Applications of the Fundamental Law -- 5.1. Global Equity Strategy -- 5.2. Fixed-Income Strategies -- 6. Practical Limitations -- 6.1. Ex Ante Measurement of Skill -- 6.2. Independence of Investment Decisions -- Summary -- References -- Practice Problems -- Chapter 6: Active Equity Investing: Strategies -- Learning Outcomes -- 1. Introduction -- 2. Approaches to Active Management -- 2.1. Differences in the Nature of the Information Used -- 2.2. Differences in the Focus of the Analysis -- 2.3. Difference in Orientation to the Data: Forecasting the Future vs. Analyzing the Past -- 2.4. Differences in Portfolio Construction: Judgment vs. Optimization -- 3. Types of Active Management Strategies -- 3.1. Bottom-Up Strategies -- 3.2. Top-Down Strategies -- 3.3. Factor-Based Strategies -- 3.4. Activist Strategies -- 3.5. Other Strategies -- 4. Creating a Fundamental Active Investment Strategy -- 4.1. The Fundamental Active Investment Process -- 4.2. Pitfalls in Fundamental Investing.
5. Creating a Quantitative Active Investment Strategy -- 5.1. Creating a Quantitative Investment Process -- 5.2. Pitfalls in Quantitative Investment Processes -- 6. Equity Investment Style Classification -- 6.1. Different Approaches to Style Classification -- 6.2. Strengths and Limitations of Style Analysis -- Summary -- References -- Practice Problems -- Chapter 7: Active Equity Investing: Portfolio Construction -- Learning Outcomes -- 1. Introduction -- 2. Building Blocks of Active Equity Portfolio Construction -- 2.1. Fundamentals of Portfolio Construction -- 2.2. Building Blocks Used in Portfolio Construction -- 3. Approaches to Portfolio Construction -- 3.1. The Implementation Process: The Choice of Portfolio Management Approaches -- 3.2. The Implementation Process: The Objectives and Constraints -- 4. Allocating the Risk Budget -- 4.1. Absolute vs. Relative Measures of Risk -- 4.2. Determining the Appropriate Level of Risk -- 4.3. Allocating the Risk Budget -- 5. Additional Risk Measures Used in Portfolio Construction and Monitoring -- 5.1. Heuristic Constraints -- 5.2. Formal Constraints -- 5.3. The Risks of Being Wrong -- 6. Implicit Cost-Related Considerations in Portfolio Construction -- 6.1. Implicit Costs-Market Impact and the Relevance of Position Size, Assets under Management, and Turnover -- 6.2. Estimating the Cost of Slippage -- 7. The Well-Constructed Portfolio -- 8. Long/Short, Long Extension, and Market-Neutral Portfolio Construction -- 8.1. The Merits of Long-Only Investing -- 8.2. Long/Short Portfolio Construction -- 8.3. Long Extension Portfolio Construction -- 8.4. Market-Neutral Portfolio Construction -- 8.5. Benefits and Drawbacks of Long/Short Strategies -- Summary -- References -- Practice Problems -- Chapter 8: Technical Analysis -- Learning Outcomes -- 1. Introduction.
2. Technical Analysis: Principles, Assumptions, and Links to Investment Analysis -- 2.1. Principles and Assumptions -- 2.2. Technical Analysis and Behavioral Finance -- 2.3. Technical Analysis and Fundamental Analysis -- 2.4. The Differences in Conducting/Interpreting Technical Analysis in Various Types of Markets -- 3. Charting -- 3.1. Types of Technical Analysis Charts -- 3.2. Trend, Support, and Resistance -- 3.3. Common Chart Patterns -- 4. Technical Indicators -- 4.1. Technical Indicators -- 5. Applications to Portfolio Management -- 5.1. Principles of Intermarket Analysis -- 5.2. Technical Analysis Applications to Portfolio Management -- Summary -- Practice Problems -- Glossary -- About the Authors -- About the CFA Program -- Index -- EULA.
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Cover -- Portfolio Management In Practice Volume 3 -- Title Page -- Copyright -- Contents -- Preface -- Acknowledgments -- About the CFA Institute Investment Series -- Chapter 1: Overview of Equity Securities -- Learning Outcomes -- 1. Introduction -- 2. Equity Securities in Global Financial Markets -- 3. Types and Characteristics of Equity Securities -- 3.1. Common Shares -- 3.2. Preference Shares -- 4. Private versus Public Equity Securities -- 5. Investing in Non-Domestic Equity Securities -- 5.1. Direct Investing -- 5.2. Depository Receipts -- 6. Risk and Return Characteristics of Equity Securities -- 6.1. Return Characteristics of Equity Securities -- 6.2. Risk of Equity Securities -- 7. Equity Securities and Company Value -- 7.1. Accounting Return on Equity -- 7.2. The Cost of Equity and Investors' Required Rates of Return -- Summary -- References -- Practice Problems -- Chapter 2: Market Efficiency -- Learning Outcomes -- 1. Introduction -- 2. The Concept of Market Efficiency -- 2.1. The Description of Efficient Markets -- 2.2. Market Value versus Intrinsic Value -- 2.4. Transaction Costs and Information-Acquisition Costs -- 3. Forms of Market Efficiency -- 3.1. Weak Form -- 3.2. Semi-Strong Form -- 3.3. Strong Form -- 3.4. Implications of the Efficient Market Hypothesis -- 4. Market Pricing Anomalies -- 4.1. Time-Series Anomalies -- 4.2. Cross-Sectional Anomalies -- 4.3. Other Anomalies -- 4.4. Implications for Investment Strategies -- 5. Behavioral Finance -- 5.1. Loss Aversion -- 5.2. Herding -- 5.3. Overconfidence -- 5.4. Information Cascades -- 5.5. Other Behavioral Biases -- 5.6. Behavioral Finance and Investors -- 5.7. Behavioral Finance and Efficient Markets -- Summary -- References -- Practice Problems -- Chapter 3: Overview of Equity Portfolio Management -- Learning Outcomes -- 1. Introduction.

2. The Roles of Equities in a Portfolio -- 2.1. Capital Appreciation -- 2.2. Dividend Income -- 2.3. Diversification with Other Asset Classes -- 2.4. Hedge Against Inflation -- 2.5. Client Considerations for Equities in a Portfolio -- 3. Equity Investment Universe -- 3.1. Segmentation by Size and Style -- 3.2. Segmentation by Geography -- 3.3. Segmentation by Economic Activity -- 3.4. Segmentation of Equity Indexes and Benchmarks -- 4. Income and Costs in an Equity Portfolio -- 4.1. Dividend Income -- 4.2. Securities Lending Income -- 4.3. Ancillary Investment Strategies -- 4.4. Management Fees -- 4.5. Performance Fees -- 4.6. Administration Fees -- 4.7. Marketing and Distribution Costs -- 4.8. Trading Costs -- 4.9. Investment Approaches and Effects on Costs -- 5. Shareholder Engagement -- 5.1. Benefits of Shareholder Engagement -- 5.2. Disadvantages of Shareholder Engagement -- 5.3. The Role of an Equity Manager in Shareholder Engagement -- 6. Equity Investment across the Passive-Active Spectrum -- 6.1. Confidence to Outperform -- 6.2. Client Preference -- 6.3. Suitable Benchmark -- 6.4. Client-Specific Mandates -- 6.5. Risks/Costs of Active Management -- 6.6. Taxes -- Summary -- References -- Practice Problems -- Chapter 4: PASSIVE EQUITY INVESTING -- Learning Outcomes -- 1. Introduction -- 2. Choosing a Benchmark -- 2.1. Indexes as a Basis for Investment -- 2.2. Considerations When Choosing a Benchmark Index -- 2.3. Index Construction Methodologies -- 2.4. Factor-Based Strategies -- 3. Approaches to Passive Equity Investing -- 3.1. Pooled Investments -- 3.2. Derivatives-Based Approaches -- 3.3. Separately Managed Equity Index-Based Portfolios -- 4. Portfolio Construction -- 4.1. Full Replication -- 4.2. Stratified Sampling -- 4.3. Optimization -- 4.4. Blended Approach -- 5. Tracking Error Management -- 5.1. Tracking Error and Excess Return.

5.2. Potential Causes of Tracking Error and Excess Return -- 5.3. Controlling Tracking Error -- 6. Sources of Return and Risk in Passive Equity Portfolios -- 6.1. Attribution Analysis -- 6.2. Securities Lending -- 6.3. Investor Activism and Engagement by Passive Managers -- Summary -- References -- Practice Problems -- Chapter 5: Analysis of Active Portfolio Management -- Learning Outcomes -- 1. Introduction -- 2. Active Management and Value Added -- 2.1. Choice of Benchmark -- 2.2. Measuring Value Added -- 2.3. Decomposition of Value Added -- 3. Comparing Risk and Return -- 3.1. The Sharpe Ratio -- 3.2. The Information Ratio -- 3.3. Constructing Optimal Portfolios -- 4. The Fundamental Law of Active Management -- 4.1. Active Security Returns -- 4.2. The Basic Fundamental Law -- 4.3. The Expanded Fundamental Law -- 4.4. Ex Post Performance Measurement -- 5. Applications of the Fundamental Law -- 5.1. Global Equity Strategy -- 5.2. Fixed-Income Strategies -- 6. Practical Limitations -- 6.1. Ex Ante Measurement of Skill -- 6.2. Independence of Investment Decisions -- Summary -- References -- Practice Problems -- Chapter 6: Active Equity Investing: Strategies -- Learning Outcomes -- 1. Introduction -- 2. Approaches to Active Management -- 2.1. Differences in the Nature of the Information Used -- 2.2. Differences in the Focus of the Analysis -- 2.3. Difference in Orientation to the Data: Forecasting the Future vs. Analyzing the Past -- 2.4. Differences in Portfolio Construction: Judgment vs. Optimization -- 3. Types of Active Management Strategies -- 3.1. Bottom-Up Strategies -- 3.2. Top-Down Strategies -- 3.3. Factor-Based Strategies -- 3.4. Activist Strategies -- 3.5. Other Strategies -- 4. Creating a Fundamental Active Investment Strategy -- 4.1. The Fundamental Active Investment Process -- 4.2. Pitfalls in Fundamental Investing.

5. Creating a Quantitative Active Investment Strategy -- 5.1. Creating a Quantitative Investment Process -- 5.2. Pitfalls in Quantitative Investment Processes -- 6. Equity Investment Style Classification -- 6.1. Different Approaches to Style Classification -- 6.2. Strengths and Limitations of Style Analysis -- Summary -- References -- Practice Problems -- Chapter 7: Active Equity Investing: Portfolio Construction -- Learning Outcomes -- 1. Introduction -- 2. Building Blocks of Active Equity Portfolio Construction -- 2.1. Fundamentals of Portfolio Construction -- 2.2. Building Blocks Used in Portfolio Construction -- 3. Approaches to Portfolio Construction -- 3.1. The Implementation Process: The Choice of Portfolio Management Approaches -- 3.2. The Implementation Process: The Objectives and Constraints -- 4. Allocating the Risk Budget -- 4.1. Absolute vs. Relative Measures of Risk -- 4.2. Determining the Appropriate Level of Risk -- 4.3. Allocating the Risk Budget -- 5. Additional Risk Measures Used in Portfolio Construction and Monitoring -- 5.1. Heuristic Constraints -- 5.2. Formal Constraints -- 5.3. The Risks of Being Wrong -- 6. Implicit Cost-Related Considerations in Portfolio Construction -- 6.1. Implicit Costs-Market Impact and the Relevance of Position Size, Assets under Management, and Turnover -- 6.2. Estimating the Cost of Slippage -- 7. The Well-Constructed Portfolio -- 8. Long/Short, Long Extension, and Market-Neutral Portfolio Construction -- 8.1. The Merits of Long-Only Investing -- 8.2. Long/Short Portfolio Construction -- 8.3. Long Extension Portfolio Construction -- 8.4. Market-Neutral Portfolio Construction -- 8.5. Benefits and Drawbacks of Long/Short Strategies -- Summary -- References -- Practice Problems -- Chapter 8: Technical Analysis -- Learning Outcomes -- 1. Introduction.

2. Technical Analysis: Principles, Assumptions, and Links to Investment Analysis -- 2.1. Principles and Assumptions -- 2.2. Technical Analysis and Behavioral Finance -- 2.3. Technical Analysis and Fundamental Analysis -- 2.4. The Differences in Conducting/Interpreting Technical Analysis in Various Types of Markets -- 3. Charting -- 3.1. Types of Technical Analysis Charts -- 3.2. Trend, Support, and Resistance -- 3.3. Common Chart Patterns -- 4. Technical Indicators -- 4.1. Technical Indicators -- 5. Applications to Portfolio Management -- 5.1. Principles of Intermarket Analysis -- 5.2. Technical Analysis Applications to Portfolio Management -- Summary -- Practice Problems -- Glossary -- About the Authors -- About the CFA Program -- Index -- EULA.

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