| Introduction Acknowledgements 1 Investment Strategy What is strategy? What is investment strategy? Planning to achieve the objective 1 Real and artificial liabilities 2 Mapping the liability cashflows 3 Total funding 4 The escalator factor 5 Putting it together Conclusions Summary 2 Multi Asset Class Investing The asset allocation background Potential problems in moving to a Multi Asset Class approach The Yale Model Higher returns as a goal, not peer group benchmarking Liquidity Diversification Long-term returns The Yale Model and MAC investing Bonds Quoted equities How much should be allocated to each asset class? How is the Yale Model currently allocated? What does one look for in selecting an asset class? Is there a sufficiently robust benchmark available for the asset class? Conclusions Summary 3 Risk Introduction The atheist cathedral Risk and the capital asset pricing model How ‘risk’ is used in practice Arithmetical problems with beta Conceptual problems with beta Why beta and the CAPM are irrelevant Summary 4 How to Define Risk Risk and uncertainty Risk and diversification in the artificial world Risk in the real world: uncertainty and materiality Towards a new definition of risk Return risk Capital risk Summary 5 How to Calculate Risk Phi calculations Phi and beta Compound return-based modelling The future of risk analysis Direct comparison of different asset classes Other types of risk Summary 6 Quoted Equity 7 Hedge Funds 8 Private Equity 9 Property 10 LDI and Portable Alpha: Rival Strategies? 11 Liquidity 12 Portfolio Performance Appendix 1: Tables of Performance Figures Appendix 2: Investment Strategies for DC Schemes and Mature Pension Plans Index |
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