The analysis of portfolio management performance : an institutional guide to assessing and analyzing pension fund, endowment, foundation and trust investment performance

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Cover image for The analysis of portfolio management performance : an institutional guide to assessing and analyzing pension fund, endowment, foundation and trust investment performance

Title:

Personal Author:

Haight, G. Timothy

Publication Information:

New York : McGraw-Hill, 1997

ISBN:

9780786308002

Subject Term:

Portfolio management

Investment analysis

Trusts and trustees

Charitable uses, trusts and foundations

Added Author:

Morrell, Stephen O.

Available:*

Library	Item Barcode	Call Number	Material Type	Item Category 1	Status
Searching... PSZ JB	30000004260935	HG4529.5 H34 1997	Open Access Book	Book	Searching... Unknown
Searching... SPACE KL Main Library	30000004260943	HG4529.5 H34 1997	Open Access Book	Book	Searching... Unknown

All aspects of fund management are explained in this book, from an overview of money manager styles to performance comparisons and conducting the manager search. Practical features include how to develop a comprehensive policy statement and establish specific portfolio goals.

Author Notes

G. Timothy Haight College of Business and Economics Towson State University
Stephen O. Morrell Andreas School of Business Barry University
McGraw-Hill New York San Francisco Washington, D.C. Auckland Bogota Caracas Lisbon London Madrid Mexico City Milan Montreal New Delhi San Juan Singapore Sydney Tokyo Toronto

Chapter 1 Investment Sponsors	p. 1
Introduction	p. 1
Investment Oversight Responsibilities	p. 2
Committee Composition	p. 2
Tax Considerations	p. 4
Tax-Exempt Organizations	p. 4
Private Foundations and Charitable Trusts	p. 7
Qualified Retirement Plans	p. 9
Taxable Investment Sponsors	p. 22
Trusts	p. 23
Corporations	p. 24
Partnerships	p. 25
Individuals	p. 26
Chapter 2 Investment Policy Statement	p. 29
Introduction	p. 29
Investment Philosophy and Goals	p. 30
Investment Return Objectives	p. 30
Risk Tolerances	p. 31
Constraints	p. 31
Investment Strategy	p. 32
In-House or Outside Management	p. 32
Investment Policy	p. 33
Security Types and Risk Characteristics	p. 33
Equities	p. 33
Fixed-Income Securities	p. 35
Cash and Equivalents	p. 36
Asset Allocation Guidelines	p. 37
Evaluation of Performance	p. 40
Using Indexes as an Evaluation Tool	p. 40
Using Universes as an Evaluation Tool	p. 52
Periodic Review	p. 52
Chapter 3 Investment Overview	p. 65
Introduction	p. 65
Capital Appreciation versus Current Income	p. 66
Active versus Passive Investment Approaches	p. 67
Investment Styles--Equity Managers	p. 68
Capitalization	p. 69
Growth	p. 71
Value	p. 72
Cyclical	p. 74
Market	p. 76
Sector	p. 76
Contrarian	p. 78
International investing	p. 78
Fixed-Income Managers' Approaches	p. 81
Quality Considerations	p. 81
Maturity Considerations	p. 82
Chapter 4 Alternative Investment Vehicles	p. 85
Introduction	p. 85
Hybrid Securities	p. 86
Convertible Securities	p. 86
Warrants	p. 88
Derivative Contracts	p. 89
Uses of Derivative Contracts	p. 90
Types of Derivative Contracts	p. 91
Real Estate Investment Vehicles	p. 92
International Investment Vehicles	p. 94
Commodities and Collectibles	p. 101
Chapter 5 Return Measures	p. 105
Introduction	p. 105
Dollar-Weighted Rate of Return	p. 106
Impact of Cash Withdrawals on Return	p. 107
Impact of Cash Contributions on Return	p. 109
Unit Rate of Return	p. 110
Annualized Rates of Return	p. 112
Arithmetic and Geometric Return Averages	p. 113
Total Return and Its Components	p. 115
Tax Considerations	p. 117
Nominal versus Real Rates of Return	p. 118
Dividend Reinvestment	p. 120
Compound Growth	p. 121
Gross versus Net of Fees	p. 122
Chapter 6 Return/Risk Measurement	p. 127
Introduction	p. 127
Return Relative	p. 128
Standard Deviation	p. 128
Portfolio Risk Measure	p. 133
Scatter Diagram	p. 138
Coefficient of Variation	p. 140
Regression Analysis	p. 140
Portfolio Size and Diversification Levels	p. 143
Regression Analysis of Fund I	p. 144
Additional Performance Measures	p. 146
Chapter 7 Portfolio Performance Overview	p. 149
Introduction	p. 149
Performance Results	p. 150
Composite Index	p. 151
Universe Comparison	p. 151
Return/Risk Analysis	p. 155
Evaluating the Asset Allocation Decision	p. 158
Portfolio Decomposition Analysis	p. 164
Evaluation of Cash and Equivalent Component	p. 166
Chapter 8 Equity Performance Evaluation	p. 173
Introduction	p. 173
Equity Performance Criteria	p. 174
Sector Analysis	p. 176
Return/Risk Comparison	p. 180
Market Characteristics	p. 182
Additional Performance Measures	p. 186
Attribute Analysis	p. 189
Chapter 9 Fixed-Income Performance Evaluation	p. 195
Introduction	p. 195
Issuers of Fixed-Income Securities	p. 195
Quality of Fixed-Income Securities	p. 196
Credit Risk	p. 198
Interest Rate Risk	p. 201
Duration	p. 203
Convexity	p. 206
Maturity Distribution	p. 208
Return Analysis	p. 208
AIMR Standards	p. 212
Fixed-Income Management Styles	p. 213
Passive Fixed-Income Management	p. 213
Active Fixed-Income Management	p. 215
Fixed-Income Evaluation	p. 217
Chapter 10 Mutual Funds as an Investment Vehicle	p. 223
Introduction	p. 223
Investment Companies	p. 224
Features of Mutual Funds	p. 225
Advantages of Mutual Funds	p. 227
Selecting Mutual Funds	p. 228
Mutual Fund Risk	p. 230
Evaluating Mutual Fund Performance	p. 232
Chapter 11 Searching for an Investment Manager	p. 237
Introduction	p. 237
The Search Committee	p. 238
Establishing Goals	p. 238
The Number of Managers	p. 239
Candidate Identification	p. 241
Management and Related Fees	p. 243
Firm Size and Ownership	p. 245
Requests for Proposals	p. 246
Screening the Candidates	p. 254
Candidate Presentations	p. 256
Verification and Checking of Reference	p. 258
The Final Selection	p. 260
Switching Managers	p. 260
Administration of Change	p. 261
Chapter 12 Conducting Investment Committee Meetings	p. 263
Introduction	p. 263
Meeting Preparation	p. 263
Agenda and Meeting Materials	p. 265
Setting the Agenda	p. 265
Responsibilities of the Chair	p. 267
Investment Consulting Services	p. 267
Old Business	p. 270
New Business	p. 270
Index	p. 272

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Summary

Summary

Author Notes

Table of Contents