Pension Fund Investment ManagementFrank J. Fabozzi Every investment professional involved with the management of pension funds will embrace this wide-ranging handbook. Consisting of articles by an esteemed panel of contributors, it covers the basics as well as the latest on pension fund governance, operations, and value creation. |
Contents
Investment Policy Strategies and Asset Allocation | 1 |
The Missing Link | 17 |
Organizing Internal Investment Management | 36 |
Decisions and Consequences | 45 |
The Evolving Role of the Pension Investment Consultant | 68 |
Investment Styles Stock Market Cycles Investor Expectations and Pension Fund Performance | 77 |
Strategic Currency Management for U S Pension Funds | 96 |
The Role of Completion Funds in Equity Style Management | 105 |
ReturnBased Style Analysis | 173 |
AssetLiability Management | 193 |
A Practical Approach to Integrating Pension Finance with Corporate Finance | 199 |
Measures of Risk for Portfolio Optimization and AssetLiability Modeling | 227 |
Manager Selection and Compensation | 235 |
A TopDown Approach | 261 |
Selecting an International Investment Manager | 273 |
Establishing PerformanceRelated Termination Thresholds for Investment Management | 283 |
Common terms and phrases
active management actuary approach asset class target assumptions average basis points benchmark portfolios benefit bond cash clients completion fund consultants contribution corporate correlation currency hedging currency overlay decision discount rate downside risk earnings equity managers ERISA evaluation expected return exposure Fabozzi Ferrell fixed income fixed-income fund's funding target growth stocks impact index managers interest rate investment managers investment objectives investment policy investment program investment style investors long-term manager benchmarks manager's style ment misfit monitoring normal portfolio optimization organizational organizational architecture outperform passive PE ratios pension assets pension financing pension fund pension liabilities pension plan performance period plan sponsor plan's policy asset mix portfolio managers rebalancing relative requires risk management risk tolerance sector securities selection standard deviation stocks strategy structure style analysis style benchmark style indexes surplus t-statistic tactical asset allocation target benchmark tion tracking error trading trustees U.S. dollar versus volatility yield