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Dan Tammas-Hastings. Liability-Driven Investment
Table of Contents
List of Tables
List of Illustrations
Guide
Pages
Liability-Driven Investment. From Analogue to Digital, Pensions to Robo-Advice
Preface
CHAPTER 1 Liability-Driven Investment and Multi-Asset Class Investing. MOVING BEYOND MODERN PORTFOLIO THEORY: INTRODUCING THE WORLD OF LIABILITY-DRIVEN INVESTMENT
THE CULT OF EQUITY
THE PENSION PROTECTION FUND
SUMMARY
CHAPTER 2 Introduction to Investment Risk
RISK MANAGEMENT
THE IMPORTANCE OF RISK VS RETURN
QUANTIFYING RISK
SYSTEMATIC AND NONSYSTEMATIC RISK
CREATING A RISK PROFILE
SUMMARY. Some Basic Rules of Investment Risk
CHAPTER 3 Introductory Steps into the World of Multi-Asset Class Investment
SOME HANDY DEFINITIONS
THE STARTING POINT
INTRODUCING MODERN PORTFOLIO THEORY
MORE HANDY DEFINITIONS
BUT HOW DOES THE ASSET ALLOCATION DECISION WORK?
HOME COUNTRY BIAS:
DEVELOPING A STRATEGY FOR MULTIPLE ASSET CLASSES
Handy Definitions
QUICK ASIDE:
SUMMARY
CHAPTER 4 Building Investment Portfolios: Part 1: Security Selection
(FUNDAMENTAL, TECHNICAL AND QUANTITATIVE TECHNIQUES)
AN INTRODUCTION TO SINGLE STOCK SELECTION
THE TYPES OF ANALYSIS
FUNDAMENTAL ANALYSIS OF SECURITIES
Introducing Ratio Analysis
Liquidity and Solvency Ratios
Current Ratio
The Quick Ratio or Acid Test
Cash Ratio
Financial Leverage or Debt Ratios
TECHNICAL ANALYSIS OF SECURITIES
The Main Assumptions of Technical Analysis
QUANTITATIVE ANALYSIS
Passive Investors
THE PASSIVE VS ACTIVE DEBATE
Introducing the Efficient Market Hypothesis
So Why Use Active Managers?
SO, PASSIVE OR ACTIVE?
SUMMARY
CHAPTER 5 Building Investment Portfolios: Part 2: Fund Selection
CHOOSING THE MANAGER
MOVING ON TO OPERATIONAL DUE DILIGENCE
A SAMPLE (NON-EXHAUSTIVE) LIST OF OPERATIONAL CHECKS
QUICK ASIDE: Replicating Private Equity and a Passive Venture Capital Fund
PART 3 PORTFOLIO SELECTION
Some investment assumptions
CHAPTER 6 Moving Towards Liability Driven Investing. THE TIME VALUE OF MONEY
More Extreme than the Extreme
THE BASICS CONTINUED: REAL VERSUS NOMINAL DISCOUNTING
A SIMPLE AND BRIEF LOOK AT BONDS
Some Other Types of Bonds
How to Price a Bond
Key Terms
IMMUNISATION THEORY AND FRANK REDINGTON
AN INTRODUCTION TO INTEREST RATE SWAPS
What Is an Interest Rate Swap?
The Mechanics
Some Terms Used in the Market
A Quick Aside: Forward Rate Agreements (FRAs)
Differences between swaps and FRAs
AN INTRODUCTION TO INFLATION-LINKED SECURITIES
Why Do Governments Issue Inflation-Linked Bonds?
The Basic Mechanics
Inflation-Linked Swaps
The Global Market
Payers vs Receivers
The Zero-Coupon Swap
CHAPTER 7 The Defined Benefit Pension Plan and Explicit Liabilities
Several elements of the new LDI – Style strategy defied conventional beliefs:
THE BOOTS EXAMPLE
THE STAKEHOLDERS IN A TYPICAL PLAN
A Checklist for Trustees
WHAT ARE THE LIABILITIES?
CHAPTER 8 ESG, Governance and the Pensions Industry
THE UN PRI
THE INCREASING IMPORTANCE OF ESG
What Does ESG Represent?
THE MAIN APPROACHES TO ETHICAL INVESTING. Screening and Beyond
ESG: A SCREENING APPROACH
Implementing a Screen
ESG: AN INTEGRATION-BASED APPROACH
Best in Class Positive Screening
RATINGS MOMENTUM
IMPACT-BASED ESG INVESTING
ENGAGEMENT-BASED ESG INVESTING
ESG IN HISTORY. The Case of Cowan vs Scargill
INCORPORATING ESG INTO THE SIP
THE REVISED STATEMENT SHOULD
CHAPTER 9 Moving Beyond Liability-Driven Investment. THE WORLD OF CDI
WHAT IS THE DIFFERENCE BETWEEN LDI AND CDI?
CREDIT WHERE IT'S DUE. Moving into Illiquid Credit
CASH FLOW-DRIVEN INVESTMENT IN ACTION
The ABC Scheme
What Are the Objectives of Our Typical CDI Scheme?
CHAPTER 10 The Statement of Investment Principles
DRAWING UP A STATEMENT OF INVESTMENT PRINCIPLES
What the SIP must include
Preparing the SIP
A SAMPLE STATEMENT OF INVESTMENT PRINCIPLES
STATEMENT OF INVESTMENT PRINCIPLES FOR THE ABC PLAN
Investment Objective and Strategy
Investment Strategy
Investment Restrictions
Investment Risk
Realising Investments
Responsible Investment
Overall strategy
Realising investments
Additional Voluntary Contributions (AVCs)
CHAPTER 11 Liability-Driven RoboAdvice and the Development and Digitisation of the Industry
WEALTHTECH: HOW WEALTH MANAGERS AND THEIR CLIENTS ARE EMBRACING NEW TECHNOLOGIES
FROM WEALTHTECH TO ROBO-ADVICE
Robo-Advice in Ten Points
A BRIEF INTRODUCTION TO ROBO-ADVICE
Pricing Structures for Digital Advice
ADVICE OR GUIDANCE: ROBO-ADVICE OR PARTIALLY AUTOMATED DIGITAL GUIDANCE
From the FCA
FURTHER DEVELOPMENTS IN LDI. The Evolution of LDI and the Creation of Cash Flow-Driven Investment
WHAT IS CASH FLOW-DRIVEN INVESTMENT?
THE EVOLUTION OF LDI
Index
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