Liability-Driven Investment: From Analogue to Digital, Pensions to Robo-Advice

ISBN-13: 9781119441953 / Angielski / Twarda / 2021 / 176 str.

Dan Tammas-Hastings

Spis treści

Preface xi CHAPTER 1 Liability-Driven Investment and Multi-Asset Class Investing 1 Moving Beyond Modern Portfolio Theory: Introducing the World of Liability-Driven Investment 1 The Cult of Equity 6 The Pension Protection Fund 7 Summary 13 CHAPTER 2 Introduction to Investment Risk 15 Risk Management 18 The Importance of Risk vs Return 18 Quantifying Risk 19 Systematic and Nonsystematic Risk 19 Creating A Risk Profile 20 Summary 21 Some Basic Rules of Investment Risk 21 CHAPTER 3 Introductory Steps into the World of Multi-Asset Class Investment 23 Some Handy Definitions 25 The Starting Point 26 Introducing Modern Portfolio Theory 27 More Handy Definitions 29 But How Does the Asset Allocation Decision work? 30 Home Country Bias: 32 Developing a Strategy for Multiple Asset Classes 33 Handy Definitions 34 Quick Aside: 36 Summary 36 CHAPTER 4 Building Investment Portfolios 39 (Fundamental, Technical and Quantitative Techniques) 39 An Introduction to Single Stock Selection 40 The Types of Analysis 40 Fundamental Analysis of Securities 41 Introducing Ratio Analysis 42 Liquidity and Solvency Ratios 43 Current Ratio 43 The Quick Ratio or Acid Test 43 Cash Ratio 44 Financial Leverage or Debt Ratios 44 Technical Analysis of Securities 45 The Main Assumptions of Technical Analysis 46 Quantitative Analysis 47 Passive Investors 48 The Passive vs Active Debate 48 Introducing the Efficient Market Hypothesis 48 So Why Use Active Managers? 51 So Passive or Active? 56 Summary 57 CHAPTER 5 Building Investment Portfolios 59 Choosing the Manager 61 Moving on to Operational Due Diligence 63 A Sample (Non-Exhaustive) List of Operational Checks 63 Quick Aside: Replicating Private Equity and a Passive Venture Capital Fund 65 Part 3 Portfolio Selection 69 CHAPTER 6 Moving Towards Liability Driven Investing 73 The Time Value of Money 73 More Extreme than the Extreme 76 The Basics Continued: Real Versus Nominal Discounting 77 A Simple and Brief Look at Bonds 78 Some Other Types of Bonds 79 How to Price a Bond 80 Key Terms 80 Immunisation Theory and Frank Redington 81 An Introduction to Interest Rate Swaps 82 What Is an Interest Rate Swap? 83 The Mechanics 83 Some Terms Used in the Market 83 A Quick Aside: Forward Rate Agreements (FRAs) 84 An Introduction to Inflation-Linked Securities 85 Why Do Governments Issue Inflation-Linked Bonds? 87 The Basic Mechanics 88 Inflation-Linked Swaps 89 The Global Market 90 Payers vs Receivers 91 The Zero-Coupon Swap 91 CHAPTER 7 The Defined Benefit Pension Plan and Explicit Liabilities 93 The Boots Example 95 The Stakeholders in a Typical Plan 97 A Checklist for Trustees 97 What Are the Liabilities? 98 CHAPTER 8 ESG, Governance and the Pensions Industry 101 The UN PRI 103 The Increasing Importance of ESG 105 What Does ESG Represent? 106 The Main Approaches to Ethical Investing 107 Screening and Beyond 107 ESG: A Screening Approach 108 Implementing a Screen 110 ESG: An Integration-Based Approach 111 Best in Class Positive Screening 112 Impact-Based ESG Investing 114 Engagement-Based ESG Investing 117 ESG in History 119 The Case of Cowan vs Scargill 119 Incorporating ESG into the SIP 121 The Revised Statement Should 122 CHAPTER 9 Moving Beyond Liability-Driven Investment 123 The World of CDI 123 What is the Difference Between LDI and CDI? 125 Credit Where It's Due 126 Moving into Illiquid Credit 126 Cash Flow-Driven Investment in Action 128 The ABC Scheme 128 What Are the Objectives of Our Typical CDI Scheme? 129 CHAPTER 10 The Statement of Investment Principles 131 Drawing up a Statement of Investment Principles 131 What the SIP must include 131 Preparing the SIP 132 A Sample Statement of Investment Principles 132 Statement of Investment Principles for the ABC Plan 132 Investment Objective and Strategy 133 Investment Strategy 133 Investment Restrictions 134 Investment Risk 134 Realising Investments 135 Responsible Investment 135 Additional Voluntary Contributions (AVCs) 136 CHAPTER 11 Liability-Driven RoboAdvice and the Development and Digitisation of the Industry 139 WealthTech: How Wealth Managers and their Clients are Embracing New Technologies 139 From WealthTech to Robo-Advice 143 Robo-Advice in Ten Points 143 A Brief Introduction to Robo-Advice 145 Pricing Structures for Digital Advice 147 Advice or Guidance: Robo-advice or Partially Automated Digital Guidance 148 From the FCA 150 Further Developments in LDI 151 The Evolution of LDI and the Creation of Cash Flow-Driven Investment 151 What is Cash Flow-Driven Investment? 151 The Evolution of LDI 152 INDEX 155

O autorze

DAN TAMMAS-HASTINGS has over 20 years experience in the financial markets. He is the CEO and founder at the Asset Management and Digital Advice firm RiskSave. He founded the company in 2015, in response to inadequate risk measures and a lack of transparency dominating the financial services industry. After a successful career as a fixed income trader specialising in GBP derivatives at Merrill Lynch and as a hedge fund manager, managing multi-billion-pound portfolios across credit and rates, he now writes on various issues within investment and risk management and is in charge of strategy and investment at RiskSave as well as advising other investment and technology firms. Dan has been awarded both the CFA and FRM charters, and is a graduate of the London School of Economics and the University of Cambridge.