Predictions of Local CAPM
Evidence for Local CAPM
Differentiation
Retail Rather Than Wholesale Funds
Loans Rather Than Securities
Low- and High-Quality Assets
Short- Rather than Long-Maturity Assets
Floating- Rather than Fixed-Rate Debt
Conclusion
Appendix: A Few Special Topics in Bank Balance Management—The Duration of Regulatory Leverage
11 Investing for Property/Casualty and Life Insurers
The Structure of Insurance Investing
The Basics of Insurance
Sources of Comparative Advantage
Predictions of Local CAPM
Evidence of Local CAPM
Conclusion
12 Investing for Broker/Dealers
Broker Market Structure
Revenues for Brokers
The Volcker Rule
The Role of Broker as Financial Intermediary
Sources of Comparative Advantage
Predictions of Local CAPM
Informal Findings
Conclusion
13 Investing for Real Estate Investment Trusts
REIT Market Structure
Sources of Comparative Advantage
Predictions of Local CAPM
Informal Evidence
Conclusion
14 Investing for Sovereign Wealth Funds
The Structure of Sovereign Wealth Funds
The Challenges of Governance and Public Support
The Issue of Government or Individual Control
Sources of Comparative Advantage
Predictions of Local CAPM
Informal Evidence
Conclusion
15 Investing for Individuals
The Structure of Individual Investing
Sources of Comparative Advantage
Predictions of Local CAPM
Informal Results
Conclusion
6 Part III: Markets 16 Turning the Tables: Investor Impact on Asset Values The Yield Curve Conundrum European Demand for Highly Rated Assets The Effects of Quantitative Easing Bank Liquidity Rules Shift Investment Portfolio Holdings Other Cases The Competitive Portfolio Response
9 Index
List of Tables
1 Chapter 6Table 6.1 Examples of portfolios with different amounts and types of leverageTable 6.2 The impact of shifting rates depends on leverageTable 6.3 Candidates for hedgingTable 6.4 Assets with sensitivity to different risks
2 Chapter 7Table 7.1 The level of a risk can take on a different value in each future st...Table 7.2 Examples of risk levels in hypothetical future states
3 Chapter 8Table 8.1 Rules for including securities in the Bloomberg Barclays US Aggrega...Table 8.2 Grinold and Kahn's estimate of information ratios across managersTable 8.3 The Bloomberg Barclays Aggregate US Credit Index is a subset of the...Table 8.4 Regressing a more diversified index such as the Bloomberg Barclays ...
4 Chapter 9Table 9.1 Corrections for survivor and backfill bias lower average hedge fund...Table 9.2 Hedge fund alpha and systematic beta estimates January 1995–2008Table 9.3 Fung-Hsieh seven-factor model January 1995–December 2009
5 Chapter 10Table 10.1 The aggregate US bank balance sheetTable 10.2 A stylized example of a bank balance sheetTable 10.3 Bank risk weights for selected assetsTable 10.4 Accounting classifications for fixed income securitiesTable 10.5 A range of US bank business models as of early 2019Table 10.6 A sample of bank balance sheetsTable 10.7 A simple bank balance sheet invested in mark-to-market securitiesTable 10.8 A simple bank balance sheet after a shift in rates
6 Chapter 11Table 11.1 Average insurer balance sheet (1999–2009)Table 11.2 A simple insurance exampleTable 11.3 Components of insurer risk-based capital, or RBCTable 11.4 Contributions to life insurer RBCTable 11.5 Asset
