简介
Praise for The Independent Fiduciary "Rusty Olson is a pioneer and leader in wise investing for pension funds. Institutional executives in all nations should study his experienced advice." -John M. Templeton Founder, Templeton Investment Counsel "Rusty Olson has provided a reader-friendly tour through the complex jungle of investing, pointing out both the opportunities and pitfalls that lie before the independent fiduciary. At once constructive and skeptical, his common sense-particularly the wit and wisdom of Chapter 18, 聭Aphorisms'-shows through this thoughtful book." -John C. Bogle Founder, The Vanguard Group "Rusty Olson is one of the best managers the fund sponsor side has ever produced. He understands the risk and reward of diverse asset classes and has the stomach to follow his convictions. He is in every sense a professional investor." -William Crerend Founder, Evaluation Associates, Inc. "I can highly recommend Rusty Olson's new book on the basis of almost twenty years' experience with him. He touches on all the bases of possible intelligent investment, by no means limiting his responsibilities to the active market of the stock exchange, NASDAQ, etc. It would seem essential that every library in the country should want to own this volume." -Roy R. Neuberger Founder, Neuberger Berman "Rusty Olson is a wise fiduciary. Drawing on his vast experience he introduces the language, concepts, and issues that every fiduciary must understand and suggests solutions to many thorny problems." -Barr Rosenberg Chairman, AXA Rosenberg Group LLC "Rusty Olson has been one of the most intense students and brilliant executors of investment opportunities and risk assessment for retirement funds. BARRA RogersCasey has had the honor to serve Rusty and Eastman Kodak for over twenty years-always learning from him. The Independent Fiduciary will evolve into Retirement Fund Investing 101 for newcomers and experienced practitioners alike." -John F. Casey Chairman, BARRA RogersCasey
目录
Introduction p. 1
Organization of the Book p. 3
Keeping Score I: Investment Returns p. 5
Total Return p. 6
Valuing Our Investments p. 7
What's a Good Rate of Return? p. 8
Benchmarks for a Manager p. 17
Returns on a Portfolio of Investments p. 22
In Short p. 24
Calculating Rates of Return p. 25
Keeping Score II: Risk p. 29
Volatility p. 31
Correlation p. 35
Systematic Risk and Diversifiable Risk p. 35
What to Do about Risk? p. 36
The Efficient Frontier p. 37
Risk-Adjusted Returns: The Sharpe Ratio p. 39
Application of Risk-Adjusted Returns p. 40
Risk of Increased Pension Contributions p. 42
Derivatives--A Boon, or a Different Four-Letter Word? p. 43
Overall Fund Risk p. 47
In Short p. 47
Investment Objectives p. 48
Time Horizon p. 49
Risk p. 51
Return p. 54
Measuring the Benchmark p. 56
Target Asset Allocation p. 57
Rebalancing p. 58
Preparing a Statement of Investment Policies p. 59
In Short p. 65
Asset Allocation p. 66
Characteristics of an Asset Class p. 67
Asset Classes p. 74
Putting It All Together p. 88
A Secondary Benefit of Diversification p. 93
In Short p. 95
Selecting Investment Managers p. 96
Our Goal p. 96
Three Basic Approaches p. 97
Categorizing Managers by Style p. 106
Benchmark Risk p. 106
Accentuating the Positive p. 107
Arrogant Managers p. 108
A Passion to Be Best p. 109
Strategic Partners p. 109
How Much Excess Return to Expect p. 110
Commingled Funds p. 111
How Many Managers? p. 112
Fees p. 114
In Short p. 116
Typical Questionnaire for a Prospective Equity Manager p. 117
Managing Investment Managers p. 121
The Management Agreement p. 121
Objectives of the Account p. 122
Monitoring Managers p. 123
The Meaning of Control p. 131
When to Take Action p. 132
Dollar-Cost Averaging p. 141
Rebalancing p. 141
In Short p. 143
Typical Annual Questionnaire for an Existing Equity Manager p. 144
Dollar-Cost Averaging p. 149
Investing in Real Estate p. 151
Private Investments p. 151
Core Real Estate p. 153
Venture Real Estate p. 155
Ways to Invest in Real Estate p. 157
International Real Estate p. 162
In Short p. 163
Alternative Asset Classes p. 164
Venture Capital Funds p. 164
Buy-In Funds p. 168
Buy-Out Funds and LBOs p. 169
Distressed Securities p. 170
Absolute Return Programs p. 171
In Short p. 184
How Does Leveraged Convertible Arbitrage Work? p. 185
Negotiating Agreements for Private Investments p. 187
An ERISA Problem p. 188
Terms and Conditions for Consideration by Plan Sponsors When Investing in Private Investment Funds p. 189
Other Due Diligence Procedures p. 201
Legal Documentation p. 202
In Short p. 202
A Real Estate Performance Fee Schedule p. 203
The Master Trustee p. 207
Keeping the Books p. 208
Management Information p. 210
Flexibility p. 212
An Extension of the Plan Sponsor's Staff p. 213
Criteria for Selecting a Master Trustee p. 214
In Short p. 214
The Master Trustee/The Master Custodian p. 215
Bells and Whistles p. 217
The Bank p. 217
Securities Lending p. 222
Hedging Foreign Exchange p. 224
Soft Dollars p. 228
In Short p. 232
Information Retrieval System (Files) p. 233
Committee Meeting Records p. 233
Contracts and Agreements p. 234
Permanent Files on Each Manager p. 234
Financial Reports p. 235
Current Correspondence File p. 235
Manager Notebook p. 235
Money Manager Files p. 236
In Short p. 236
Keeping Score III: Liabilities p. 237
Measuring a Pension Liability p. 237
Pension Liabilities for Active Employees p. 239
Pension Expense and Pension Contributions p. 242
Immunization p. 245
Impact of Liabilities on Investment Strategy p. 246
Impact of Pension Expense on Corporate Budgets p. 247
In Short p. 247
Governance p. 248
Standards to Meet p. 249
Fiduciary Committees p. 250
Staff p. 255
Interaction of Committee and Staff p. 259
Advice of Counsel p. 265
Proxies p. 266
In Short p. 266
Coordinating Pension Financing at a Company's
Subsidiaries p. 267
Global Policies p. 268
Can One Size Fit All? p. 271
In Short p. 273
Defined Benefit Plans vs. Defined Contribution Plans p. 274
Changes in the Public Sector p. 277
A Word about Lump Sums p. 278
In Short p. 279
Endowment Funds p. 280
The Total Return, Imputed Income Approach p. 281
"Owners" of the Endowment Fund p. 283
Investing Endowment Funds p. 285
Social Investing p. 288
In Short p. 290
Pro Forma Results of the Imputed Income Method p. 291
The Total Return or Imputed Income Method p. 293
Unit Accounting p. 295
Aphorisms p. 299
Investing under Uncertainty p. 299
Playing the Odds p. 299
What We Don't Know p. 300
Reversion to the Mean p. 300
Keys on the Piano p. 301
Murphy's Law and Discontinuities p. 301
The Dreaded Disease of Myopia p. 302
A Game of Inches p. 302
I Was Wrong p. 303
The Open Mind p. 303
On Taking Advice p. 304
Thinking Outside the Box p. 305
Opportunists p. 306
Leverage p. 307
Question the Numbers p. 308
Close Enough Is Good Enough--and Sometimes Better p. 309
Why? p. 310
So What? p. 310
Impatience p. 311
Trust p. 311
Aphorisms of Others p. 312
In Short p. 316
Index p. 317
Organization of the Book p. 3
Keeping Score I: Investment Returns p. 5
Total Return p. 6
Valuing Our Investments p. 7
What's a Good Rate of Return? p. 8
Benchmarks for a Manager p. 17
Returns on a Portfolio of Investments p. 22
In Short p. 24
Calculating Rates of Return p. 25
Keeping Score II: Risk p. 29
Volatility p. 31
Correlation p. 35
Systematic Risk and Diversifiable Risk p. 35
What to Do about Risk? p. 36
The Efficient Frontier p. 37
Risk-Adjusted Returns: The Sharpe Ratio p. 39
Application of Risk-Adjusted Returns p. 40
Risk of Increased Pension Contributions p. 42
Derivatives--A Boon, or a Different Four-Letter Word? p. 43
Overall Fund Risk p. 47
In Short p. 47
Investment Objectives p. 48
Time Horizon p. 49
Risk p. 51
Return p. 54
Measuring the Benchmark p. 56
Target Asset Allocation p. 57
Rebalancing p. 58
Preparing a Statement of Investment Policies p. 59
In Short p. 65
Asset Allocation p. 66
Characteristics of an Asset Class p. 67
Asset Classes p. 74
Putting It All Together p. 88
A Secondary Benefit of Diversification p. 93
In Short p. 95
Selecting Investment Managers p. 96
Our Goal p. 96
Three Basic Approaches p. 97
Categorizing Managers by Style p. 106
Benchmark Risk p. 106
Accentuating the Positive p. 107
Arrogant Managers p. 108
A Passion to Be Best p. 109
Strategic Partners p. 109
How Much Excess Return to Expect p. 110
Commingled Funds p. 111
How Many Managers? p. 112
Fees p. 114
In Short p. 116
Typical Questionnaire for a Prospective Equity Manager p. 117
Managing Investment Managers p. 121
The Management Agreement p. 121
Objectives of the Account p. 122
Monitoring Managers p. 123
The Meaning of Control p. 131
When to Take Action p. 132
Dollar-Cost Averaging p. 141
Rebalancing p. 141
In Short p. 143
Typical Annual Questionnaire for an Existing Equity Manager p. 144
Dollar-Cost Averaging p. 149
Investing in Real Estate p. 151
Private Investments p. 151
Core Real Estate p. 153
Venture Real Estate p. 155
Ways to Invest in Real Estate p. 157
International Real Estate p. 162
In Short p. 163
Alternative Asset Classes p. 164
Venture Capital Funds p. 164
Buy-In Funds p. 168
Buy-Out Funds and LBOs p. 169
Distressed Securities p. 170
Absolute Return Programs p. 171
In Short p. 184
How Does Leveraged Convertible Arbitrage Work? p. 185
Negotiating Agreements for Private Investments p. 187
An ERISA Problem p. 188
Terms and Conditions for Consideration by Plan Sponsors When Investing in Private Investment Funds p. 189
Other Due Diligence Procedures p. 201
Legal Documentation p. 202
In Short p. 202
A Real Estate Performance Fee Schedule p. 203
The Master Trustee p. 207
Keeping the Books p. 208
Management Information p. 210
Flexibility p. 212
An Extension of the Plan Sponsor's Staff p. 213
Criteria for Selecting a Master Trustee p. 214
In Short p. 214
The Master Trustee/The Master Custodian p. 215
Bells and Whistles p. 217
The Bank p. 217
Securities Lending p. 222
Hedging Foreign Exchange p. 224
Soft Dollars p. 228
In Short p. 232
Information Retrieval System (Files) p. 233
Committee Meeting Records p. 233
Contracts and Agreements p. 234
Permanent Files on Each Manager p. 234
Financial Reports p. 235
Current Correspondence File p. 235
Manager Notebook p. 235
Money Manager Files p. 236
In Short p. 236
Keeping Score III: Liabilities p. 237
Measuring a Pension Liability p. 237
Pension Liabilities for Active Employees p. 239
Pension Expense and Pension Contributions p. 242
Immunization p. 245
Impact of Liabilities on Investment Strategy p. 246
Impact of Pension Expense on Corporate Budgets p. 247
In Short p. 247
Governance p. 248
Standards to Meet p. 249
Fiduciary Committees p. 250
Staff p. 255
Interaction of Committee and Staff p. 259
Advice of Counsel p. 265
Proxies p. 266
In Short p. 266
Coordinating Pension Financing at a Company's
Subsidiaries p. 267
Global Policies p. 268
Can One Size Fit All? p. 271
In Short p. 273
Defined Benefit Plans vs. Defined Contribution Plans p. 274
Changes in the Public Sector p. 277
A Word about Lump Sums p. 278
In Short p. 279
Endowment Funds p. 280
The Total Return, Imputed Income Approach p. 281
"Owners" of the Endowment Fund p. 283
Investing Endowment Funds p. 285
Social Investing p. 288
In Short p. 290
Pro Forma Results of the Imputed Income Method p. 291
The Total Return or Imputed Income Method p. 293
Unit Accounting p. 295
Aphorisms p. 299
Investing under Uncertainty p. 299
Playing the Odds p. 299
What We Don't Know p. 300
Reversion to the Mean p. 300
Keys on the Piano p. 301
Murphy's Law and Discontinuities p. 301
The Dreaded Disease of Myopia p. 302
A Game of Inches p. 302
I Was Wrong p. 303
The Open Mind p. 303
On Taking Advice p. 304
Thinking Outside the Box p. 305
Opportunists p. 306
Leverage p. 307
Question the Numbers p. 308
Close Enough Is Good Enough--and Sometimes Better p. 309
Why? p. 310
So What? p. 310
Impatience p. 311
Trust p. 311
Aphorisms of Others p. 312
In Short p. 316
Index p. 317
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