Competitive Advantage in Investing. Steven Abrahams

Competitive Advantage in Investing

in 2019

10 Chapter 16Table 16.1 Europe invested heavily in corporate debt and structured products ...

List of Illustrations

1 Chapter 1Figure 1.1 Markowitz's approach leads to a limited combination of securities...Figure 1.2 The periodic returns on different assets can vary together, with ...Figure 1.3 Markowitz also showed that risk in a portfolio falls as the corre...

2 Chapter 2Figure 2.1 In Markowitz's world, every risk-averse investor would make a dif...Figure 2.2 Borrowing and lending at the riskless rate allows any investor to...Figure 2.3 Steady investment in portfolios along the capital market line rai...

3 Chapter 3Figure 3.1 On stock portfolios that vary in their beta, realized returns are...

4 Chapter 4Figure 4.1 CAPM critically assumes unlimited leverage.

5 Chapter 5Figure 5.1 Investors can operate, and assets can trade, in separate local ma...Figure 5.2 Local investors hold the market portfolio along local capital mar...Figure 5.3 The aggregate market portfolio is a simple average of local marke...Figure 5.4 Investors free to diversify outside local markets move along the ...Figure 5.5 The global capital market line is always steeper than local capit...

6 Chapter 8Figure 8.1 The market value of mutual funds since 1980 has grown at an annua...Figure 8.2 Independents and bank and insurer affiliates make up the 25 large...Figure 8.3 Diverse asset allocation in the largest US fixed income mutual fu...Figure 8.4 Alpha generated by the largest mutual funds benchmarked against t...Figure 8.5 Relationship between alpha and the deviation of fund asset alloca...

7 Chapter 9Figure 9.1 Rapid growth of assets under management at hedge funds.Figure 9.2 Growth in number of hedge funds and funds-of-funds has lagged gro...Figure 9.3 Hedge fund liquidations accelerated into the financial crisis, ex...Figure 9.4 A rising percentage of hedge funds have chosen public listings....Figure 9.5 Year-by-year hedge fund alpha and systematic beta returns 1998–20...

8 Chapter 10Figure 10.1 Private depositories' share of US debt has fallen since the 1970...Figure 10.2 Steady consolidation in US commercial banking since the early 19...Figure 10.3 Banks stand between users and suppliers of funds.Figure 10.4 Key forms of bank fundingFigure 10.5 Estimated average lives for demand deposits run longer than OTS ...Figure 10.6 Projected price premiums for core deposits at selected depositor...Figure 10.7 Bank liability structures across major economies and regions...Figure 10.8 Banks hold an outsized share of US lending.

9 Chapter 11Figure 11.1 Top 25 property and casualty and life insurersFigure 11.2 US P&C insurers' asset balance and asset mixFigure 11.3 US life insurers' general account asset mixFigure 11.4 Fewer life insurers and rising employment point to consolidation...Figure 11.5 Life insurance in force has failed to keep up with US GPD.Figure 11.6 P&C insurers' combined ratio can vary significantly from year to...Figure 11.7 More volatility in paying for annuity surrenders than for life b...Figure 11.8 Sources of funding for life-and-health insurersFigure 11.9 Types of risks hedged with derivatives by insurersFigure 11.10 Life insurers tend to invest in debt with long maturities.Figure 11.11 Life insurance portfolios hold a larger share of illiquid secur...Figure 11.12 P&C insurers hold more than a quarter of their portfolio in mun...Figure 11.13 Both life and P&C insurers hold a majority of assets in fixed i...

10 Chapter 12Figure 12.1 The number of FINRA-registered firms has steadily declined.Figure 12.2 A small share of brokers control most revenue, assets, and capit...Figure 12.3 Broker return on equity has varied significantly with returns in...Figure 12.4 Brokers hold substantial net positions in fixed income assets....Figure 12.5 Trading gains and losses can be the most volatile part of broker...Figure 12.6 The average broker has held between $5 and $35 of assets for eve...Figure 12.7 Share of trading captured by the top five brokers varies signifi...

11 Chapter 13Figure 13.1 Equity REITs grew aggressively from 1985–1995 and again after 20...Figure 13.2 The market tracks at least 18 different types of US REITs.

12 Chapter 14Figure 14.1 Launch date, sponsor, and objectives of world SWFs to 2008Figure 14.2 Foreign exchange reserves in Asia have built up since the mid-19...Figure 14.3 Foreign sovereign portfolios hold most of their US exposure in T...

13 Chapter 15Figure 15.1 Most US household wealth is tied up in bank accounts, vehicles, ...Figure 15.2 Transactions costs for retail run up to four times the cost of b...Figure 15.3 Earnings vary with GDP especially for very high or low earners....Figure 15.4 Younger workers bear more GDP risk than older workers.Figure 15.5 The impact of GDP on earnings varies across industries.

14 Chapter 16Figure 16.1 Liquidity rules have shaped bank appetite for liquid assets....