Competitive Advantage in Investing. Steven Abrahams

href="#ulink_3a76b1f7-55b1-5d4c-b4bc-b89185a6f93a">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

      7  References

      8  About the Author

      9  Index

      10  End User License Agreement

      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 risk requirementTable 11.6 RBC and target ROE lead to minimum acceptable asset yieldsTable 11.7 Asset accounting treatment

      7 Chapter 12Table 12.1 Broker ROE shows aleveraged return to fixed income (2.51x) and a d...

      8 Chapter 13Table 13.1 REITs have to meet asset, income, and ownership requirements

      9 Chapter 14Table 14.1 The