The Endowment Model of Investing: Return, Risk, and Diversification -- Contents -- Preface -- Acknowledgments -- Part One: Alpha/Beta Building Blocks of Portfolio Management -- Chapter 1: The Modern Endowment Allocation Model -- TRULY LONG-TERM ORIENTATION -- NOVEL ASSET CLASSES AND SPECIAL ACCESS -- REMAKING THE INVESTMENT MANAGER RELATIONSHIP -- MORE MARKET-SENSITIVE ALLOCATIONS -- ASSET ALLOCATION -- BETA-BASED RISK AND RETURN: THE SIGMA AND BETA LINES -- NOTES -- REFERENCES -- Chapter 2: Structural Betas and Alphas -- FINDING THE BETA IN THE BLACK BOX -- THE STRUCTURAL BETA -- RETURN COMPONENTS OF ASSET CLASSES -- RISK COMPONENTS OF ASSET CLASSES -- PORTFOLIO BETA VALUES -- MODERN ALLOCATIONS WITH ALTERNATIVES -- THE EXTREME ALLOCATION -- RETURN COMPONENTS AT THE PORTFOLIO LEVEL -- COMPARISON OF PORTFOLIOS' RISKS AND RETURNS -- IMPLICATIONS FOR INSTITUTIONAL PORTFOLIOS -- BETA AS THE KEY RISK FACTOR -- NOTES -- Part Two: Beta-Based Asset Allocation -- Chapter 3: Beyond Diversification: Dragon Risk -- THE NATURE OF DIVERSIFICATION -- DRAGON RISK -- A DIVERSIFICATION MODEL -- DIVERSIFICATION IN SOURCES OF RETURN -- POTENTIAL DIVERSIFICATION COSTS -- OVERDIVERSIFICATION VERSUS DRAGON RISK -- Chapter 4: Reverse Asset Allocation Using Alpha Cores -- SIMPLIFYING THE PORTFOLIO OPTIMIZATION PROCESS -- THE ALPHA CORE -- THE SWING ASSETS -- THE FIXED ALPHA CORE SEGMENT -- GENERALITY OF THE ALPHA CORE REPRESENTATION -- VARYING THE CORE PARAMETERS -- THE CASH LINE SEGMENT -- THE BOND BRIDGE -- THE EQUITY EXTENSION SEGMENT -- THE THREE-SEGMENT FRONTIER -- THE FRONTIER SLOPE -- THE UPLIFTED FRONTIER -- CHANNEL RISK -- RISK MITIGATION AND ASSET CLASS INCLUSION -- CONCLUSION -- APPENDIX -- REFERENCES -- Chapter 5: The Efficient Frontier with Bonds as the Risk-Free Base -- THE EQUITY RISK PREMIUM -- BOND-RELATIVE ALPHAS AND BETAS -- RISK ANALYSIS.

PORTFOLIO LEVEL ANALYSIS -- THE ALPHA CORE -- EFFICIENT FRONTIER ANALYSIS -- THE ALPHA EFFECT -- APPENDIX -- Chapter 6: Expanding the Alpha Core -- INHERENT CONSTRAINTS ON ALTERNATIVE ASSETS -- BUILDING AN ALPHA CORE -- MAXIMUM-RETURN ALPHA CORES -- THE FLOWER DIAGRAM -- EXPANDING THE ALPHA CORE -- MOVING BEYOND BETA DOMINATION -- DUAL ACTIVE-ALLOCATION ALPHAS -- CONCLUSION -- Chapter 7: Alpha-Driven Efficient Frontiers -- THE EFFICIENT FRONTIER IN ALPHA SPACE -- INCREASING THE ALPHA CORE PERCENTAGE -- CONCLUSION -- Chapter 8: The Societal Efficient Frontier -- STANDARD EFFICIENT FRONTIERS -- THE SWING ASSET FRONTIER -- THE CONCEPT OF A SOCIETAL FRONTIER -- TOTAL BETAS AND THE DIVERSIFICATION PARADOX -- DRAGON RISK CONSTRAINTS AND CLIMBING THE ALPHA WALL -- A SOCIETAL FRONTIER OF QUANTUM RISK STATES -- ACTIVE ALPHAS AND OTHER RISK-AND-RETURN TRADEOFFS -- SOCIETAL GAPS AND OPPORTUNITIES -- REFERENCES -- Chapter 9: Equilibration -- BETA DOMINATION AND CONSTRAINED ALTERNATIVES -- ALPHA DECAY UNDER BETA DOMINATION -- REALIZED RETURNS VERSUS GOING-FORWARD ALPHAS -- SHARPE RATIO DECAY -- SEQUENTIAL ALPHA EROSION -- EQUILIBRATION ACROSS THE SOCIETAL FRONTIER -- REFERENCES -- Chapter 10: Shortfall Risks and Efficient Frontiers -- IMPORTANCE OF SHORTFALL RISK IN PORTFOLIOS -- EFFICIENT FRONTIERS USING FIXED ALPHA CORES -- SHORTFALL PROBABILITIES -- SHORTFALL REGIONS IN A RISK-AND-RETURN SPACE -- SHORTFALLS RELATIVE TO THE RISK-FREE BASELINE -- SHORTFALL PROBABILITIES ALONG THE EFFICIENT FRONTIER -- MULTIPLE HORIZON COMPARISONS -- APPENDIX -- REFERENCES -- Chapter 11: Convergence of Risks -- END-OF-PERIOD SHORTFALL PROBABILITIES -- WITHIN-PERIOD STOP-LOSS PROBABILITIES -- HIGH WATERMARK SHORTFALLS -- CHANGING THE THRESHOLDS AND HORIZONS -- SHORTFALL PROBABILITIES ALONG THE EFFICIENT FRONTIER -- ACCEPTABLE RISK-AND-RETURN REGIONS -- CONCLUSION -- REFERENCES.

Chapter 12: Active Alphas: Bound, Portable, and Integrated -- ALLOCATION ALPHAS -- ACTIVE ALPHAS -- PORTABLE ALPHAS -- BOUND-ACTIVE ALPHAS -- INTEGRATED ALPHAS -- RISK BUDGETS -- EXPANDING THE ACTIVE UNIVERSE -- SHIFTING POLICY PORTFOLIOS -- CONCLUSION -- REFERENCES -- Chapter 13: Beta-Based Performance Analysis -- ACTIVE VERSUS PASSIVE ALPHAS -- DECOMPOSITION OF BENCHMARK RETURN -- RELATIVE RETURN ANALYSIS -- ACTIVE ALPHAS WITHOUT REWEIGHTING -- OVERWEIGHTING ACTIVE ALPHAS -- ADDING A NEW ASSET CLASS -- BETA NEUTRALIZATION -- ANALYZING HISTORICAL PERFORMANCE -- CONCLUSION -- Chapter 14: Real Return Tents and Equity Durations -- P/E RATIOS AND NOMINAL INTEREST RATES -- P/E RATIOS AND EQUITY DURATION -- INFLATION VERSUS REAL RATE EFFECTS -- SPREAD-DRIVEN DDMs -- P/E RATIOS VERSUS INFLATION -- P/E RATIOS VERSUS REAL RATES -- CONCLUSION -- REFERENCES -- Part Three: Theoretical and Empirical Stress Betas -- Chapter 15: Stress Betas and Correlation Tightening -- PORTFOLIO CONVEXITY EFFECTS -- STRESS CORRELATIONS OF 1 -- RESIDUAL VOLATILITY CONSTANT -- VARYING RESIDUAL VOLATILITIES -- CONCLUSION -- APPENDIX -- REFERENCES -- Chapter 16: Stress Risks within Asset and Surplus Frameworks -- RISK LIFE CYCLES -- STRESS TIMES AS A DETERMINANT OF RISK TOLERANCE -- CORRELATION TIGHTENING UNDER STRESS -- DIVERGENCE UNDER STRESS -- SHORT TERM RISK REDUCTION AND LONG-TERM RETURNS -- NORMAL CORRELATION-BASED BETAS -- BETA RESPONSE CURVES -- STRESS BETAS -- THE SURPLUS FRAMEWORK -- SURPLUS BETA CURVES -- PARTIAL LIABILITY HEDGE -- FULL LIABILITY HEDGE -- DE-RISKING AND RE-RISKING -- MAINTAINING A FUND'S RETURN-SEEKING POTENTIAL -- DIVERSIFICATION ALPHAS -- ACTIVE ALPHAS -- DOUBLE ALPHAS AND PORTABILITY -- REFERENCES -- Chapter 17: Stress Beta Pathways -- AN EMPIRICAL EXAMPLE -- A MINIMUM RESIDUAL VOLATILITY MODEL -- IMPLIED ASSET VOLATILITY.

STRESS BETAS AT THE ASSET LEVEL -- SHORT TERM VULNERABILITY OF DIVERSIFIED PORTFOLIOS -- BETA PATHWAYS FOR INDIVIDUAL ASSET CLASSES -- APPENDIX -- Chapter 18: The Endowment Model: Theory and Experience -- THEORETICAL BETA-BASED RISKS -- HISTORICAL RISK CHARACTERISTICS -- ALPHA AND BETA RETURNS -- CONCLUSION -- Chapter 19: Diversification Performance: Under Stress (2008) and over the Long Term (1993 through 2007) -- A SEMI-DIVERSIFIED PORTFOLIO -- VOLATILITIES AND VOLATILITY RATIOS -- INDIVIDUAL AND PORTFOLIO CORRELATIONS WITH U.S. EQUITY -- HISTORICAL BETAS -- BETA-BASED AND ALPHA RETURNS -- STRESS BETA THEORY -- 2008 RESULTS AND STRESS BETAS -- CONCLUSION -- Part Four: Asset Allocation and Return Thresholds -- Chapter 20: Asset Allocation and Return Thresholds in a Beta World -- PERCENTILES IN RETURN AND BETA SPACE -- THE PERCENTILE FAN -- MINIMUM AND MAXIMUM BETAS FOR RETURN TARGETS -- THE CHARACTERISTIC PROBABILITY OF EXCEEDING THE RISK-FREE RATE -- MULTIYEAR HORIZONS -- BETA REGIMES -- SHORTFALL LINES -- ALPHA CORES AND STRESS BETAS -- CONCLUSION -- APPENDIX -- REFERENCES -- Chapter 21: Key Takeaways -- About the Authors -- Index.