overview, 19-20 Portfolio risk: currency hedging, 145 decomposition of, 34-35 implications of, 13-14, 17, 21 measurement, 378-379 Portfolio valuations, periodic reviews of, 293 Positive RCTE, 382 Post-earnings-announcement drift,421, 460 Practice of Risk Management, The fLitterman/Gumerlock), 251, 259 Predicted beta, 387 Predicted R-squared, 388 Preferred stock, 565 Prepayment duration, 440 Prepayment risk, 439^140, 442 Price comparisons: against independent model prices, 292-293 pricing sources, 291-292 Price/earnings fP/E) ratio: annual returns, 555 estimated risk premium, 45 expansion, 47, 52 growth, 4 7 historic returns, 546 Price reversals, 422 Price verification, 290 Pricing: methodologies, 289 override/manual price procedures, 289 valuation oversight philosophy, 286-288 Pricing in, defined, 444 Principal component analysis fPCA), 345-348 Principal package trading, 432 Private equity, see Private equity investments characteristics of, 25, 104-105 defined, 102 market portfolio and, 102-103 Private equity funds, 565 Private equity investments: characteristics of, generally, 516-517, 530 historical returns, 521-523 mechanics of, 519 optimal allocation examples, 525-528 purpose of, 516-517 return sources, 523-525 returns statistics, 519-520 risk, 518 suboptimal allocation, 528-530 types of, 517-519 valuation, 519-520 Private wealth: after-tax results, investing for, 533-545 after-tax returns for U.S. stocks, bonds, and bills, 546-564 asset allocation and location, 565-578 equity portfolio structure, 579-593 Probabilities, in risk management, 31 Probability distributions, 32, 81, 83, 227-228, 239 Productivity growth, 50 Profitability, risk-adjusted, 256 Proxy universe, 357 Public equities, 565 Public equity market, 102, 518 Pure overlay, global tactical asset allocation (GTAA), 455, 458-459, 467 Quantitative analysis, management selection, 404-405 Quantitative management, equity portfolio management (EPM), 418-419 Quantitative modeling, 87 RACS, see Risk-adjusted change in surplus (RACS) Raw exposure, 350 Real estate, generally: investments, 25, 78, 100-105 publicly traded, 101-103