349-350 local framework, 348-349 Linear factor model, return attribution: components of, 247, 303, 309 multiperiod attribution, 311-319 Linearity, in portfolio, 31, 100-101 Lintner, John, 36 Liquidation, private equity, 519-520 Liquidation mode, 542, 581-582 Liquidity, generally: awareness, 269 duration, 267 implications of, 472 risk, 27, 251 Local market asset exposure, 351-353 Log returns, 313-316 London InterBank Offer Rate (LIBOR), 74,444 Long position, 21, 361, 484 Long Term Capital Management (LTCM), 414, 461 Long-short portfolio, 359-360 Long-term investors, 555 Lottery, 11 Macroeconomic factors: defined, 4 8 equity risk factor models, 338-339, 341,344 interest rate risk and, 436 yield curve risk, 437 Managed portfolio: defined, 374-375 risk measures, 378 Management costs, 411 Management fees, 25-26, 28, 154, 289 Management philosophy, 270 Manager selection: asset-management approach, 400-402 fundamental analysis, 402-403 global tactical asset allocation, 481 investment decision making, 405-406 investment philosophy, 399^00 investment style, 401 qualitative analysis, 401 quantitative analysis, 404-405 self-classification, 401 triangulation, 403-404 Manager-selection team, 402, 405 Managerial styles: active, 26 structured vs. traditional, 193-197 Marginal contribution, portfolio risk, 19-21, 33, 38, 40,161,173, 200, 261,263,492^93 Mar-Hedge, 486 Market capitalization: asset exposure, 353-354 Black-Litterman global equilibrium approach, 79-80, 83 covariance matrix estimation, 225 equity risk factor models, 358, 360 free float, 92, 94, 98 global equilibrium, 59, 66, 70, 72-73 global equity factor model, 371 global equity portfolios, 92 Morgan Stanley Capital International (MSCI) global equity indexes, 93-94 risk premium, uncorrelated assets, 160 Salomon Smith Barney Global Equity Index (SSBGEI), 93 significance of, 4, 6, 37, 40-41, 43 Market distress, 242 Market factors, equity risk factor models, 338, 341-344 Market inefficiency, 459 Market makers, 292 Market neutral, 444 Market-neutral hedge funds, 153, 583 Market portfolio: assets in, 101-103 construction of, 100-103, 388 defined, 374-375 global bonds, 98-100 global equity, 91-98 strategic asset allocation, 108