267-268 Green Sheet, 217-222 green zone, 214, 216, 222, 270-273, 432-433 implementation of, 212 performance measurement, 249-252 purpose of, 212, 251, 257-258 rationale, 258-259 red zone, 214, 216, 432^33 risk budget, 221-222 yellow zone, 214, 216, 271, 273, 432-433 Risk plan, 253-255 Risk premiums: global equilibrium, 75 implications of, 42-43, 156 risk budget development, 183 uncorrelated assets, 154 Risk reduction strategies, 152, 534 Risk/return trade-offs, 115, 120, 154, 520,553 Risk tolerance, 25, 42-43, 57 Roll, Richard, 100 Rolling window technique, 229-230 R-squared statistics, equity risk factor models, 343-344, 388 Rule-based portfolio, 429-430 Russell iShares, 389 Russell 1000, 427 Russell 2000,188, 427 Russell 2000 Value Index (R2000V), 299 Russell 3000, 92, 212, 214, 248, 488 Safe asset allocation, 552, 554, 564 Salary growth, implications of, 111 Salomon Smith Barney (SSB) Developed World index, 93 Emerging Composite index, 93 Global Equity Index (GEI), 91-93, 95-96y 98 S&P 500, 30, 97,196-197, 306, 328, 355, 388-389, 428, 464, 508, 510, 512 S&P 600, 427 Satellite portfolio, 582-586 Secondary market, 437 Sector allocation strategy, 445 Sector contributions, return attribution, 320-322, 325-326, 328 Sector risk, 437^38 Securities and Exchange Commission (SEC), 285, 287-288, 290, 296, 502 Securities selection: global equity indexes, 97 risk budgeting, 447-448 strategies, 445 Security-specific risk, 441-442 Selective perception, 418 Self-insurance, 254 Sell signals, modern portfolio theory (MPT), 17-20 Senior leadership, functions of, 255 Senior management, functions of: risk management, 260 valuation policies, 289-290 Serial correlation, covariance matrix estimation, 233, 237-239, 244 Settlement risk, 251 Shadow price, 249, 255 Sharpe, William E, 33, 36 Sharpe ratio: currency hedging, 151 expected returns, 164 global diversification, 122 implications of, generally, 33, 75, 105,113-114 implied, 166 performance measurement, 273, 275 strategic asset allocation, 110, 112, 120 uncorrelated assets, 155, 158-159, 163-166, 168 Short positions, 22, 28, 361 Short sales, 441,502 Short-term price reversal anomaly, 421 Shrinkage, portfolio construction, 467 Siegel's paradox, 61-63, 69