ManagementStrategies(投資分析與投資組合管理)ppt課件

1、Lecture Presentation Software to accompanyInvestment Analysis and Portfolio ManagementSeventh Editionby Frank K. Reilly & Keith C. BrownChapter 17.Chapter 17 - Equity Portfolio Management StrategiesQuestions to be answered:What are the two generic equity portfolio management styles?What are three te

2、chniques for constructing a passive index portfolio?How does the goal of a passive equity portfolio manager differ from the goal of an active manager?What is a portfolios tracking error and how is it useful in the construction of a passive equity investment?.Chapter 17 - Equity Portfolio Management

3、StrategiesWhat is the difference between an index mutual fund and an exchange-traded fund?What are the three themes that active equity portfolio managers can use?What stock characteristics differentiate value-oriented and growth-oriented investment styles?What is style analysis and what does it indi

4、cate about a managers investment performance?.Chapter 17 - Equity Portfolio Management StrategiesWhat techniques are used by active managers in an attempt to outperform their benchmark?What are differences between the integrated, strategic, tactical, and insured approaches to asset allocation?How ca

5、n futures and options be useful in managing an equity portfolio?.Passive versus Active ManagementPassive equity portfolio managementLong-term buy-and-hold strategyUsually tracks an index over timeDesigned to match market performanceManager is judged on how well they track the target indexActive equi

6、ty portfolio managementAttempts to outperform a passive benchmark portfolio on a risk-adjusted basis.An Overview of Passive Equity Portfolio Management StrategiesReplicate the performance of an indexMay slightly underperform the target index due to fees and commissionsCosts of active management (1 t

7、o 2 percent) are hard to overcome in risk-adjusted performanceMany different market indexes are used for tracking portfolios.Index Portfolio Strategy Construction Techniques Full replicationSamplingQuadratic optimization or programming.Full ReplicationAll securities in the index are purchased in pro

8、portion to weights in the indexThis helps ensure close trackingIncreases transaction costs, particularly with dividend reinvestment.SamplingBuys a representative sample of stocks in the benchmark index according to their weights in the indexFewer stocks means lower commissionsReinvestment of dividen

9、ds is less difficultWill not track the index as closely, so there will be some tracking error.Expected Tracking Error Between the S&P 500 Index and Portfolio Samples of Less Than 500 StocksExhibit 17.250040030020010002.01.03.04.0Expected Tracking Error (Percent)Number of Stocks.Quadratic Optimizatio

10、n (or programming techniques)Historical information on price changes and correlations between securities are input into a computer program that determines the composition of a portfolio that will minimize tracking error with the benchmarkThis relies on historical correlations, which may change over

11、time, leading to failure to track the index.Methods of Index Portfolio InvestingIndex FundsAttempt to replicate a benchmark indexExchange-Traded FundsEFTs are depository receipts that give investors a pro rata claim on the capital gains and cash flows of the securities that are held in deposit by a

12、financial institution that issued the certificates.An Overview of Active Equity Portfolio Management StrategiesGoal is to earn a portfolio return that exceeds the return of a passive benchmark portfolio, net of transaction costs, on a risk-adjusted basisPractical difficulties of active managerTransa

13、ctions costs must be offsetRisk can exceed passive benchmark.Fundamental StrategiesTop-down versus bottom-up approaches Asset and sector rotation strategies .Sector RotationPosition a portfolio to take advantage of the markets next moveScreening can be based on various stock characteristics:ValueGro

14、wthP/ECapitalizationSensitivity to economic variables.Technical Strategies Contrarian investment strategy Price momentum strategy Earnings momentum strategy .Value versus GrowthGrowth stocks will outperform value stocks for a time and then the opposite occursOver time value stocks have offered somew

15、hat higher returns than growth stocks.Value versus GrowthGrowth-oriented investor will:focus on EPS and its economic determinantslook for companies expected to have rapid EPS growthassumes constant P/E ratio.Value versus GrowthValue-oriented investor will: focus on the price componentnot care much a

16、bout current earningsassume the P/E ratio is below its natural level.StyleConstruct a portfolio to capture one or more of the characteristics of equity securitiesSmall-capitalization stocks, low-P/E stocks, etcValue stocks appear to be underpricedprice/book or price/earningsGrowth stocks enjoy above

17、-average earnings per share increases.Does Style Matter?Choice to align with investment style communicates information to clientsDetermining style is useful in measuring performance relative to a benchmarkStyle identification allows an investor to diversify by portfolioStyle investing allows control

18、 of the total portfolio to be shared between the investment managers and a sponsor.Determining StyleStyle grid: firm sizevalue-growth characteristicsStyle analysisconstrained least squares.Benchmark PortfoliosSharpeT-bills, intermediate-term government bonds, long-term government bonds, corporate bo

19、nds, mortgage related securities, large-capitalization value stocks, large-capitalization growth stocks, medium-capitalization stocks, small-capitalization stocks, non-U.S. bonds, European stocks, and Japanese stocks.Benchmark PortfoliosSharpeBARRAUses portfolios formed around 13 different security

20、characteristics, including variability in markets, past firm success, firm size, trading activity, growth orientation, earnings-to-price ratio, book-to-price ratio, earnings variability, financial leverage, foreign income, labor intensity, yield, and low capitalization.Benchmark PortfoliosSharpeBARR

21、AIbbotson Associatessimplest style model uses portfolios formed around five different characteristics: cash (T-bills), large-capitalization growth, small-capitalization growth, large-capitalization value, and small-capitalization value.Timing Between StylesVariations in returns among mutual funds ar

22、e largely attributable to differences in stylesDifferent styles tend to move at different times in the business cycle.Asset Allocation StrategiesIntegrated asset allocationcapital market conditionsinvestors objectives and constraintsStrategic asset allocationconstant-mixTactical asset allocationmean

23、 reversioninherently contrarianInsured asset allocationconstant proportion.Asset Allocation StrategiesSelecting an allocation method depends on: Perceptions of variability in the clients objectives and constraints Perceived relationship between the past and future capital market conditions.Using Fut

24、ures and Options in Equity Portfolio ManagementSystematic and unsystematic risk of equity portfolios can be modified by using futures and options derivativesSelling futures on the portfolios underlying assets reduces the portfolios sensitivity to price changes of the assetOptions do not have symmetrical impact on returns.The Use of Futures in Asset AllocationAllows changing the portfolio allocation quickly to adjust to forecasts at lower transaction costsFutures can maintain an overall balance in a portfolioFutures can gain exp