ManagementStrategies(投资分析与投资组合管理)(36页PPT).pptx

Lecture Presentation Software to accompanyInvestment Analysis and Portfolio ManagementSeventh Editionby Frank K.Reilly&Keith C.BrownChapter 17Chapter 17-Equity Portfolio Management StrategiesQuestions to be answered:What are the two generic equity portfolio management styles?What are three techniques 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 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 indicate 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 can 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 equity portfolio managementAttempts to outperform a passive benchmark portfolio on a risk-adjusted basisAn 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 to 2 percent)are hard to overcome in risk-adjusted performanceMany different market indexes are used for tracking portfoliosIndex Portfolio Strategy Construction Techniques Full replicationSamplingQuadratic optimization or programmingFull ReplicationAll securities in the index are purchased in proportion to weights in the indexThis helps ensure close trackingIncreases transaction costs,particularly with dividend reinvestmentSamplingBuys a representative sample of stocks in the benchmark index according to their weights in the indexFewer stocks means lower commissionsReinvestment of dividends is less difficultWill not track the index as closely,so there will be some tracking errorExpected 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 StocksQuadratic Optimization(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 time,leading to failure to track the indexMethods 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 financial institution that issued the certificatesAn 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 managerTransactions costs must be offsetRisk can exceed passive benchmarkFundamental 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:ValueGrowthP/ECapitalizationSensitivity to economic variablesTechnical 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 somewhat higher returns than growth stocksValue versus GrowthGrowth-oriented investor will:focus on EPS and its economic determinantslook for companies expected to have rapid EPS growthassumes constant P/E ratioValue versus GrowthValue-oriented investor will:focus on the price componentnot care much about current earningsassume the P/E ratio is below its natural levelStyleConstruct 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-average earnings per share increasesDoes 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 of the total portfolio to be shared between the investment managers and a sponsorDetermining StyleStyle grid:firm sizevalue-growth characteristicsStyle analysisconstrained least squaresBenchmark PortfoliosSharpeT-bills,intermediate-term government bonds,long-term government bonds,corporate bonds,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 stocksBenchmark PortfoliosSharpeBARRAUses portfolios formed around 13 different security 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 capitalizationBenchmark PortfoliosSharpeBARRAIbbotson 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 valueTiming Between StylesVariations in returns among mutual funds are largely attributable to differences in stylesDifferent styles tend to move at different times in the business cycleAsset Allocation StrategiesIntegrated asset allocationcapital market conditionsinvestors objectives and constraintsStrategic asset allocationconstant-mixTactical asset allocationmean reversioninherently contrarianInsured asset allocationconstant proportionAsset 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 conditionsUsing Futures 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 returnsThe 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 exposure to international marketsCurrency exposure can be managed using currency futures and optionsUsing Derivatives in Passive Equity Portfolio ManagementFutures and options can help control cash inflows and outflows from the portfolioInflows-index contracts allow time to make investmentsOutflows-large planned withdrawal is made by selling securities,which causes an increase in cash holdings;futures can counterbalance this until the withdrawalOptions can be sold to reduce weightings in sectors or individual stocks during rebalancingUsing Derivatives in Active Equity Portfolio ManagementModifying systematic riskModifying unsystematic riskThe InternetInvestments OnlineEnd of Chapter 17Equity Portfolio Management StrategiesFuture topicsChapter 18 Bond Fundamentals1、每一个成功者都有一个开始。勇于开始，才能找到成功的路。11月-2211月-22Tuesday,November 8,20222、成功源于不懈的努力，人生最大的敌人是自己怯懦。17:12:0817:12:0817:1211/8/2022 5:12:08 PM3、每天只看目标，别老想障碍。11月-2217:12:0817:12Nov-2208-Nov-224、宁愿辛苦一阵子，不要辛苦一辈子。17:12:0817:12:0817:12Tuesday,November 8,20225、积极向上的心态，是成功者的最基本要素。11月-2211月-2217:12:0817:12:08November 8,20226、生活总会给你另一个机会，这个机会叫明天。08 十一月 20225:12:08 下午17:12:0811月-227、人生就像骑单车，想保持平衡就得往前走。十一月 225:12 下午11月-2217:12November 8,20228、业余生活要有意义，不要越轨。2022/11/8 17:12:0817:12:0808 November 20229、我们必须在失败中寻找胜利，在绝望中寻求希望。5:12:08 下午5:12 下午17:12:0811月-2210、一个人的梦想也许不值钱，但一个人的努力很值钱。11/8/2022 5:12:08 PM17:12:0808-11月-2211、在真实的生命里，每桩伟业都由信心开始，并由信心跨出第一步。11/8/2022 5:12 PM11/8/2022 5:12 PM11月-2211月-22谢谢大家谢谢大家