CFA特许金融分析师一级基础课L1_SS12_Portfolio_Management_Final课件.ppt

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1、Portfolio ManagementOverviewOverviewIntroduction of the courseStudy Session 1Ethics&Professional Standards15%Study Session 2-3Quantitative Analysis12%Study Session 4-6Economics10%Study Session 7-10Financial Reporting and Analysis20%Study Session 11Corporate Finance7%Study Session 12Portfolio Managem

2、ent7%Study Session 13-14Equity Investment10%Study Session 15-16Fixed Income10%Study Session 17Derivatives5%Study Session 18Alternative Investments4%Weights:100%CONTENTS02 Portfolio Risk and Return:Part I03 Portfolio Risk and Return:Part IISESSION 12SESSION 1201 Portfolio Management:An Overview04 Bas

3、ics of Portfolio Planning and ConstructionPortfolio Approach to InvestingPortfolio ApproachEvaluating individual securities in relation to their contribution to the risk and return of the whole portfolio.Portfolio diversification helps investors avoid disastrous investment outcomes.Portfolio diversi

4、fication also generally offer equivalent expected returns with lower overall volatility of returns,which means the risk is reduced.Diversification RatioThe ratio of the standard deviation of the equally weighted portfolio to the standard deviation of the randomly selected security.LOS 41.a;CFA Curri

5、culum,Volume 4,P236-240()LOS 41.b;CFA Curriculum,Volume 4,P244-250()Individual InvestorsIndividualsDefined Contribution Pension PlanInstitutional InvestorsDefined Benefit Pension PlanEndowments and FoundationsBanksInsurance CompaniesInvestment Companies(Mutual Funds)Sovereign Wealth FundsTypes of In

6、vestorsTypes of Institutional InvestorsLOS 41.b;CFA Curriculum,Volume 4,P245-248()Endowments&FoundationsTo maintain the real(inflation-adjusted)capital value of the fund while generating income to fund the objectives of the institution.Established with the intent of having perpetual lives.BanksAccep

7、t deposits and extend loans.Earn a return on its reserves that exceeds the rate of interest it pays on its deposits.Types of Institutional InvestorsInsurance CompaniesLife InsurancelInvesting the premiums in a manner to pay the claims.lHave a longer time horizon than property&casualty insurance comp

8、anies.Property&Casualty InsurancelInvesting the premiums in a manner to pay the claimslHave a shorter time horizon than life insurance companies.LOS 41.b;CFA Curriculum,Volume 4,P248()Types of Institutional InvestorsLOS 41.b;CFA Curriculum,Volume 4,P253()Investment CompaniesCollective financial inst

9、itution that the investors pool the capital to have it invested by professional managers,e.g.,mutual fundsSovereign Wealth FundsGovernment-owned investment fundsFor the benefit of the future generation of citizensManage the exchange reserve or other assets of the state.DC Pension Plan vs.DB Pension

10、PlanLOS 41.c;CFA Curriculum,Volume 4,P244-245()Defined Contribution Pension PlanIndividuals makes specified contributions to pension plan,but the benefits are not guaranteedIndividuals accept the investment risk and rewardsDefined Benefit Pension PlanEmployers obligate to pay specified amount to the

11、ir employees after their retirements,the benefits are definedEmployers accept the investment riskCharacteristics of Institutional InvestorsLOS 41.b;CFA Curriculum,Volume 4,P()Institutional InvestorsTime HorizonRisk ToleranceIncome NeedsLiquidity NeedsDefined Benefit Pension PlanTypically long termTy

12、pically quite highHigh for mature,low for growingTypically quite lowEndowments and FoundationsLong termTypically highTo meet spending commitmentsTypically quite lowBanksShort termQuite lowPay interests and operation expensesTypically quite highInsurance CompaniesShort term of P&C,long term for lifeT

13、ypically quite lowTypically lowTypically quite highSteps In Portfolio Management ProcessLOS 41.d;CFA Curriculum,Volume 4,P250()PlanningUnderstanding the clients objectives and constraintsDeveloping the investment policy statement(IPS)The benchmark should be specified in IPS for evaluationIPS should

14、be reviewed regularlyExecutionDeciding the target asset allocation for the clientsSecurity analysisPortfolio construction and trade executionsFeedbackPortfolio monitoring and rebalancingPerformance evaluation and reportingPooled InvestmentsLOS 41.e;CFA Curriculum,Volume 4,P254-265()Mutual FundsOpen-

15、end FundsClosed-end FundsExchanged Traded FundsSeparately Managed AccountsHedged FundsBuyout FundsVenture Capital FundsPooled InvestmentsOpen-end FundsInvestors can buy and redeem the mutual fund shares at net asset valueNumber of shares issued would increase as new investments are made,or decrease

16、when withdrawn occurNot fully invested as some cash kept for redemptionFee charged:management fees,upfront fees,redemption fees(no upfront&redemption fees charged for no-load funds,either upfront or redemption,or even both are charged for load funds)LOS 41.e;CFA Curriculum,Volume 4,P256()Pooled Inve

17、stmentsLOS 41.e;CFA Curriculum,Volume 4,P256()Closed-end FundsNo new investments are acceptedNumber of shares issued does not change Investors can only liquidate the shares by selling them to other investorsTraded at a premium or discount to net asset valueCould be fully investedFee charged:manageme

18、nt fees,upfront feesPooled InvestmentsLOS 41.e;CFA Curriculum,Volume 4,P258-260()Types of Mutual Funds Money market fundsStock fundsBond fundsHybrid/balanced fundsPooled InvestmentsLOS 41.e;CFA Curriculum,Volume 4,P261()Exchange Traded FundsTraded like closed-end fundPrice tracking net asset valueTr

19、ansaction costs are lower compared to mutual fundsDividends are paid out to shareholdersMinimum required investment is smaller than that of index fundsTax advantages over index fundsPooled InvestmentsLOS 41.e;CFA Curriculum,Volume 4,P263()Separately Managed Accounts(Wrap Account)Assets are owned dir

20、ectly by the individuals or institutionsInvestors have control over which assets are bought or sold and timing of the transactionsAccounts managed by an individual professionalMinimum required investment is highPooled InvestmentsLOS 41.e;CFA Curriculum,Volume 4,P263-264()Hedge FundsNot for sale to t

21、he general public,only by private placementOffered solely to accredited investorsInvolving heavy use of leverage and derivativesExempt from reporting requirementsDifferent strategies are used(e.g.,long/short,convertible arbitrage,event-driven)Pooled InvestmentsLOS 41.e;CFA Curriculum,Volume 4,P263()

22、Buyout FundsUsing extensive leverageBuy all shares of the public companies and make them privateRestructuring the companies and increasing the cash flow Exiting the investments in 3-5 years through IPOs or sales to another companyPooled InvestmentsVenture Capital FundsProviding financing for compani

23、es in their start-up phasePlaying a very active role in the management of the companiesExiting the investments in 3-5 years through IPOs or sales to another companyMaking a large number of small investments,but only a small number will pay offLOS 41.e;CFA Curriculum,Volume 4,P265()Practice(1)High ri

24、sk tolerance,a long investment horizon,and low liquidity needs are most likely to characterize the investment needs of a(n):A.insurance company.B.bank.C.defined benefit pension plan.Answer:CA defined benefit pension plan typically has a long investment time horizon,low liquidity needs,and high risk

25、tolerance.Insurance companies and banks typically have low risk tolerance and high liquidity needs.Banks and property and casualty insurers typically have short investment horizons.Practice(2)The execution step of the portfolio management process includes:A.finalizing the asset allocation.B.monitori

26、ng the portfolio performance.C.preparing the investment policy statement.Answer:ADeciding the target asset allocation is the execution step of portfolio management process.B is the feedback step and C is the planning step.CONTENTS02 Portfolio Risk and Return:Part I03 Portfolio Risk and Return:Part I

27、ISESSION 12SESSION 1201 Portfolio Management:An Overview04 Basics of Portfolio Planning and ConstructionReturn MeasuresLOS 42.a;CFA Curriculum,Volume 4,P273()Holding period returnReturn earned from holding an asset for a single specified period of time.Average ReturnIt is used to estimate the expect

28、ed return of next single period.R=(R1+R2+Rn)/nReturn MeasuresLOS 42.a;CFA Curriculum,Volume 4,P275()Geometric Mean Return(Time-Weighted Return)Used to calculate the compounding growth rateProvides more accurate representation of growth rate than arithmetic mean return Money-Weighted Return(Internal

29、Rate of Return)The calculation of money-weighted return is similar to the internal rate of returnOther Return MeasuresLOS 42.a;CFA Curriculum,Volume 4,P281-282()Gross Return Return before deducting management and administrative fees.Net ReturnReturn after deducting management and administrative fees

30、.After-Tax Return Return after deducting tax liability.Real ReturnReturn after adjusting for inflation.Leveraged ReturnReturn on investors own investment by borrowing money.Other Return MeasuresLOS 42.a;CFA Curriculum,Volume 4,P281-282()Example:Other Return MeasuresAn investor buys 500 shares at$35

31、with 50%margin.After one year,the shares are sold for$50.The investor is subject to a 15%tax on gains,and inflation over the year was 4%.Ignoring interest and commissions,the investors real after-tax leveraged return is:Characteristics Of Major Assets LOS 42.b;CFA Curriculum,Volume 4,P287-288()Asset

32、 ClassesAnnual ReturnsStandard DeviationsSmall Cap11.7%33.0%Large Cap9.6%20.9%Corporate Bond5.9%8.4%Long-TermTreasury Bond5.7%9.4%Treasury Bills3.7%3.1%Source:2009 Ibbotson SBBI Classic Yearbook(Tables 2-1,6-1,C-l to C-7)Risk-Return Trade-Off:Positive relationship between expected risk and return.Me

33、an,Variance,Covariance And CorrelationLOS 42.c;CFA Curriculum,Volume 4,P283()Mean Population Mean Sample Mean Mean,Variance,Covariance And CorrelationLOS 42.c;CFA Curriculum,Volume 4,P284()Variance&Standard Deviation Population Variance&Standard Deviation Sample Variance&Standard Deviation Mean,Vari

34、ance,Covariance And Correlation CoefficientLOS 42.c;CFA Curriculum,Volume 4,P283()CovarianceCorrelation Coefficient Risk Aversion And Portfolio SelectionLOS 42.d;CFA Curriculum,Volume 4,P295()Risk AverseInvestors would prefer the one with less risk given investments offer equal expected returns.Inve

35、stors would prefer the one with higher expected return given investments with same risk.Risk SeekingInvestors would prefer the one with higher risk given investments offer equal expected returnsRisk NeutralInvestors are indifferent with the risk given certain expected returnUtility&Utility TheoryLOS

36、 42.d;CFA Curriculum,Volume 4,P296()A measure of relative satisfaction that an investor drives from different investment portfolios.Help us quantify the rankings of the investment choices using risk and return.Higher return and lower variance contribute higher utility,lower return and higher varianc

37、e would reduce utility.LOS 42.d;CFA Curriculum,Volume 4,P297()Indifferent CurvePlots the combinations of risk-return pairs that an investor would accept to maintain a given level of utility.Defined by trade-off between expected return and risk.The curves slope upwardly and getting steeper.Higher uti

38、lity corresponding to a more left or upward indifference curve.Investors indifferent curve may change in terms of the change in utility.Indifferent CurveLOS 42.d;CFA Curriculum,Volume 4,P297()Expected ReturnStandard DeviationIncreasing UtilityIndifferent Curves for An Risk-Averse InvestorIndifferent

39、 CurveLOS 42.d;CFA Curriculum,Volume 4,P297()Indifference Curves for Various Types of InvestorsPortfolio Return and Portfolio Standard DeviationLOS 42.e;CFA Curriculum,Volume 4,P305()Portfolio Return(the portfolio consisting of two risky assets)Portfolio Standard Deviation(the portfolio consisting o

40、f two risky assets)Portfolio Risk Of Investing In Less Perfected Correlated Assets If=1,thenIf 1,then LOS 42.f;CFA Curriculum,Volume 4,P306()The portfolio risk of Investing in assets that are less perfectly correlated is lower than the one with assets are perfectly correlated.Portfolio Risk and Retu

41、rn&CorrelationLOS 42.f;CFA Curriculum,Volume 4,P306()The portfolio risk decreases as the assets within the portfolio are becoming less correlated.Weight in Asset 1(%)Portfolio Return(%)Portfolio Risk with Correlation of1.00.50.2-1.0015.025.025.025.025.02013.422.421.320.617.64011.819.817.916.610.2601

42、0.217.215.013.42.8808.614.612.911.74.61007.012.012.012.012.0LOS 42.f;CFA Curriculum,Volume 4,P308()Portfolio Risk and Return&CorrelationRelationship between Risk and ReturnMinimum-Variance,Efficient Frontier and Global Minimum-Variance PortfolioLOS 42.g;CFA Curriculum,Volume 4,P318()Minimum-Variance

43、 Frontier and Efficient FrontierMinimum-Variance,Efficient Frontier and Global Minimum-Variance PortfolioLOS 42.g;CFA Curriculum,Volume 4,P318()Minimum-Variance of Risky AssetsThe investment opportunity sets of risky assets provide minimum variances(the lowest risk)given a certain level of return.Ef

44、ficient Frontier of Risky AssetsAlso called Markowitz Efficient Frontier.The investment opportunity sets of minimum variance that are above the global minimum-variance portfolio.The investment opportunity sets that not only provide the lowest risk given a certain level of return,but also offer the h

45、ighest return given certain level of risk.Minimum-Variance,Efficient Frontier and Global Minimum-Variance PortfolioLOS 42.g;CFA Curriculum,Volume 4,P318()Global Minimum-Variance PortfolioThe investment portfolio that has the lowest variance on minimum-variance of risky assets Capital Allocation Line

46、&Optimal Portfolio SelectionLOS 42.h;CFA Curriculum,Volume 4,P302()Capital Allocation LineRepresents the portfolios available to an investor through combining the risk-free asset with one risky asset.Capital Allocation Line with Two Assets Portfolio SelectionCapital Allocation Line&Optimal Portfolio

47、 SelectionLOS 42.h;CFA Curriculum,Volume 4,P303()Investor would choose optimal portfolio m to invest as it maximizes the return per unit of risk and simultaneously supplies the investor with the most satisfaction(utility).Capital Allocation Line&Optimal Portfolio SelectionLOS 42.h;CFA Curriculum,Vol

48、ume 4,P304()Investor investing in portfolio j is more risk averse than the one investing in portfolio k,the slope for js curve higher than the one for ks curve as investor j needs greater returns for taking same amount of risk compared with k.Portfolio Selection for Two Investors with Various Levels

49、 of Risk AversionCapital Allocation Line&Efficient FrontierLOS 42.h;CFA Curriculum,Volume 4,P323()Optimal Investor Portfolio&Optimal Risky PortfolioPractice(1)The correlation between the historical returns of Stock A and Stock B is 0.75.If the variance of Stock A is 0.16 and the variance of Stock B

50、is 0.09,the covariance of returns of Stock A and Stock B is closest to:A.0.01.B.0.09.C.0.16.Answer=B Practice(2)A portfolio contains equal weights of two securities having the same standard deviation.If the correlation between the returns of the two securities was to decrease,the portfolio risk woul