【精品】investments 投资学 （博迪bodie, kane, marcuschap027 the theory of active portfolio management精品ppt课件.ppt

《【精品】investments 投资学 （博迪bodie, kane, marcuschap027 the theory of active portfolio management精品ppt课件.ppt》由会员分享，可在线阅读，更多相关《【精品】investments 投资学 （博迪bodie, kane, marcuschap027 the theory of active portfolio management精品ppt课件.ppt（26页珍藏版）》请在淘文阁 - 分享文档赚钱的网站上搜索。

1、INVESTMENTS 投资学（博迪BODIE,KANE,MARCUS）Chap027 The Theory of Active Portfolio ManagementINVESTMENTS|BODIE,KANE,MARCUSOverviewTreynor-Black modelThe optimization uses analysts forecasts of superior performance.The model is adjusted for tracking error and for analyst forecast error.Black-Litterman model2

2、INVESTMENTS|BODIE,KANE,MARCUSTable 27.1 Construction and Properties of the Optimal Risky Portfolio3INVESTMENTS|BODIE,KANE,MARCUSSpreadsheet 27.1 Active Portfolio Management4INVESTMENTS|BODIE,KANE,MARCUSSpreadsheet 27.1An active portfolio of six stocks is added to the passive market index portfolio.T

3、able D shows:Performance increases are very modest.M-square increases by only 19 basis points.5INVESTMENTS|BODIE,KANE,MARCUSINVESTMENTS|BODIE,KANE,MARCUSINVESTMENTS|BODIE,KANE,MARCUSTable 27.3 The Optimal Risky Portfolio8INVESTMENTS|BODIE,KANE,MARCUSResultsThe Sharpe ratio increases to 2.32,a huge r

4、isk-adjusted return advantage.M-square increases to 25.53%.9INVESTMENTS|BODIE,KANE,MARCUSResultsProblems:The optimal portfolio calls for extreme long/short positions that may not be feasible for a real-world portfolio manager.The portfolio is too risky and most of the risk is nonsystematic risk.A so

5、lution:Restrict extreme positions.This results in a lack of diversification.10INVESTMENTS|BODIE,KANE,MARCUSTable 27.4 The Optimal Risky Portfolio with Constraint on the Active Portfolio(wA 1)11INVESTMENTS|BODIE,KANE,MARCUSFigure 27.2 Reduced Efficiency when Benchmark is Lowered Benchmark risk is the

6、 standard deviation of the tracking error,TE=RP-RM.Control it by restricting WA.12INVESTMENTS|BODIE,KANE,MARCUSTable 27.5 The Optimal Risky Portfolio with the Analysts New Forecasts13INVESTMENTS|BODIE,KANE,MARCUSAdjusting Forecasts for the Precision of AlphaHow accurate is your forecast?Regress fore

7、cast alphas on actual,realized alphas to adjust alpha for the accuracy of the analysts previous forecasts.14INVESTMENTS|BODIE,KANE,MARCUSFigure 27.4 Organizational Chart for Portfolio Management 15INVESTMENTS|BODIE,KANE,MARCUSThe Black-Litterman ModelThe Black-Litterman model allows portfolio manage

8、rs to incorporate complex forecasts(called“views”)into the portfolio construction process.Historical returns,even over long periods,have very limited power to infer expected returns for the next month.The business cycle and other macroeconomic variables may be better forecasters of expected returns.

9、Historical variance is a good predictor of expected future variance.16INVESTMENTS|BODIE,KANE,MARCUSSteps in the Black-Litterman Model1.Estimate the covariance matrix from recent historical data.2.Determine a baseline forecast.3.Integrate the managers private views.4.Develop revised(posterior)expecta

10、tions.5.Apply portfolio optimization.17INVESTMENTS|BODIE,KANE,MARCUSFigure 27.5 Sensitivity of Black-Litterman Portfolio Performance to Confidence Level18INVESTMENTS|BODIE,KANE,MARCUSFigure 27.6 Sensitivity of Black-Litterman Portfolio Performance to Confidence Level19INVESTMENTS|BODIE,KANE,MARCUSBL

11、 ConclusionsThe Black-Litterman(BL)model and the Black-Treynor(TB)model are complements.The models are identical with respect to the optimization process and will chose identical portfolios given identical inputs.The BL model is a generalization of the TB model that allows you to have views about re

12、lative performance that cannot be used in the TB model.20INVESTMENTS|BODIE,KANE,MARCUSBL vs.TBBlack-Litterman ModelOptimal portfolio weights and performance are highly sensitive to the degree of confidence in the views.The validity of the BL model rests largely upon the way in which the confidence a

13、bout views is developed.Treynor-Black ModelTB model is not applied in the field because it results in“wild”portfolio weights.The extreme weights are a consequence of failing to adjust alpha values to reflect forecast precision.21INVESTMENTS|BODIE,KANE,MARCUSBL vs.TBBlack-Litterman ModelUse the BL mo

14、del for asset allocation.Views about relative performance are useful even when the degree of confidence is inaccurately estimated.Treynor-Black ModelUse the TB model for the management of security analysis with proper adjustment of alpha forecasts.22INVESTMENTS|BODIE,KANE,MARCUSValue of Active Manag

15、ementKane,Marcus,and Trippi show that active management fees depend on:1.the coefficient of risk aversion,2.the distribution of the squared information ratio in the universe of securities,3.the precision of the security analysts.23INVESTMENTS|BODIE,KANE,MARCUSTable 27.6 M-Square for the Portfolio,Ac

16、tual Forecasts24INVESTMENTS|BODIE,KANE,MARCUSTable 27.7 M-Square of Simulated Portfolios25INVESTMENTS|BODIE,KANE,MARCUSConcluding RemarksThe gap between theory and practice has been narrowing in recent years.The CFA Institute has worked to transfer investment theory to the asset management industry.The TB and LB models are not yet widely used in industry,perhaps because of the issues in adjusting for analysts forecast errors.26