中南财经政法大学 金融投资 二十八、积极管理

Fourth Edition
With Perfect Forecasting Ability
Switch to T-Bills in 87, 90 and 94 No negative returns or losses Average Ret. = 17.44% S.D. Ret. = 12.38% Results with perfect timing - Increase in mean return - Lower S.D.
Fourth Edition
Market Timing
Adjust the portfolio for movements in the market Shift between stocks and money market instruments or bonds Results: higher returns, lower risk (downside is eliminated) With perfect ability to forecast behaves like an option
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Fourth Edition
Chapter 28
The Theory of Active Portfolio Management
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Fourth Edition
Reward to Variability Measures
Combined Portfolio :
S
2
p
=[
E(r m ) - r f
m
] +[
2
eA
A
]
2
Irwin/McGraw-Hill
Appraisal Ratio:
A (eA)
A
(eA)
= Alpha for the active portfolio = Unsystematic standard deviation for active
28-12
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28-13
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Fourth Edition
Treynor-Black Allocation
E(r)
CAL CML P
M
A
Rf

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28-14
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28-15
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Irwin/McGraw-Hill

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Fourth Edition
Rate of Return of a Perfect Market Timer
rf
rM
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rf
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Fourth Edition
Returns from 1987 - 1996
Year Lg. Stock Return 87 5.34 88 16.86 89 31.34 90 -3.20 91 30.66 92 7.71 93 9.87 94 1.29 95 37.71 96 23.00 Average 16.06 Standard Dev. 14.05
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28-10
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Fourth Edition
Reward to Variability Measures
Passive Portfolio :

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28-8
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Fourth Edition
Treynor-Black Model
Model used to combine actively managed stocks with a passively managed portfolio Using a reward-to-risk measure that is similar to the the Sharpe Measure, the optimal combination of active and passive portfolios can be determined

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Fourth Edition
Superior Selection Ability
Concentrate funds in undervalued stocks or undervalued sectors or industries Balance funds in an active portfolio and in a passive portfolio Active selection will mean some unsystematic risk
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Fourth Edition
Summary Points: Treynor-Black Model



Sharpe Measure will increase with added ability to pick stocks Slope of CAL>CML (rp-rf)/p > (rm-rf)/p P is the portfolio that combines the passively managed portfolio with the actively managed portfolio The combined efficient frontier has a higher return for the same level of risk

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Treynor-Black Model: Assumptions



Analysts will have a limited ability to find a select number of undervalued securities Portfolio managers can estimate the expected return and risk, and the abnormal performance for the actively-managed portfolio Portfolio managers can estimate the expected risk and return parameters for a broad market (passively managed) portfolio
The evidence suggests that there is some role for active management
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S 2m = [
E(rm ) - rf
] m
2
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28-11
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Fourth Edition
Reward to Variability Measures
Irwin/McGraw-Hill
T-Bill Return 5.50 6.44 8.32 7.86 5.65 3.54 2.97 3.91 5.58 5.20
28-5
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