ManagementStrategies投资分析与投资组合管理.ppt
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• Fewer stocks means lower commissions • Reinvestment of dividends is less difficult • Will not track the index as closely, so there will
be some tracking error
• Full replication • Sampling • Quadratic optimization or
programming
Full Replication
• All securities in the index are purchased in proportion to weights in the index
• Replicate the performance of an index • May slightly underperform the target index
due to fees and commissions • Costs of active management (1 to 2 percent)
• This helps ensure close tracking • Increases transaction costs, particularly
with dividend reinvestment
Sampling
• Buys a representative sample of stocks in the benchmark index according to their weights in the index
Questions to be answered:
• What are the two generic equity portfolio management styles?
• What are three techniques for constructing a passive index portfolio?
Technical Strategies
• Contrarian investment strategy • Price momentum strategy • Earnings momentum strategy
Value versus Growth
• Growth stocks will outperform value stocks for a time and then the opposite occurs
1.0
500 400 300 200 100 0
Number of Stocks
Quadratic 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 benchmark
• This relies on historical correlations, which may change over time, leading to failure to track the index
Methods of Index Portfolio Investing
• Index Funds
Expected Tracking Error Between the S&P 500 Index and Portfolio Samples of Less Than 500 Stocks
Expected Tracking Error (Percent)
4.0
Exhibit Leabharlann 7.23.02.0
Lecture Presentation Software
to accompany
Investment Analysis and Portfolio Management
Seventh Edition by
Frank K. Reilly & Keith C. Brown
Chapter 17
Chapter 17 - Equity Portfolio Management Strategies
• How does the goal of a passive equity portfolio manager differ from the goal of an active manager?
• What is a portfolio’s tracking error and how is it useful in the construction of a passive equity investment?
• How can futures and options be useful in managing an equity portfolio?
Passive versus Active Management
• Passive equity portfolio management
– Long-term buy-and-hold strategy – Usually tracks an index over time – Designed to match market performance – Manager is judged on how well they track the
• What stock characteristics differentiate valueoriented and growth-oriented investment styles?
• What is style analysis and what does it indicate about a manager’s investment performance?
Sector Rotation
• Position a portfolio to take advantage of the market’s next move
• Screening can be based on various stock characteristics:
– Value – Growth – P/E – Capitalization – Sensitivity to economic variables
• Practical difficulties of active manager
– Transactions costs must be offset – Risk can exceed passive benchmark
Fundamental Strategies
• Top-down versus bottom-up approaches • Asset and sector rotation strategies
• Over time value stocks have offered somewhat higher returns than growth stocks
Value versus Growth
• Growth-oriented investor will:
– focus on EPS and its economic determinants
– Attempt to replicate a benchmark index
• Exchange-Traded Funds
– EFTs 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 certificates
level
Style
• Construct a portfolio to capture one or more of the characteristics of equity securities
• Small-capitalization stocks, low-P/E stocks, etc…
target index
• Active equity portfolio management
– Attempts to outperform a passive benchmark portfolio on a risk-adjusted basis
An Overview of Passive Equity Portfolio Management Strategies
Chapter 17 - Equity Portfolio Management Strategies
• What 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?
Chapter 17 - Equity Portfolio Management Strategies
• What 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?
• Value stocks appear to be underpriced
– price/book or price/earnings
• Growth stocks enjoy above-average earnings per share increases
Does Style Matter?
are hard to overcome in risk-adjusted performance • Many different market indexes are used for tracking portfolios
Index Portfolio Strategy Construction Techniques
– look for companies expected to have rapid EPS growth
– assumes constant P/E ratio
Value versus Growth
• Value-oriented investor will:
– focus on the price component – not care much about current earnings – assume the P/E ratio is below its natural
An Overview of Active Equity Portfolio Management Strategies
• Goal is to earn a portfolio return that exceeds the return of a passive benchmark portfolio, net of transaction costs, on a risk-adjusted basis
be some tracking error
• Full replication • Sampling • Quadratic optimization or
programming
Full Replication
• All securities in the index are purchased in proportion to weights in the index
• Replicate the performance of an index • May slightly underperform the target index
due to fees and commissions • Costs of active management (1 to 2 percent)
• This helps ensure close tracking • Increases transaction costs, particularly
with dividend reinvestment
Sampling
• Buys a representative sample of stocks in the benchmark index according to their weights in the index
Questions to be answered:
• What are the two generic equity portfolio management styles?
• What are three techniques for constructing a passive index portfolio?
Technical Strategies
• Contrarian investment strategy • Price momentum strategy • Earnings momentum strategy
Value versus Growth
• Growth stocks will outperform value stocks for a time and then the opposite occurs
1.0
500 400 300 200 100 0
Number of Stocks
Quadratic 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 benchmark
• This relies on historical correlations, which may change over time, leading to failure to track the index
Methods of Index Portfolio Investing
• Index Funds
Expected Tracking Error Between the S&P 500 Index and Portfolio Samples of Less Than 500 Stocks
Expected Tracking Error (Percent)
4.0
Exhibit Leabharlann 7.23.02.0
Lecture Presentation Software
to accompany
Investment Analysis and Portfolio Management
Seventh Edition by
Frank K. Reilly & Keith C. Brown
Chapter 17
Chapter 17 - Equity Portfolio Management Strategies
• How does the goal of a passive equity portfolio manager differ from the goal of an active manager?
• What is a portfolio’s tracking error and how is it useful in the construction of a passive equity investment?
• How can futures and options be useful in managing an equity portfolio?
Passive versus Active Management
• Passive equity portfolio management
– Long-term buy-and-hold strategy – Usually tracks an index over time – Designed to match market performance – Manager is judged on how well they track the
• What stock characteristics differentiate valueoriented and growth-oriented investment styles?
• What is style analysis and what does it indicate about a manager’s investment performance?
Sector Rotation
• Position a portfolio to take advantage of the market’s next move
• Screening can be based on various stock characteristics:
– Value – Growth – P/E – Capitalization – Sensitivity to economic variables
• Practical difficulties of active manager
– Transactions costs must be offset – Risk can exceed passive benchmark
Fundamental Strategies
• Top-down versus bottom-up approaches • Asset and sector rotation strategies
• Over time value stocks have offered somewhat higher returns than growth stocks
Value versus Growth
• Growth-oriented investor will:
– focus on EPS and its economic determinants
– Attempt to replicate a benchmark index
• Exchange-Traded Funds
– EFTs 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 certificates
level
Style
• Construct a portfolio to capture one or more of the characteristics of equity securities
• Small-capitalization stocks, low-P/E stocks, etc…
target index
• Active equity portfolio management
– Attempts to outperform a passive benchmark portfolio on a risk-adjusted basis
An Overview of Passive Equity Portfolio Management Strategies
Chapter 17 - Equity Portfolio Management Strategies
• What 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?
Chapter 17 - Equity Portfolio Management Strategies
• What 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?
• Value stocks appear to be underpriced
– price/book or price/earnings
• Growth stocks enjoy above-average earnings per share increases
Does Style Matter?
are hard to overcome in risk-adjusted performance • Many different market indexes are used for tracking portfolios
Index Portfolio Strategy Construction Techniques
– look for companies expected to have rapid EPS growth
– assumes constant P/E ratio
Value versus Growth
• Value-oriented investor will:
– focus on the price component – not care much about current earnings – assume the P/E ratio is below its natural
An Overview of Active Equity Portfolio Management Strategies
• Goal is to earn a portfolio return that exceeds the return of a passive benchmark portfolio, net of transaction costs, on a risk-adjusted basis