ManagementStrategies投资分析与投资组合管理.ppt
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are hard to overcome in risk-adjusted performance • Many different market indexes are used for tracking portfolios
Index Portfolio Strategy Construction Techniques
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
• Full replication • Sampling • Quadratic optimization or
programming
Full Replication
• All securities in the index are purchased in proportion to weights in the index
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
• 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
– 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
• 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)
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?
Questions to be answered:
• What are the two generic equity portfolio management styles?
• What are three techniques for constructing a passive index portfolio?
level
Style
• Construct a portfolio to capture one or more of the characteristics of equity securities
• Small-capitalization stocks, low-P/E stocks, etc…
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
• Value stocks appear to be underpriced
– price/book or price/earnings
• Growth stocks enjoy above-average earnings per share increases
Does Style Matter?
• 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
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
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
Expected Tracking Error Between the S&P 500 Index and Portfolio Samples of Less Than 500 Stocks
Expected Tracking Error (Percent)
4.0
Exhibit 17.2
3.0
2.0
• This helps ensure close tracking • Increases transaction costs, particularly
with dividend reinvestment
ห้องสมุดไป่ตู้
Sampling
• Buys a representative sample of stocks in the benchmark index according to their weights in the index
• 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
• 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?
• This relies on historical correlations, which may change over time, leading to failure to track the index
Methods of Index Portfolio Investing
• Index Funds
– 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
• 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?
• 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
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?
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
Index Portfolio Strategy Construction Techniques
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
• Full replication • Sampling • Quadratic optimization or
programming
Full Replication
• All securities in the index are purchased in proportion to weights in the index
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
• 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
– 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
• 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)
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?
Questions to be answered:
• What are the two generic equity portfolio management styles?
• What are three techniques for constructing a passive index portfolio?
level
Style
• Construct a portfolio to capture one or more of the characteristics of equity securities
• Small-capitalization stocks, low-P/E stocks, etc…
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
• Value stocks appear to be underpriced
– price/book or price/earnings
• Growth stocks enjoy above-average earnings per share increases
Does Style Matter?
• 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
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
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
Expected Tracking Error Between the S&P 500 Index and Portfolio Samples of Less Than 500 Stocks
Expected Tracking Error (Percent)
4.0
Exhibit 17.2
3.0
2.0
• This helps ensure close tracking • Increases transaction costs, particularly
with dividend reinvestment
ห้องสมุดไป่ตู้
Sampling
• Buys a representative sample of stocks in the benchmark index according to their weights in the index
• 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
• 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?
• This relies on historical correlations, which may change over time, leading to failure to track the index
Methods of Index Portfolio Investing
• Index Funds
– 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
• 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?
• 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
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?
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