债券基础知识

Dr. Ekaterina Svetlova
2. Active vs. passive portfolio management
• How to invest passively? Index funds Exchange traded funds
Their NAV (net asset value) is determined at the end of the trading day – trading only at the end of the day
„Engineering“
(„techne“)
Dr. Ekaterina Svetlova
(„art“)
2. Active vs. passive portfolio management
Investment styles
Active Management
Traditional (fundamental) management
• If you believe in EMH/MPT/CAPM framework passive investing (indexing)
• Non-predictive management approach/No “active bets” via forecasting • You know what you are getting: market performance • Lower costs
each other
Dr. Ekaterina Svetlova
2. Active vs. passive portfolio management
Reasons for indexing • The Efficient market hypothesis • The “modest” track record of active portfolio managers • The chance of successful selection of fund managers is low • High costs of the active fund management
• set beforehand
• permanent • distinct • investible (replicable) • appropriate (regarding restrictions of the investors)
• measurable for an independent third party
2. Active vs. passive portfolio management: - What is passive investing? - Passive products: index funds and ETFs (exchange traded funds) - Active strategies to beat the market - Hybrid strategies
estments/productoverview?fundId=0552
2. -
3. Each mutual fund issues a prospectus / summary prospectus/factsheets
Dr. Ekaterina Svetlova
2. Active vs. passive investing
Dr. Ekaterina Svetlova
2. Active vs. passive portfolio management Advantages of an ETF over a mutual fund: ETFs are continuously traded (flexibility) ETFs have lower costs: Investors buy from brokers, thus eliminating the cost of direct marketing to individual small investors. This implies lower management fees. There is also no load for ETFs: A load is a sales charge or commission charged to an investor when buying or redeeming shares in a mutual fund
Dr. Ekaterina Svetlova
Countries
Sectors
MSCI, FT / S&P
Style-benchmarks:
2. Active vs. passive portfolio management
Characteristics of the benchmark
The benchmark should be …
There is no point in collecting and evaluating information You cannot beat the market Investment professionals (financial analysts, portfolio managers) are useless Active management is pointless
Dr. Ekaterina Svetlova
2. Active vs. passive portfolio management
Do you believe in… 1. Market efficiency?
CML
2. Portfolio theory/ CAPM?
Stock picking is a waste of time!!!
• Significance of the strategic asset allocation (benchmark)
Protection against underperformance Exclusion of the opportunity for outperformance Performance of the portfolio and the benchmark should be equivalent to
[Hedge funds = private investment pools]
Mutual funds are dynamic portfolios of stocks, bonds and other instruments - open-end funds (issue new shares and redeem shares, NAV calculation daily) - closed-end funds (don’t issue new shares; shares are traded on exchanges (no NAV calculation) Exchange traded funds (ETF)
Information processing/ Research/ Construction Measurement Trade and analysis of performance
Stock
selection/Asset allocation
of portfolios
Active strategies
Foundations of Financial Analysis and Investments
Lecture 8: Active vs. Passive Portfolio Management
Dr. Ekaterina Svetlova
Today‘s lecture
1. Pooled investment vehicles
Dr. Ekaterina Svetlova
1. Pooled funds Mutual funds:
1.
The SEC regulation bonds, stocks and cash; restrictions on concentration
Various kinds of mutual funds: Money market funds Equity funds Fixed-Income funds Balanced funds (stocks + bonds/minimizing investment risks) Asset allocation funds (varying proportion bonds vs. stocks) Index funds Example: Vanguard Health Care Fund Admiral Specialized sector funds https://advisors.vanguard.com/VGApp/iip/site/advisor/inv
Dr. Ekaterina Svetlova
Market portfolio M
2. Active vs. passive portfolio management
Portfolio management/Investment process
Objectives/ Determination of the investment style (passive/active)
Dr. Ekaterina Svetlova
1. Pooled funds
Dr. Ekaterina Svetlova
1. Pooled funds
Dr Ekaterina Svetlova
1. Pooled funds
[Unit investment trusts = a fixed portfolio of assets, unmanaged, static) Net asset value (NAV)]
Байду номын сангаас
Quantitative management
People oriented
Tilted/enhanced management
Process oriented
Passive Management
Dr. Ekaterina Svetlova
2. Active vs. passive portfolio management
Dr. Ekaterina Svetlova
2. Implications of the Efficient Market Hypothesis
Technical analysis is useless You cannot “time” the market Fundamental analysis is useless You cannot make better predictions than the market
JP Morgan Government Bond Index,
Salomon JP Morgan GBI, Salomon JP Morgan GBI, Salomon, REX (German Rentenindex), Lehman Aggregate,… JP Morgan: 1-3, 3-5, 5-7, 7-10, >10 REX: Coupon-Classes
Index portfolios that are traded during the day (like stocks)
Example: Vanguard S&P500
https://advisors.vanguard.com/VGApp/iip/site/advisor/inv estments/productoverview?fundId=0968
Dr. Ekaterina Svetlova
2. Active vs. passive portfolio management
Benchmark = market portfolio???
Stocks World Europa MSCI, FT / S&P MSCI, FT / S&P, STOXX MSCI, FT / S&P, DAX CAC 40, Dow Jones,… Bonds