ch17EQUITY-PORTFOLIOMANAGEMENT(投资学,赖利)

Chapter17EQUITY-PORTFOLIOMANAGEMENTChapter17QuestionsWhatarethetwogenericequityportfoliomanagementstyles?Whatarethreetechniquesforconstructingapassiveindexportfolio?Whatthreegenericstrategiescanactiveequity-portfoliomanagersuse?Howdoesthegoalofapassiveequity-portfoliomanagerdifferfromthegoalofanactivemanager?Chapter17QuestionsWhatinvestmentstylesmayportfoliomanagersfollow?Inwhatwayscaninvestorsuseinformationaboutaportfoliomanager’sstyle?Whatskillsshouldagoodvalueportfoliomanagerpossess?Agoodgrowthportfoliomanager?Chapter17QuestionsHowcanfuturesandoptionsbeusefulinmanaginganequityportfolio?Whatstrategiescanbeusedtomanageataxableinvestor’sportfolioinatax-efficientway?Whatarefourassetallocationstrategies?GenericPortfolioManagementStrategiesPassiveequityportfoliomanagementLong-termbuy-and-holdstrategyUsuallytrackanindexovertimeDesignedtomatchmarketperformanceManagerisjudgedonhowwelltheytrackthetargetindexActiveequityportfoliomanagementAttemptstooutperformapassivebenchmarkportfolioonarisk-adjustedbasisPassiveEquityPortfolioManagementStrategiesAttempttoreplicatetheperformanceofanindexMayslightlyunderperformthetargetindexduetofeesandcommissionsStrongrationaleforthisapproachCostsofactivemanagement(1to2percent)arehardtoovercomeinrisk-adjustedperformanceManydifferentmarketindexesareusedfortrackingportfoliosPassiveEquityPortfolioManagementStrategiesNotasimpleprocesstotrackamarketindexcloselyThreebasictechniques:FullreplicationSamplingQuadraticoptimizationorprogrammingPassiveEquityPortfolioManagementStrategiesFullReplicationAllsecuritiesintheindexarepurchasedinproportiontoweightsintheindexThishelpsensureclosetrackingIncreasestransactioncosts,particularlywithdividendreinvestmentPassiveEquityPortfolioManagementStrategiesSamplingBuysrepresentativesampleofstocksinthebenchmarkindexaccordingtotheirweightsintheindexFewerstocksmeanslowercommissionsReinvestmentofdividendsislessdifficultWillnottracktheindexasclosely,sotherewillbesome“trackingerror”Trackingerrorwilldiminishasthenumberofstocksgrows,butcostswillgrow(tradeoff)PassiveEquityPortfolioManagementStrategiesQuadraticOptimizationHistoricalinformationonpricechangesandcorrelationsbetweensecuritiesareinputintoacomputerprogramthatdeterminesthecompositionofaportfoliothatwillminimizetrackingerrorwiththebenchmarkThisreliesonhistoricalcorrelations,whichmaychangeovertime,leadingtofailuretotracktheindexPassiveEquityPortfolioManagementStrategiesCompletenessFundsPassiveportfoliocustomizedtocomplementactiveportfolioswhichdonotcovertheentiremarketPerformancecomparedtoaspecializedbenchmarkthatincorporatesthecharacteristicsofstocksnotcoveredbytheactivemanagersPassiveEquityPortfolioManagementStrategiesDollar-costaveragingPurchasingfixeddollarinvestmentsperperiodovertimePreventsbuyingtoomanysharesathighpricesandtoofewshareswhenpricesarelowOftenpartofapassivelymanagedportfoliostrategyActiveEquityPortfolioManagementStrategiesGoalistoearnaportfolioreturnthatexceedsthereturnofapassivebenchmarkportfolio,netoftransactioncosts,onarisk-adjustedbasisNeedtoselectanappropriatebenchmarkPracticaldifficultiesofactivemanagerTransactionscostsmustbeoffsetbysuperiorperformancevis-à-visthebenchmarkHigherrisk-takingcanalsoincreaseneededperformancetobeatthebenchmarkActiveEquityPortfolioManagementStrategiesThreeStrategiesMarkettiming-shiftingfundsintoandoutofstocks,bonds,andT-billsdependingonbroadmarketforecastsandestimatedriskpremiumsShiftingfundsamongdifferentequitysectorsandindustriesoramonginvestmentstylestocatchhotconceptsbeforethemarketdoesStockpicking-individualissues,attempttobuylowandsellhighActiveEquityPortfolioManagementStrategiesGlobalInvesting:ThreeStrategiesIdentifycountrieswithmarketsundervaluedorovervaluedandweighttheportfolioaccordinglyManagetheglobalportfoliofromanindustryperspectiveratherthanfromacountryperspectiveFocusonglobaleconomictrends,industrycompetitiveforces,andcompanystrengthsandstrategiesActiveEquityPortfolioManagementStrategiesSectorRotationPositionaportfoliototakeadvantageofthemarket’snextmoveScreeningcanbebasedonvariousstockcharacteristics:ValueGrowthP/ECapitalizationKeyistodeterminewhatto“rotateinto”ActiveEquityPortfolioManagementStrategiesStyleInvestingConstructaportfoliotocaptureoneormoreofthecharacteristicsofequitysecuritiesSmall-capstocks,low-P/Estocks,etc…Valuestocks(thosethatappeartobeunder-pricedaccordingtovariousmeasures)LowPrice/BookvalueorPrice/EarningsratiosGrowthstocks(above-averageearningspershareincreases)HighP/E,possiblyapricemomentumstrategyActiveEquityPortfolioManagementStrategiesDoesStyleMatter?ChoicetoalignwithinvestmentstylecommunicatesinformationtoclientsDeterminingstyleisusefulinmeasuringperformancerelativetoabenchmarkStyleidentificationallowsaninvestortofullydiversifyaportfolioStyleinvestingallowscontrolofthetotalportfoliotobesharedbetweentheinvestmentmanagersandasponsorActiveEquityPortfolioManagementStrategiesValueversusGrowthGrowthinvestingfocusesonearningsandchangesincompanyfundamentalsValueinvestingfocusesonthepricingofstocksOvert