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1SS11-EquityPortfolioManagement20100411SJTU赵启欣CFAzqx729@hotmail.comCELL:137610283152StudySession11–EquityPortfolioManagement32.EquityPortfolioManagement.3EquitiesinaPortfolio•Equitiesareasubstantialportionoftheinvestmentuniverse,andU.S.equitytypicallyconstitutesabouthalfoftheworld’sequity.•Theamountofequityinaninvestor’sportfoliovariesbylocale.IntheU.S.,institutionalinvestorsholdabout60%oftheirportfolioinequities.•InEurope,thepercentageiscloserto20%.Investinginternationallyprovidesdiversificationaswellastheopportunitytoinvestincompaniesnotavailableintheinvestor’shomemarket.32.a4EquitiesinaPortfolio(con’t)•Aninflationhedgeisanassetwhosenominalreturnsarepositivelycorrelatedwithinflation.•Bondshavebeenapoorinflationhedgebecausetheirfuturecashflowsarefixed,whichmakestheirvaluedecreasewithincreasedinflation.•Thisdropinpricereducesoreliminatesreturnsforcurrentbondholders.•ThehistoricalevidenceintheU.S.andinothercountriesindicatesthatequitieshavebeenagoodinflationhedge.32.a5EquitiesinaPortfolio(con’t)•Therearesomeimportantqualifiers,however.•First,becausecorporateincomeandcapitalgainstaxratesarenotindexedtoinflation,inflationcanreducethestockinvestor’sreturn,unlessthiseffectwaspricedintothestockwhentheinvestorboughtit.•Second,theabilityofanindividualstocktohedgeinflationwilldependonitsindustryandcompetitiveposition.Thegreaterthecompetition,thelesslikelythefirmwillbeabletopassinflationontoitsconsumers,anditsstockwillbealesseffectivehedge.32.a6Active,PassiveandSemiactiveStrategiesPassivemanagement•Passivemanagersdonotuseforecaststoinfluencetheirinvestmentstrategies.•Themostcommonimplementationofpassivemanagementisindexing,wherethemanagerinvestssoastomimictheperformanceofasecurityindex.•Thoughindexingispassiveinthesensethatthemanagerdoesnottrytooutperformtheindex,theexecutionofindexingrequiresthatthemanagerbuysecuritieswhenthesecurity’sweightincreasesintheindexorsellstockwhenthesecurity’sweightdecreasesintheindex.•Minimizetrackingrisk32.b7Active,PassiveandSemiactiveStrategies(con’t)Activemanagement•Buythestockswillperformcomparativelywellvsthebenchmark.•Avoidingthestockswillunderperformthebenchmark.•Maximizeexpectedactivereturn.32.b8Active,PassiveandSemiactiveStrategies(con’t)Semiactivemanagement•Themiddleroadbetweenthetwopreviousapproachesissemiactivemanagement(a.k.a.enhancedindexingorrisk-controlledactivemanagement).•HighestinformationratioAsemiactivemanagerattemptstoearnahigherreturnthanthebenchmarkwhileminimizingtheriskofdeviatingfromthebenchmark.32.b9Active,PassiveandSemiactiveStrategies(con’t)•Informationratio=activereturn/activerisk•Combinesexpectedactivereturnandtrackingriskintoonerisk-adjustedreturnmeasure.•Itshowsthemanager’sactivereturnperunitoftrackingrisk.Ex:Notesbook3p13032.b1011Active,PassiveandSemiactiveStrategies(con’t)•Activereturnistheexcessreturnofamanagerrelativetothebenchmark.Trackingriskisthestandarddeviationofactivereturnandisameasurementofactiverisk.32.bPassiveManagementSemiactiveManagementActiveManagementExpectedactivereturnLowMediumHighTrackingriskLowMediumHigh12Active,PassiveandSemiactiveStrategies(con’t)13TheIPS,MarketEfficiencyandEquityStrategies•Ifaninvestor’sinvestmentpolicystatement(IPS)statesthattheinvestoristaxable,theassetallocationismorelikelytofavorpassivemanagement.•Thisisbecauseactivemanagementrequireshigherportfolioturnoversuchthatcapitalgainsandtheirassociatedtaxesarerealizedmorefrequently.•Additionally,eachparticularinvestorwillhaverequiredliquidity,timehorizon,and/orethicalinvestingconcernsthatwillprovidedirectiononwhichinvestmentstrategytofollow.32.c14TheIPS,MarketEfficiencyandEquityStrategies(con’t)•Ifaninvestorbelievesthatmarketsareefficient,heislikelytochooseapassivestrategy,becausehedoesnotbelievethereturnsofactivemanagementwilljustifythecostsofresearchandtrading.•Historicaldatasuggeststhatsuchinvestorswouldbejustifiedintheirthinking,becauseactivemanagementonaveragedoesnotoutperformpassivemanagementafterconsiderationofexpenses.•Thelevelofactivemanagerunderperformanceisaboutthesameastheiraverageexpenses,whichsuggeststhatactivemanagerperformancebeforeexpensesisaboutthesamelevelaspassivemanagement.32.c15TheIPS,MarketEfficiencyandEquityStrategies(con’t)•Passivestrategiesareappropriateinawidevarietyofmarkets.•Wheninvestinginlarge-capstocks,indexingissuitablebecausethesemarketsareusuallyinformationallyefficient.•Insmall-capmarkets,theremaybemoremispricedstocks,butthetransactionscostsofhighturnover,activestrategiesincreases.•Ininternationalequitymarkets,theforeigninvestormaylackinformationthatlocalinvestorshave.Inthiscase,activeinvestingwouldbefutileandthemanagerwouldbewisetofollowapassivestrategy.32.c16EquityIndexWeightingSchemes•Aprice-weightedindexissimplyanarithmeticaverageofthepricesofthesecuritiesincludedintheindex.•Computationally,aprice-weightedindexaddstogetherthemarketpriceofeachstockintheindexandthendividesthistotalbythenumberofstocksintheindex.•Thedivisorofaprice-weightedindexisadjustedforstocksplitsandchangesinthecompositionoftheindex(i.e.,whenstocksareaddedordel