UEH - Bài giảng Môn quản lý danh mục đầu tư Chương 11 Quản lý danh mục cổ phiếu - Sách ReillyBrown. Bài giảng tham khảo của đại học kinh tế TPHCM

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CHAPTER 11

Equity Portfolio Management Strategies

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11.1 Passive versus Active Management (slide 1 of 3)

• Equity portfolio management strategies can be placed into either a passive or an active category

• One way to distinguish between these strategies

is to decompose the total actual return that the portfolio manager attempts to produce:

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• 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 target index

• Active equity portfolio management

• Attempts to outperform a passive benchmark portfolio

on a risk-adjusted basis by seeking the “alpha” value

• Exhibit 11.1

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11.2 An Overview of Passive Equity

Portfolio Management Strategies

• Attempt to replicate the performance of an index

• May slightly underperform the target index due to fees and commissions

• Strong rationale for this approach

• Costs of active management (1 to 2 percent) are hard

to overcome in risk-adjusted performance

• Many different market indexes are used for

tracking portfolios

• S&P 500 Index

• NASDAQ Composite Index

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11.2.1 Index Portfolio Construction

Techniques (slide 1 of 5)

constructing a passive index portfolio:

• Full replication

• Sampling

• Quadratic optimization

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• Full replication

• All securities in the index are purchased in

proportion to weights in the index

• This helps ensure close tracking

• Increases transaction costs, particularly with dividend reinvestment

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• Buys a representative sample of stocks in the benchmark index according to their weights in the index

• 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

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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

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to outperform the market

• Many times, these active portfolios are overweighted in certain market sectors or stock types

• In this case, the pension fund sponsor may want the remaining funds to be invested passively to “fill the holes” left vacant by the active managers

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11.2.2 Tracking Error and Index Portfolio Construction (slide 1 of 2)

• The goal of the passive manager should be to minimize the portfolio’s return volatility relative to the index, i.e., to minimize tracking error

• Tracking error measure

• Return differential in time period t

=

Where

R pt = return to the managed portfolio in Period t

R bt = return to the benchmark portfolio in Period t

• Tracking error is measured as the standard deviation of Δ t ,

normally annualized (TE)

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11.2.2 Tracking Error and Index Portfolio Construction (slide 2 of 2)

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11.2.3 Methods of Index Portfolio

Investing (slide 1 of 4)

• Index Funds

• In an indexed portfolio, the fund manager will typically attempt to replicate the composition of the particular index exactly

• The fund manager will buy the exact securities

comprising the index in their exact weights

• Change those positions anytime the composition of the index itself is changed

• Low trading and management expense ratios

• The advantage of index mutual funds is that they

provide an inexpensive way for investors to acquire a diversified portfolio

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• Exchange-Traded Funds (ETF)

• ETFs 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

• A significant advantage of ETFs over index mutual

funds is that they can be bought and sold (and short sold) like common stock

• The notable example of ETFs

• Standard & Poor’s 500 Depository Receipts (SPDRs)

• iShares

• Sector ETFs

• Exhibits 11.3, 11.4

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11.3 An Overview of Active Equity Portfolio Management Strategies (slide 1 of 3)

• 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

• Need to select an appropriate benchmark

• Practical difficulties of active manager

• Transactions costs must be offset by superior

performance vis-à-vis the benchmark

• Higher risk-taking can also increase needed

performance to beat the benchmark

• Exhibits 11.5 and 11.6

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11.3.1 Fundamental Strategies

(slide 1 of 5)

• Top-Down

• Broad country and asset class allocations

• Sector allocation decisions

• Individual securities selection

• Bottom-Up

• Emphasizes the selection of securities without any initial market or sector analysis

• Form a portfolio of equities that can be purchased

at a substantial discount to what his or her valuation model indicates they are worth

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(slide 2 of 5)

• Three generic themes

• Time the equity market by shifting funds into and out

of stocks, bonds, and T-bills depending on broad

market forecasts

• Shift funds among different equity sectors and

industries (e.g., financial stocks, technology stocks) or among investment styles (e.g., value, growth large

capitalization, small capitalization) This is basically the sector rotation strategy

• Do stock picking and look at individual issues in an

attempt to find undervalued stocks

• Exhibits 11.7, 11.8

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(slide 3 of 5)

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(slide 4 of 5)

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(slide 5 of 5)

• The 130/30 Strategy

• Long positions up to 130 percent of the portfolio’s

original capital and short positions up to 30 percent

• The use of the short positions creates the leverage

needed, increasing both risk and expected returns

compared to the fund’s benchmark

• Enable managers to make full use of their

fundamental research to buy stocks they identify as undervalued as well as short those that are

overvalued

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11.3.2 Technical Strategies (slide 1 of 3)

• Contrarian Investment Strategy

• The belief that the best time to buy (sell) a stock is

when the majority of other investors are the most

bearish (bullish) about it

• The concept of mean reverting

• The overreaction hypothesis

• Price Momentum Strategy

• Focus on the trend of past prices alone and makes

purchase and sale decisions accordingly

• Assume that recent trends in past prices will continue

• Exhibits 11.9, 11.10

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11.3.3 Factors, Attributes, and Anomalies (slide 1 of 5)

• Factor-based investment strategy

• The manager forms portfolios that emphasize certain

characteristics of a collection of securities—such as firm size, relative valuation, low return volatility, momentum, or company quality—that are believed to produce higher risk- adjusted returns than those in a traditional benchmark that

is weighted by the market capitalization of the stocks in the index

• The risk premia associated with these

characteristic-oriented portfolios—or factors, as they are called—allow the investor to earn superior returns with better

diversification than holding a traditional passive index fund

• Exhibits 11.11, 11.12

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• Earnings Momentum Strategy

• Momentum is measured by the difference of actual EPS to the expected EPS

• Purchases stocks that have accelerating earnings and sells (or short sells) stocks with disappointing earnings

• Calendar-Related Anomalies

• The Weekend Effect

• The January Effect

• Firm-Specific Attributes

• Firm Size

• P/E and P/BV ratios

• Exhibit 11.13

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11.3.5 Tax Efficiency and Active Equity

Management (slide 1 of 3)

• Active portfolio managers especially need to

consider taxes when deciding whether to sell or hold a stock whose value has increased

• If a security is sold at a profit, capital gains are paid and less in left in the portfolio to reinvest

• A new security (the reinvestment security) needs to have a superior return sufficient to make up for these taxes

• The size of the expected return depends on the

expected holding period and the cost basis (and

amount of the capital gain) of the original security

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Management (slide 3 of 3)

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11.3.6 Active Share and Measuring the

Level of Active Management (slide 1 of 3)

• A more direct way to assess how active a manager’s

strategy is to look directly at the portfolio’s holdings

compared to those in the benchmark

• Cremers and Petajisto (2009) have suggested

calculating the portfolio’s active share measure as:

1

1 Active Share AS

2

N

p i b i i

w w

=

Where:

[w p,i , w b,i ] represent the investment weight of the ith

security in the managed portfolio (p) and benchmark

index (b), respectively

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• Active share statistic

• The percentage of security holdings in the

manager’s portfolio that differ from those in

the benchmark index

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11.4 Value versus Growth Investing: A

Closer Look (slide 1 of 7)

• A growth investor focuses on the current and

future economic “story” of a company, with less regard to share valuation

• A value investor focuses on share price in

anticipation of a market correction and, possibly, improving company fundamentals.

• Value stocks generally have offered somewhat higher returns than growth stocks, but this does not occur with much consistency from one

investment period to another

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• Growth-oriented investor will:

• Focus on EPS and its economic determinants

• Look for companies expected to have rapid EPS

growth

• Assumes constant P/E ratio

• Value-oriented investor will:

• Focus on the price component

• Not care much about current earnings

• Assume the P/E ratio is below its natural level

• Exhibits 11.16, 11.17, 11.18, 11.19, 11.20

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11.5 An Overview of Style Analysis

(slide 1 of 5)

• Style analysis:

• Attempts to explain the variability in the observed returns

to a security portfolio in terms of the movements in the

returns to a series of benchmark portfolios capturing the essence of a particular security characteristic

• Determines the combination of long positions in a

collection of passive indexes that best mimics the past

performance of a security portfolio

• A simple style grid could be used to classify a

manager’s performance along two dimensions: firm size (large cap, mid cap, small cap) and relative

value (value, blend, growth) characteristics

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(slide 2 of 5)

• Formally, style analysis relies on the constrained least squares procedure, with the returns to the manager’s portfolio as the dependent variable

and the returns to the style index portfolios as

the independent variables

• There are often three constraints employed:

• No intercept term is specified

• The coefficients must sum to one

• All the coefficients must be nonnegative

• Exhibits 11.21, 11.22, 11.23

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(slide 3 of 5)

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(slide 4 of 5)

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(slide 5 of 5)

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11.6 Asset Allocation Strategies

isolation; it is part of an investor’s overall investment portfolio

appropriate mix of asset categories in the entire portfolio

determining the asset mix of a portfolio

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11.6.1 Integrated Asset Allocation

(slide 1 of 3)

separately examines:

• Capital market conditions

• Investor’s objectives and constraints

the portfolio asset mix that offers the best opportunity for meeting the investor’s

needs

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(slide 2 of 3)

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(slide 3 of 3)

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11.6.2 Strategic Asset Allocation

(slide 1 of 2)

• Strategic asset allocation is used to determine the term policy asset weights in a portfolio

long-• Typically, long-term average asset returns, risk, and

covariances are used as estimates of future capital

market results

• Efficient frontiers are generated using this historical

information, and the investor decides which asset mix is appropriate for his or her needs during the planning

horizon

• This results in a constant-mix asset allocation with

periodic rebalancing to adjust the portfolio asset weights

• Exhibit 11.26

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11.6.2 Strategic Asset Allocation

(slide 2 of 2)

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11.6.3 Tactical Asset Allocation

• Frequently adjusts the asset class mix in the

portfolio to take advantage of changing market condition

• Adjustments are driven solely by perceived

changes in the relative values of the various

asset classes

• Often based on the premise of mean reversion

• An inherently contrarian method of investing

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11.6.4 Insured Asset Allocation

• Results in frequent adjustments in the portfolio allocation, assuming that expected market

returns and risks are constant over time, while the investor’s objectives and constraints change

as his or her wealth position changes

• Involves only two assets, such as common

stocks and T-bills

• As stock prices rise, the asset allocation increases

the stock component

• As stock prices fall, the stock component of the mix falls while the T-bill component increases

Tiêu đề	Equity Portfolio Management Strategies
Tác giả	Reilly, Brown
Người hướng dẫn	PTS. Nguyễn Văn A
Trường học	University of Economics Ho Chi Minh City
Chuyên ngành	Investment Management
Thể loại	Lecture Notes
Năm xuất bản	2019
Thành phố	Ho Chi Minh City

Định dạng
Số trang	58
Dung lượng	1,5 MB