Thông tin tài liệu
CHAPTER EIGHTEEN MANAGING THE EQUITY PORTFOLIO Practical Investment Management Robert A Strong Outline Structuring a Stock Portfolio The Portfolio Objective Asset Allocation Active vs Passive Management Portfolio Rebalancing What’s Wrong with Buy and Hold? The Costs of Revision Constant Proportion Rebalancing Constant Beta Rebalancing Indexing Dollar Cost Averaging South-Western / Thomson Learning © 2004 18 - Outline Overwriting Writing Options to Generate Income Improving on the Market Portfolio Protection Writing Covered Calls for Downside Protection Protective Puts Using Index Options Using Index Futures Contracts South-Western / Thomson Learning © 2004 18 - Structuring a Stock Portfolio : The Objective Semantics are important in any statement of investment objectives The four main portfolio objectives are stability of principal, income, growth of income, and capital appreciation In a world with taxes, one dollar in capital gains is worth more than one dollar in income The overriding investment objective is utility maximization South-Western / Thomson Learning © 2004 18 - Relative Riskiness of Portfolio Objectives 20 18 capital appreciation small company stocks expected return 16 14 large company stocks 12 10 intermediateterm government bonds T-bills long-term corporate bonds long-term government bonds inflation stability of principal growth of income income 12 18 24 standard deviation (%) South-Western / Thomson Learning © 2004 30 36 18 - Structuring a Stock Portfolio : The Objective Insert Figure 18-1 here South-Western / Thomson Learning © 2004 18 - Structuring a Stock Portfolio : Asset Allocation An asset class refers to a broad category of investments U.S equities, foreign equities, bonds, and cash are four widely used asset classes The relative distribution of funds across asset classes is called asset allocation South-Western / Thomson Learning © 2004 18 - Structuring a Stock Portfolio : Asset Allocation Portfolio attitude toward risk need for return individual choice stocks bonds real estate ASSET CLASSES foreign cash equities asset class mix South-Western / Thomson Learning © 2004 realized return and risk with the passage of time investment results 18 - Structuring a Stock Portfolio : Active vs Passive Management A strategy of passive management is one in which, once established, the portfolio is largely left alone An active management policy, in contrast, is one in which the composition of the portfolio is dynamic South-Western / Thomson Learning © 2004 18 - What’s Wrong with Buy and Hold ? With a passive buy and hold strategy (a naive strategy), investors simply select their investments and hang on to them Portfolio managers often fail to outperform a passive buy and hold strategy When tested statistically, trading systems also not have a good long-term batting average South-Western / Thomson Learning © 2004 18 - 10 Portfolio Protection Portfolio protection basically involves adding adding components to a portfolio such that a floor value is established below which the value of the portfolio will not fall Writing covered calls provide downside protection up to the amount of the premium If an investor owns shares of a particular stock (long stock position) and buys a put on that same stock (long put position), the put is called a protective put South-Western / Thomson Learning © 2004 18 - 26 Portfolio Protection Insert Figure 18-5 here South-Western / Thomson Learning © 2004 18 - 27 Portfolio Protection Insert Table 18-7 here South-Western / Thomson Learning © 2004 18 - 28 Portfolio Protection Using index options : An index put can protect a diversified stock portfolio against a market downturn If market prices decline, a gain on the puts can largely offset the losses on the stock portfolio South-Western / Thomson Learning © 2004 18 - 29 Portfolio Protection Insert Table 18-8 here South-Western / Thomson Learning © 2004 18 - 30 Portfolio Protection Using index futures contracts : A short futures position can help offset a long stock position If the market falls, a gain in the futures market can largely offset the loss on the stock portfolio, and vice versa if the market rises South-Western / Thomson Learning © 2004 18 - 31 Portfolio Protection Insert Table 18-9 here South-Western / Thomson Learning © 2004 18 - 32 Review Structuring a Stock Portfolio The Portfolio Objective Asset Allocation Active vs Passive Management Portfolio Rebalancing What’s Wrong with Buy and Hold? The Costs of Revision Constant Proportion Rebalancing Constant Beta Rebalancing Indexing Dollar Cost Averaging South-Western / Thomson Learning © 2004 18 - 33 Review Overwriting Writing Options to Generate Income Improving on the Market Portfolio Protection Writing Covered Calls for Downside Protection Protective Puts Using Index Options Using Index Futures Contracts South-Western / Thomson Learning © 2004 18 - 34 Appendix: Index Overwriting Index options Put and call options have virtually the same characteristics as an option on common stock DIFFERENCE is the underlying security is an index representing the current level of some set of stock prices OEX DJX South-Western / Thomson Learning © 2004 18 - 35 Appendix: Index Overwriting Advantage is they drastically reduce the unsystematic risk usually associated with small portfolios South-Western / Thomson Learning © 2004 18 - 36 Appendix: Index Overwriting Table 18A-1 South-Western / Thomson Learning © 2004 18 - 37 Appendix: Index Overwriting Risk of index calls is that the index will rise above the strike price South-Western / Thomson Learning © 2004 18 - 38 Appendix: Index Overwriting South-Western / Thomson Learning © 2004 18 - 39 Appendix: Index Overwriting South-Western / Thomson Learning © 2004 18 - 40 ... return and risk with the passage of time investment results 18 - Structuring a Stock Portfolio : Active vs Passive Management A strategy of passive management is one in which, once established,... 18 - Structuring a Stock Portfolio : The Objective Semantics are important in any statement of investment objectives The four main portfolio objectives are stability of principal, income, growth... with taxes, one dollar in capital gains is worth more than one dollar in income The overriding investment objective is utility maximization South-Western / Thomson Learning © 2004 18 - Relative
Ngày đăng: 17/08/2018, 14:28
Xem thêm:
