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LecturePresentationSoftware
toaccompany
InvestmentAnalysisand
PortfolioManagement
SeventhEdition
by
FrankK.Reilly&KeithC.BrownChapter17LecturePresentationSoftware1Chapter17-EquityPortfolioManagementStrategiesQuestionstobeanswered:Whatarethetwogenericequityportfoliomanagementstyles?Whatarethreetechniquesforconstructingapassiveindexportfolio?Howdoesthegoalofapassiveequityportfoliomanagerdifferfromthegoalofanactivemanager?Whatisaportfolio’strackingerrorandhowisitusefulintheconstructionofapassiveequityinvestment?Chapter17-EquityPortfolio2Chapter17-EquityPortfolioManagementStrategiesWhatisthedifferencebetweenanindexmutualfundandanexchange-tradedfund?Whatarethethreethemesthatactiveequityportfoliomanagerscanuse?Whatstockcharacteristicsdifferentiatevalue-orientedandgrowth-orientedinvestmentstyles?Whatisstyleanalysisandwhatdoesitindicateaboutamanager’sinvestmentperformance?Chapter17-EquityPortfolio3Chapter17-EquityPortfolioManagementStrategiesWhattechniquesareusedbyactivemanagersinanattempttooutperformtheirbenchmark?Whataredifferencesbetweentheintegrated,strategic,tactical,andinsuredapproachestoassetallocation?Howcanfuturesandoptionsbeusefulinmanaginganequityportfolio?Chapter17-EquityPortfolio4PassiveversusActiveManagementPassiveequityportfoliomanagementLong-termbuy-and-holdstrategyUsuallytracksanindexovertimeDesignedtomatchmarketperformanceManagerisjudgedonhowwelltheytrackthetargetindexActiveequityportfoliomanagementAttemptstooutperformapassivebenchmarkportfolioonarisk-adjustedbasisPassiveversusActiveManageme5AnOverviewofPassiveEquityPortfolioManagementStrategiesReplicatetheperformanceofanindexMayslightlyunderperformthetargetindexduetofeesandcommissionsCostsofactivemanagement(1to2percent)arehardtoovercomeinrisk-adjustedperformanceManydifferentmarketindexesareusedfortrackingportfoliosAnOverviewofPassiveEquity6IndexPortfolioStrategyConstructionTechniques
FullreplicationSamplingQuadraticoptimizationorprogrammingIndexPortfolioStrategyConst7FullReplicationAllsecuritiesintheindexarepurchasedinproportiontoweightsintheindexThishelpsensureclosetrackingIncreasestransactioncosts,particularlywithdividendreinvestmentFullReplicationAllsecurities8SamplingBuysarepresentativesampleofstocksinthebenchmarkindexaccordingtotheirweightsintheindexFewerstocksmeanslowercommissionsReinvestmentofdividendsislessdifficultWillnottracktheindexasclosely,sotherewillbesometrackingerrorSamplingBuysarepresentative9ExpectedTrackingErrorBetweentheS&P500IndexandPortfolioSamplesofLessThan500StocksExhibit17.250040030020010002.01.03.04.0ExpectedTrackingError(Percent)NumberofStocksExpectedTrackingErrorBetwee10QuadraticOptimization
(orprogrammingtechniques)HistoricalinformationonpricechangesandcorrelationsbetweensecuritiesareinputintoacomputerprogramthatdeterminesthecompositionofaportfoliothatwillminimizetrackingerrorwiththebenchmarkThisreliesonhistoricalcorrelations,whichmaychangeovertime,leadingtofailuretotracktheindexQuadraticOptimization
(orpr11MethodsofIndexPortfolioInvestingIndexFundsAttempttoreplicateabenchmarkindexExchange-TradedFundsEFTsaredepositoryreceiptsthatgiveinvestorsaprorataclaimonthecapitalgainsandcashflowsofthesecuritiesthatareheldindepositbyafinancialinstitutionthatissuedthecertificatesMethodsofIndexPortfolioInv12AnOverviewofActiveEquityPortfolioManagementStrategiesGoalistoearnaportfolioreturnthatexceedsthereturnofapassivebenchmarkportfolio,netoftransactioncosts,onarisk-adjustedbasisPracticaldifficultiesofactivemanagerTransactionscostsmustbeoffsetRiskcanexceedpassivebenchmarkAnOverviewofActiveEquityP13FundamentalStrategiesTop-downversusbottom-upapproaches
Assetandsectorrotationstrategies
FundamentalStrategiesTop-down14SectorRotationPositionaportfoliototakeadvantageofthemarket’snextmoveScreeningcanbebasedonvariousstockcharacteristics:ValueGrowthP/ECapitalizationSensitivitytoeconomicvariablesSectorRotationPositionaport15TechnicalStrategiesContrarianinvestmentstrategyPricemomentumstrategyEarningsmomentumstrategyTechnicalStrategiesContraria16ValueversusGrowthGrowthstockswilloutperformvaluestocksforatimeandthentheoppositeoccursOvertimevaluestockshaveofferedsomewhathigherreturnsthangrowthstocksValueversusGrowthGrowthstoc17ValueversusGrowthGrowth-orientedinvestorwill:focusonEPSanditseconomicdeterminantslookforcompaniesexpectedtohaverapidEPSgrowthassumesconstantP/EratioValueversusGrowthGrowth-orie18ValueversusGrowthValue-orientedinvestorwill:focusonthepricecomponentnotcaremuchaboutcurrentearningsassumetheP/EratioisbelowitsnaturallevelValueversusGrowthValue-orien19StyleConstructaportfoliotocaptureoneormoreofthecharacteristicsofequitysecuritiesSmall-capitalizationstocks,low-P/Estocks,etc…Valuestocksappeartobeunderpricedprice/bookorprice/earningsGrowthstocksenjoyabove-averageearningspershareincreasesStyleConstructaportfolioto20DoesStyleMatter?ChoicetoalignwithinvestmentstylecommunicatesinformationtoclientsDeterminingstyleisusefulinmeasuringperformancerelativetoabenchmarkStyleidentificationallowsaninvestortodiversifybyportfolioStyleinvestingallowscontrolofthetotalportfoliotobesharedbetweentheinvestmentmanagersandasponsorDoesStyleMatter?Choicetoal21DeterminingStyleStylegrid:firmsizevalue-growthcharacteristicsStyleanalysisconstrainedleastsquaresDeterminingStyleStylegrid:22BenchmarkPortfoliosSharpeT-bills,intermediate-termgovernmentbonds,long-termgovernmentbonds,corporatebonds,mortgagerelatedsecurities,large-capitalizationvaluestocks,large-capitalizationgrowthstocks,medium-capitalizationstocks,small-capitalizationstocks,non-U.S.bonds,Europeanstocks,andJapanesestocksBenchmarkPortfoliosSharpe23BenchmarkPortfoliosSharpeBARRAUsesportfoliosformedaround13differentsecuritycharacteristics,includingvariabilityinmarkets,pastfirmsuccess,firmsize,tradingactivity,growthorientation,earnings-to-priceratio,book-to-priceratio,earningsvariability,financialleverage,foreignincome,laborintensity,yield,andlowcapitalizationBenchmarkPortfoliosSharpe24BenchmarkPortfoliosSharpeBARRAIbbotsonAssociatessimpleststylemodelusesportfoliosformedaroundfivedifferentcharacteristics:cash(T-bills),large-capitalizationgrowth,small-capitalizationgrowth,large-capitalizationvalue,andsmall-capitalizationvalueBenchmarkPortfoliosSharpe25TimingBetweenStylesVariationsinreturnsamongmutualfundsarelargelyattributabletodifferencesinstylesDifferentstylestendtomoveatdifferenttimesinthebusinesscycleTimingBetweenStylesVariation26AssetAllocationStrategiesIntegratedassetallocationcapitalmarketconditionsinvestor’sobjectivesandconstraintsStrategicassetallocationconstant-mixTacticalassetallocationmeanreversioninherentlycontrarianInsuredassetallocationconstantproportionAssetAllocationStrategiesInt27AssetAllocationStrategiesSelectinganallocationmethoddependson:Perceptionsofvariabilityintheclient’sobjectivesandconstraintsPerceivedrelationshipbetweenthepastandfuturecapitalmarketconditionsAssetAllocationStrategiesSel28UsingFuturesandOptionsin
EquityPortfolioManagementSystematicandunsystematicriskofequityportfolioscanbemodifiedbyusingfuturesandoptionsderivativesSellingfuturesontheportfolio’sunderlyingassetsreducestheportfolio’ssensitivitytopricechangesoftheassetOptionsdonothavesymmetricalimpactonreturnsUsingFuturesandOptionsin
29TheUseofFuturesinAssetAllocationAllowschangingtheportfolioallocationquicklytoadjusttoforecastsatlowertransactioncostsFuturescanmaintainanoverallbalanceinaportfolioFuturescangainexposuretointernationalmarketsCurrencyexposurecanbemanagedusingcurrencyfuturesandoptionsTheUseofFuturesinAssetAl30UsingDerivativesinPassive
EquityPortfolioManagementFuturesandoptionscanhelpcontrolcashinflowsandoutflowsfromtheportfolioInflows-indexcontractsallowtimetomakeinvestmentsOutflows-largeplannedwithdrawalismadebysellingsecurities,whichcausesanincreaseincashholdings;futurescancounterbalancethisuntilthewithdrawalOptionscanbesoldtoreduceweightingsinsectorsorindividualstocksduringrebalancingUsingDerivativesinPassive
31UsingDerivativesinActiveEquityPortfolioManagementModifyingsystematicriskModifyingunsystematicriskUsingDerivativesinActiveEq32TheInternet
InvestmentsOnlineTheInternet
InvestmentsOnlin33EndofChapter17EquityPortfolioManagementStrategiesEndofChapter1734Futuretopics
Chapter18
BondFundamentalsFuturetopics
Chapter18Bond35LecturePresentationSoftware
toaccompany
InvestmentAnalysisand
PortfolioManagement
SeventhEdition
by
FrankK.Reilly&KeithC.BrownChapter17LecturePresentationSoftware36Chapter17-EquityPortfolioManagementStrategiesQuestionstobeanswered:Whatarethetwogenericequityportfoliomanagementstyles?Whatarethreetechniquesforconstructingapassiveindexportfolio?Howdoesthegoalofapassiveequityportfoliomanagerdifferfromthegoalofanactivemanager?Whatisaportfolio’strackingerrorandhowisitusefulintheconstructionofapassiveequityinvestment?Chapter17-EquityPortfolio37Chapter17-EquityPortfolioManagementStrategiesWhatisthedifferencebetweenanindexmutualfundandanexchange-tradedfund?Whatarethethreethemesthatactiveequityportfoliomanagerscanuse?Whatstockcharacteristicsdifferentiatevalue-orientedandgrowth-orientedinvestmentstyles?Whatisstyleanalysisandwhatdoesitindicateaboutamanager’sinvestmentperformance?Chapter17-EquityPortfolio38Chapter17-EquityPortfolioManagementStrategiesWhattechniquesareusedbyactivemanagersinanattempttooutperformtheirbenchmark?Whataredifferencesbetweentheintegrated,strategic,tactical,andinsuredapproachestoassetallocation?Howcanfuturesandoptionsbeusefulinmanaginganequityportfolio?Chapter17-EquityPortfolio39PassiveversusActiveManagementPassiveequityportfoliomanagementLong-termbuy-and-holdstrategyUsuallytracksanindexovertimeDesignedtomatchmarketperformanceManagerisjudgedonhowwelltheytrackthetargetindexActiveequityportfoliomanagementAttemptstooutperformapassivebenchmarkportfolioonarisk-adjustedbasisPassiveversusActiveManageme40AnOverviewofPassiveEquityPortfolioManagementStrategiesReplicatetheperformanceofanindexMayslightlyunderperformthetargetindexduetofeesandcommissionsCostsofactivemanagement(1to2percent)arehardtoovercomeinrisk-adjustedperformanceManydifferentmarketindexesareusedfortrackingportfoliosAnOverviewofPassiveEquity41IndexPortfolioStrategyConstructionTechniques
FullreplicationSamplingQuadraticoptimizationorprogrammingIndexPortfolioStrategyConst42FullReplicationAllsecuritiesintheindexarepurchasedinproportiontoweightsintheindexThishelpsensureclosetrackingIncreasestransactioncosts,particularlywithdividendreinvestmentFullReplicationAllsecurities43SamplingBuysarepresentativesampleofstocksinthebenchmarkindexaccordingtotheirweightsintheindexFewerstocksmeanslowercommissionsReinvestmentofdividendsislessdifficultWillnottracktheindexasclosely,sotherewillbesometrackingerrorSamplingBuysarepresentative44ExpectedTrackingErrorBetweentheS&P500IndexandPortfolioSamplesofLessThan500StocksExhibit17.250040030020010002.01.03.04.0ExpectedTrackingError(Percent)NumberofStocksExpectedTrackingErrorBetwee45QuadraticOptimization
(orprogrammingtechniques)HistoricalinformationonpricechangesandcorrelationsbetweensecuritiesareinputintoacomputerprogramthatdeterminesthecompositionofaportfoliothatwillminimizetrackingerrorwiththebenchmarkThisreliesonhistoricalcorrelations,whichmaychangeovertime,leadingtofailuretotracktheindexQuadraticOptimization
(orpr46MethodsofIndexPortfolioInvestingIndexFundsAttempttoreplicateabenchmarkindexExchange-TradedFundsEFTsaredepositoryreceiptsthatgiveinvestorsaprorataclaimonthecapitalgainsandcashflowsofthesecuritiesthatareheldindepositbyafinancialinstitutionthatissuedthecertificatesMethodsofIndexPortfolioInv47AnOverviewofActiveEquityPortfolioManagementStrategiesGoalistoearnaportfolioreturnthatexceedsthereturnofapassivebenchmarkportfolio,netoftransactioncosts,onarisk-adjustedbasisPracticaldifficultiesofactivemanagerTransactionscostsmustbeoffsetRiskcanexceedpassivebenchmarkAnOverviewofActiveEquityP48FundamentalStrategiesTop-downversusbottom-upapproaches
Assetandsectorrotationstrategies
FundamentalStrategiesTop-down49SectorRotationPositionaportfoliototakeadvantageofthemarket’snextmoveScreeningcanbebasedonvariousstockcharacteristics:ValueGrowthP/ECapitalizationSensitivitytoeconomicvariablesSectorRotationPositionaport50TechnicalStrategiesContrarianinvestmentstrategyPricemomentumstrategyEarningsmomentumstrategyTechnicalStrategiesContraria51ValueversusGrowthGrowthstockswilloutperformvaluestocksforatimeandthentheoppositeoccursOvertimevaluestockshaveofferedsomewhathigherreturnsthangrowthstocksValueversusGrowthGrowthstoc52ValueversusGrowthGrowth-orientedinvestorwill:focusonEPSanditseconomicdeterminantslookforcompaniesexpectedtohaverapidEPSgrowthassumesconstantP/EratioValueversusGrowthGrowth-orie53ValueversusGrowthValue-orientedinvestorwill:focusonthepricecomponentnotcaremuchaboutcurrentearningsassumetheP/EratioisbelowitsnaturallevelValueversusGrowthValue-orien54StyleConstructaportfoliotocaptureoneormoreofthecharacteristicsofequitysecuritiesSmall-capitalizationstocks,low-P/Estocks,etc…Valuestocksappeartobeunderpricedprice/bookorprice/earningsGrowthstocksenjoyabove-averageearningspershareincreasesStyleConstructaportfolioto55DoesStyleMatter?ChoicetoalignwithinvestmentstylecommunicatesinformationtoclientsDeterminingstyleisusefulinmeasuringperformancerelativetoabenchmarkStyleidentificationallowsaninvestortodiversifybyportfolioStyleinvestingallowscontrolofthetotalportfoliotobesharedbetweentheinvestmentmanagersandasponsorDoesStyleMatter?Choicetoal56DeterminingStyleStylegrid:firmsizevalue-growthcharacteristicsStyleanalysisconstrainedleastsquaresDeterminingStyleStylegrid:57BenchmarkPortfoliosSharpeT-bills,intermediate-termgovernmentbonds,long-termgovernmentbonds,corporatebonds,mortgagerelatedsecurities,large-capitalizationvaluestocks,large-capitalizationgrowthstocks,medium-capitalizationstocks,small-capitalizationstocks,non-U.S.bonds,Europeanstocks,andJapanesestocksBenchmarkPortfoliosSharpe58BenchmarkPortfoliosSharpeBARRAUsesportfoliosformedaround13differentsecuritycharacteristics,includingvariabilityinmarkets,pastfirmsuccess,firmsize,tradingactivity,growthorientation,earnings-to-priceratio,book-to-priceratio,earningsvariability,financialleverage,foreignincome,laborintensity,yield,andlowcapitalizationBenchmarkPortfoliosSharpe59BenchmarkPortfoliosSharpeBARRAIbbotsonAssociatessimpleststylemodelusesportfoliosformedaroundfivedifferentcharacteristics:cash(T-bills),large-capitalizationgrowth,small-capitalizationgrowth,large-capitalizationvalue,andsmall-capitalizationvalueBenchmarkPortfoliosSharpe60TimingBetweenStylesVariationsinreturnsamongmutualfundsarelargelyattributabletodifferencesinstylesDifferentstylestendtomoveatdifferenttimesinthebusinesscycleTimingBetweenStylesVariation61AssetAllocationStrategiesIntegratedassetallocationcapitalmarketconditionsinvestor’sobjectivesandconstraintsStrategicassetallocationconstant-mixTacticalassetallocationmeanreversioninherentlycontrarian
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