08Monitor and rebalance 资产组合PPT 金融系，研究生课程课件.pptVIP

Monitor and Rebalance Constantly monitor and rebalance Why managers must monitor and rebalance portfolios? First, clients’ needs and circumstances change Life-cycle changes are expected for individual investors pension fund may receive a mandate from its trustees to assume less volatility. A university endowment may need to react to higher-than-anticipated inflation in faculty salaries. Second, capital market conditions change. if a client’s return requirement is 8 percent but the strategic asset allocation promises to return on average 6.5 percent in the current climate Third, fluctuations in the market values of assets create differences between a portfolio’s current asset allocation and its strategic asset allocation. Why managers must monitor and rebalance portfolios? From Asset allocation and Active portfolio management theory Risk aversion changes with investor’s age [ 教材Page 25] Short term market forecast changes What to be monitored?(1) investor circumstances events such as changes in employment, marital status, and the birth of children may affect income, expenditures, risk exposures, and risk preference What to be monitored?(2) market and economic changes In equity markets historically, increasing volatility has signaled opportunity more often than not, providing buying opportunities when fear prompts others to sell. Reducing exposure to outperforming asset classes and increasing exposure to underperforming asset classes at the asset-class level. “Do not fight the Fed” has been a longstanding warning from Martin Zweig Yield curve changes reflect changes in bond values, and bond value changes affect equity values through the competition that bonds supply to equities. The premium on long-term bonds over short-term bonds tends to be countercyclical (high during recessions） because investors demand greater rewards for bearing risk during bad times. By contrast, short-term yields tend to be procyclical. What to be monitored?(3) the portfoli