Equity-Portfolio-Managem翻译介绍资料.pptVIP

EQUITY PORTFOLIO MANAGEMENT Portfolio Management Ali Nejadmalayeri Equity Management Indexing Only changes in the index causes the portfolio composition to change; e.g., additions/deletions Active The goal is to beat a “benchmark” portfolio; SP400, SP600 Growth, RUSSELL 2000, etc. Semi-Active Also known as “Enhanced Indexing” or “Risk-Controlled Active Management” aspire to beat a benchmark but limit tracking error Tracking Error Tracking Error The difference between a portfolio’s performance and a benchmark’s Tracking Error Volatility The variation of tracking error over a period Information Ratio The ratio of tracking error over its volatility Also, known as alpha to sigma ratio; alpha being the abnormal excess return and sigma being its volatility Examples of IR Passive Management Full replication Reconstruct the index exactly Challenges: transaction costs, administration costs, cash-flow management, cash holdings Stratified sampling Find dimensions of separation (size, value, etc.) Select few stocks in each dimension Optimization Optimize tracking error using multi-factor models Factors: size, beta, industry, interest rate, etc. Indexes Price-weighted Represent buy/hold return of 1 share; like DJIA, add all prices correct for splits and composition Value-weighted Represent buy/hold return of all shares of the index; like SP500, add all market-values correct for composition Sometimes the index is float-adjusted; supply of shares matters Equal-weighted Represent buy/hold return of equal dollar amount invested in each component; like ValueLine, add all return correct for composition and valuation drift Examples of Indexers Conventional Index Funds Net asset value determined daily ETFs Buy and sales happens all the time; more tax efficient than index funds; more transaction costs and licensing fees than index funds Separate pooled accounts Mostly institutional clientele Active Management Chose a style i.e. benchmark Beat the benchmark Get paid! Equity Style Wi