Investment Analysis and Portfolio Management Sixth Edition by Frank K Investment Analysis and Portfolio Management Sixth Edition by Frank K. Reilly & Keith C. Brown

Pasif versus Active Management Manajemen pasif portofolio ekuitas - Strategi buy-and-hold jangka panjang - Biasanya melacak indeks dari waktu ke waktu - Dirancang untuk mencocokkan kinerja pasar - Manajer dinilai pada seberapa baik mereka melacak indeks sasaran Manajemen aktif portofolio ekuitas - Upaya untuk mengungguli manajemen pasif dengan patokan portofolio berdasarkan atas risiko yang disesuaikan Copyright © 2000 by Harcourt, Inc. All rights reserved.

Sebuah ulasan strategi manajemen portofolio ekuitas pasif Meniru kinerja indeks Mungkin sedikit berperforma buruk indeks target karena provisi dan komisi Biaya manajemen aktif (1-2 persen) sulit untuk mengatasi kinerja risiko disesuaikan Banyak indeks pasar yang berbeda digunakan untuk pelacakan portofolio Copyright © 2000 by Harcourt, Inc. All rights reserved.

Teknik manajemen portofolio ekuitas pasif peniruan penuh pengambilan sampel Optimasi kuadrat atau pemrograman Copyright © 2000 by Harcourt, Inc. All rights reserved.

Copyright © 2000 by Harcourt, Inc. All rights reserved. Full Replication Semua surat berharga dalam indeks dibeli dalam proporsi bobot dalam indeks Hal ini membantu memastikan dekat dengan pelacakan Meningkatkan biaya transaksi, terutama dengan reinvestasi dividen Copyright © 2000 by Harcourt, Inc. All rights reserved.

Copyright © 2000 by Harcourt, Inc. All rights reserved. Sampling Membeli saham untuk sampel yang representatif sebagai indeks patokan menurut bobot mereka dalam indeks Sedikit saham berarti komisi yang lebih rendah Reinvestasi dividen lebih kecil Tidak akan melacak indeks yang serupa, sehingga akan ada beberapa kesalahan pelacakan Sering digunakan dalam hubungannya dengan optimasi kuadrat (lihat di bawah) Copyright © 2000 by Harcourt, Inc. All rights reserved.

Copyright © 2000 by Harcourt, Inc. All rights reserved. Expected Tracking Error Between the S&P 500 Index and Portfolio Samples of Less Than 500 Stocks Expected Tracking Error (Percent) Figure 22.1 4.0 3.0 2.0 1.0 500 400 300 200 100 Number of Stocks Copyright © 2000 by Harcourt, Inc. All rights reserved.

Quadratic Optimization (or programming techniques) Informasi sejarah tentang perubahan harga dan korelasi antara sekuritas adalah input ke dalam program komputer yang menentukan komposisi portofolio yang akan meminimalkan kesalahan pelacakan () dengan patokan - Variasi teori Portofolio Markowitz, tapi ... - Daripada memaksimalkan E (R) dan meminimalkan , - Memaksimalkan  meminimalkan  Copyright © 2000 by Harcourt, Inc. All rights reserved.

Frontier efisien untuk Peningkatan / Dioptimalkan Indeks Dana  Efficient Frontier p p Tracking Error () Copyright © 2000 by Harcourt, Inc. All rights reserved.

Quadratic Optimization (or programming techniques) Ini adalah aplikasi yang optimasi Markowitz yang paling sering digunakan dalam praktek Menderita karena masalah yang sama seperti yang disebutkan di Ch. 8 pada optimasi Markowitz, seperti: - Bergantung pada korelasi sejarah, yang dapat berubah dari waktu ke waktu, menyebabkan kegagalan untuk melacak indeks - Juga, masih perlu menggunakan beberapa jenis model faktor untuk memberikan struktur untuk korelasi dan dengan demikian mengurangi jumlah elemen yang harus diperkirakan Copyright © 2000 by Harcourt, Inc. All rights reserved.

Copyright © 2000 by Harcourt, Inc. All rights reserved. Completeness Funds Portofolio pasif disesuaikan untuk portofolio aktif yang tidak meliputi seluruh pasar Kinerja dibandingkan dengan patokan khusus yang menggabungkan karakteristik saham tidak tercakup oleh manajer aktif Copyright © 2000 by Harcourt, Inc. All rights reserved.

Portofolio Pasif lainnya Memenuhi kebutuhan yang unik Tanggung jawab sosial Investasi Dana-biaya rata-rata Copyright © 2000 by Harcourt, Inc. All rights reserved.

Sebuah Ulasan Strategi Manajemen Portofolio Aktif Ekuitas Tujuannya adalah untuk memperoleh return portofolio yang melebihi return pasif sebagai patokan portofolio, setelah dikurangi biaya transaksi, atas dasar risiko-disesuaikan Kesulitan praktis manajer aktif - Biaya transaksi harus diimbangi - Risiko dapat melebihi patokan pasif Copyright © 2000 by Harcourt, Inc. All rights reserved.

Copyright © 2000 by Harcourt, Inc. All rights reserved. tiga Strategi Market timing - pergeseran dana masuk dan keluar dari saham, obligasi, dan T-bills tergantung pada perkiraan pasar yang luas dan estimasi risiko premi Pergeseran dana antar berbagai sektor ekuitas dan industri (rotasi sektor) atau di antara gaya investasi (misalnya, tema investasi) untuk menangkap konsep panas sebelum dipasarkan Memilih saham- masalah individu Copyright © 2000 by Harcourt, Inc. All rights reserved.

Copyright © 2000 by Harcourt, Inc. All rights reserved. Investasi global Mengidentifikasi negara-negara dengan pasar dibawah atau diatas nilai dan bobot portofolio yang sesuaikan Mengelola portofolio global dari perspektif industri dan bukan dari perspektif negara Fokus pada tren global ekonomi, kekuatan kompetitif industri, dan kekuatan perusahaan dan strategi Copyright © 2000 by Harcourt, Inc. All rights reserved.

Copyright © 2000 by Harcourt, Inc. All rights reserved. sektor Perputaran Posisi portofolio untuk mengambil keuntungan dari pergerakan pasar berikutnya Penyaringan dapat didasarkan pada berbagai karakteristik saham: - nilai - pertumbuhan - P / E - kapitalisasi - Kepekaan terhadap variabel ekonomi Copyright © 2000 by Harcourt, Inc. All rights reserved.

Nilai versus Pertumbuhan Pertumbuhan saham akan mengungguli nilai saham untuk suatu waktu dan kemudian terjadi sebaliknya Seiring waktu nilai saham telah ditawarkan returnnya agak lebih tinggi dari pertumbuhan saham Copyright © 2000 by Harcourt, Inc. All rights reserved.

The Internet Investments Online www.russell.com www.firstquadrant.com www.wilshire.com www.mfea.com/planidx.html www.cboe.com www.cboe.com/institutional/testimon.htm www.cboe.com/institutional/portfolio.htm www.cboe.com/institutional/whitepap.htm Copyright © 2000 by Harcourt, Inc. All rights reserved.

Copyright © 2000 by Harcourt, Inc. All rights reserved. End of Chapter 22 Equity Portfolio Management Strategies Copyright © 2000 by Harcourt, Inc. All rights reserved.

Copyright © 2000 by Harcourt, Inc. All rights reserved. Future topics Chapter 27 – Evaluation of Portfolio Performance The Inefficient Stock Market (Haugen) – What Pays Off and Why Copyright © 2000 by Harcourt, Inc. All rights reserved.

Copyright © 2000 by Harcourt, Inc. All rights reserved.

Chapter 27 - Evaluation of Portfolio Performance What is the Treynor portfolio performance measure? What is the Sharpe portfolio performance measure? What is the critical difference between the Treynor and Sharpe portfolio performance measures? What is the Jensen portfolio performance measure, and how does it relate to the Treynor measure? Copyright © 2000 by Harcourt, Inc. All rights reserved.

What is Required of a Portfolio Manager? 1.The ability to derive above-average returns for a given risk class Superior risk-adjusted returns can be derived from either superior timing or superior security selection 2. The ability to diversify the portfolio completely to eliminate unsystematic risk Copyright © 2000 by Harcourt, Inc. All rights reserved.

Composite Portfolio Performance Measures Portfolio evaluation before 1960 rate of return within risk classes Peer group comparisons no explicit adjustment for risk difficult to form comparable peer group Treynor portfolio performance measure market risk individual security risk introduced characteristic line Copyright © 2000 by Harcourt, Inc. All rights reserved.

Treynor Portfolio Performance Measure Treynor recognized two components of risk Risk from general market fluctuations Risk from unique fluctuations in the securities in the portfolio His measure of risk-adjusted performance focuses on the portfolio’s undiversifiable risk: market or systematic risk Copyright © 2000 by Harcourt, Inc. All rights reserved.

Treynor Portfolio Performance Measure The numerator is the risk premium The denominator is a measure of risk The expression is the risk premium return per unit of risk Risk averse investors prefer to maximize this value This assumes a completely diversified portfolio leaving systematic risk as the relevant risk Copyright © 2000 by Harcourt, Inc. All rights reserved.

Treynor Portfolio Performance Measure Comparing a portfolio’s T value to a similar measure for the market portfolio indicates whether the portfolio would plot above the SML Calculate the T value for the aggregate market as follows: Copyright © 2000 by Harcourt, Inc. All rights reserved.

Treynor Portfolio Performance Measure Comparison to see whether actual return of portfolio G was above or below expectations can be made using: Copyright © 2000 by Harcourt, Inc. All rights reserved.

Sharpe Portfolio Performance Measure Risk premium earned per unit of risk Copyright © 2000 by Harcourt, Inc. All rights reserved.

Treynor versus Sharpe Measure Sharpe uses standard deviation of returns as the measure of risk Treynor measure uses beta (systematic risk) Sharpe therefore evaluates the portfolio manager on the basis of both rate of return performance and diversification The methods agree on rankings of completely diversified portfolios Produce relative not absolute rankings of performance Copyright © 2000 by Harcourt, Inc. All rights reserved.

Jensen Portfolio Performance Measure Also based on CAPM Expected return on any security or portfolio is Copyright © 2000 by Harcourt, Inc. All rights reserved.

Jensen Portfolio Performance Measure Also based on CAPM Expected return on any security or portfolio is Where: E(Rj) = the expected return on security RFR = the one-period risk-free interest rate j= the systematic risk for security or portfolio j E(Rm) = the expected return on the market portfolio of risky assets Copyright © 2000 by Harcourt, Inc. All rights reserved.