MBA课程 投资组合理论 第十讲：投资风险管理.ppt

* 金统学院 * Sector Weight Difference between Portfolio and Benchmark Benchmark Sector surplus return Pure Sector Allocation Return Agriculture 0.40% -6.29% -0.0252% Financial Services 3.30% 0.89% 0.0292% Energy -4.20% -2.07% 0.0871% Utility -1.20% -2.04% 0.0245% Consumer Durables 3.40% 0.31% 0.0104% Technology -3.10% 3.21% -0.0994% Cash and Equivalent 1.40% -3.09% -0.0433% TOTAL -0.0166% Pure Sector Allocation * 金统学院 * Sector Weight Difference between Portfolio and Benchmark Return Difference between Portfolio and Benchmark Allocation/Selection Interaction Return Agriculture 0.40% 0.90% 0.0036% Financial Services 3.30% -0.53% -0.0175% Energy -4.20% 0.41% -0.0172% Utility -1.20% -0.38% 0.0046% Consumer Durables 3.40% 1.10% 0.0374% Technology -3.10% 0.50% -0.0155% Cash and Equivalent 1.40% 0.50% 0.0070% TOTAL 0.0023% Allocation/Selection Interaction * 金统学院 * Sector Benchmark Weight Return Difference between Portfolio and Benchmark Within-Sector Selection Return Agriculture 6.30% 0.90% 0.0567% Financial Services 12.30% -0.53% -0.0652% Energy 16.50% 0.41% 0.0677% Utility 10.40% -0.38% -0.0395% Consumer Durables 31.20% 1.10% 0.3432% Technology 23.30% 0.50% 0.1165% Cash and Equivalent 0.00% 0.50% 0% TOTAL 0.4793% Within-Sector Selection * 金统学院 * 第十讲 金融投资风险管理 所以说， The net impact=-0.0166+0.0023+0.4793 =0.47 =3.56%(Portfolio Return)-3.09%(Benchmark Return) * 金统学院 * 第十讲 金融投资风险管理 利率效应与管理效应 对于以上两种归因方法，适应于权益组合的业绩评估，而在固定收益证券资产组合的业绩评估中，最为常用的则是利率效应与管理效应评估，分为以下两类六指标： Effect of the external interest environment Return on the default-free benchmark assuming no change in the forward rate Return due to the change in forward rate Contribution of the management process Return from interest rate management Return from sector/quality management Return from the selection of specific securities Return from trading activity * 金统学院 * 案例10-10 月亮河与Swan湖固定收益基金表现 Moon River Swan Lake Benchmark Interest rate effect Expected Unexpected Subtotal 0.48 0.56 1.04 0.48 0.56 1