ch17equity-portfoliomanagement(投资学,赖利).ppt

Copyright ? 1999 by Harcourt Brace Company All rights reserved Chapter 17 EQUITY-PORTFOLIO MANAGEMENT Chapter 17 Questions What are the two generic equity portfolio management styles? What are three techniques for constructing a passive index portfolio? What three generic strategies can active equity-portfolio managers use? How does the goal of a passive equity-portfolio manager differ from the goal of an active manager? Chapter 17 Questions What investment styles may portfolio managers follow? In what ways can investors use information about a portfolio manager’s style? What skills should a good value portfolio manager possess? A good growth portfolio manager? Chapter 17 Questions How can futures and options be useful in managing an equity portfolio? What strategies can be used to manage a taxable investor’s portfolio in a tax-efficient way? What are four asset allocation strategies? Generic Portfolio Management Strategies Passive equity portfolio management Long-term buy-and-hold strategy Usually track an index over time Designed to match market performance Manager is judged on how well they track the target index Active equity portfolio management Attempts to outperform a passive benchmark portfolio on a risk-adjusted basis Passive Equity Portfolio Management Strategies Attempt to replicate the performance of an index May slightly underperform the target index due to fees and commissions Strong rationale for this approach Costs of active management (1 to 2 percent) are hard to overcome in risk-adjusted performance Many different market indexes are used for tracking portfolios Passive Equity Portfolio Management Strategies Not a simple process to track a market index closely Three basic techniques: Full replication Sampling Quadratic optimization or programming Passive Equity Portfolio Management Strategies Full Replication All securities in the index are purchased in proportion to weights in the index This helps ensure close tracking Increases transa