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Managing Investment Portfolios Workbook.pdf

Managing Investment Portfolios …

上传者: nwguru 2012-12-16 评分 0 0 0 0 0 0 暂无简介 简介 举报

简介:本文档为《Managing Investment Portfolios Workbookpdf》,可适用于经济金融领域,主题内容包含MANAGINGINVESTMENTPORTFOLIOSWORKBOOKADYNAMICPROCESSThirdEditionJohnLMaginn符等。

MANAGINGINVESTMENTPORTFOLIOSWORKBOOKADYNAMICPROCESSThirdEditionJohnLMaginn,CFADonaldLTuttle,CFADennisWMcLeavey,CFAJeraldEPinto,CFAJohnWileySons,IncFileAttachmentCjpgMANAGINGINVESTMENTPORTFOLIOSWORKBOOKADYNAMICPROCESSTheCFAInstituteisthepremierassociationforinvestmentprofessionalsaroundtheworld,withover,membersincountriesSincetheorganizationhasdevelopedandadministeredtherenownedCharteredFinancialAnalystProgramWitharichhistoryofleadingtheinvestmentprofession,CFAInstitutehassetthehigheststandardsinethics,education,andprofessionalexcellencewithintheglobalinvestmentcommunity,andistheforemostauthorityoninvestmentprofessionconductandpracticeEachbookintheCFAInstituteInvestmentSeriesisgearedtowardindustrypractitionersalongwithgraduatelevelfinancestudentsandcoversthemostimportanttopicsintheindustryTheauthorsofthesecuttingedgebooksarethemselvesindustryprofessionalsandacademicsandbringtheirwealthofknowledgeandexpertisetothisseriesMANAGINGINVESTMENTPORTFOLIOSWORKBOOKADYNAMICPROCESSThirdEditionJohnLMaginn,CFADonaldLTuttle,CFADennisWMcLeavey,CFAJeraldEPinto,CFAJohnWileySons,IncCopyrightcbyCFAInstituteAllrightsreservedPublishedbyJohnWileySons,Inc,Hoboken,NewJerseyPublishedsimultaneouslyinCanadaNopartofthispublicationmaybereproduced,storedinaretrievalsystem,ortransmittedinanyformorbyanymeans,electronic,mechanical,photocopying,recording,scanning,orotherwise,exceptaspermittedunderSectionoroftheUnitedStatesCopyrightAct,withouteitherthepriorwrittenpermissionofthePublisher,orauthorizationthroughpaymentoftheappropriatepercopyfeetotheCopyrightClearanceCenter,Inc,RosewoodDrive,Danvers,MA,(),fax(),orontheWebatwwwcopyrightcomRequeststothePublisherforpermissionshouldbeaddressedtothePermissionsDepartment,JohnWileySons,Inc,RiverStreet,Hoboken,NJ,(),fax(),oronlineathttp:wwwwileycomgopermissionsLimitofLiabilityDisclaimerofWarranty:Whilethepublisherandauthorshaveusedtheirbesteffortsinpreparingthisbook,theymakenorepresentationsorwarrantieswithrespecttotheaccuracyorcompletenessofthecontentsofthisbookandspecificallydisclaimanyimpliedwarrantiesofmerchantabilityorfitnessforaparticularpurposeNowarrantymaybecreatedorextendedbysalesrepresentativesorwrittensalesmaterialsTheadviceandstrategiescontainedhereinmaynotbesuitableforyoursituationYoushouldconsultwithaprofessionalwhereappropriateNeitherthepublishernorauthorsshallbeliableforanylossofprofitoranyothercommercialdamages,includingbutnotlimitedtospecial,incidental,consequential,orotherdamagesForgeneralinformationonourotherproductsandservicesorfortechnicalsupport,pleasecontactourCustomerCareDepartmentwithintheUnitedStatesat(),outsidetheUnitedStatesat()orfax()WileyalsopublishesitsbooksinavarietyofelectronicformatsSomecontentthatappearsinprintmaynotbeavailableinelectronicformatsFormoreinformationaboutWileyproducts,visitourWebsiteatwwwwileycomISBNPrintedintheUnitedStatesofAmericaCONTENTSPARTILearningOutcomes,SummaryOverview,andProblemsCHAPTERThePortfolioManagementProcessandtheInvestmentPolicyStatementLearningOutcomesSummaryOverviewProblemsCHAPTERManagingIndividualInvestorPortfoliosLearningOutcomesSummaryOverviewProblemsCHAPTERManagingInstitutionalInvestorPortfoliosLearningOutcomesSummaryOverviewProblemsCHAPTERCapitalMarketExpectationsLearningOutcomesSummaryOverviewProblemsCHAPTERAssetAllocationLearningOutcomesSummaryOverviewProblemsvviContentsCHAPTERFixedIncomePortfolioManagementLearningOutcomesSummaryOverviewProblemsCHAPTEREquityPortfolioManagementLearningOutcomesSummaryOverviewProblemsCHAPTERAlternativeInvestmentsPortfolioManagementLearningOutcomesSummaryOverviewProblemsCHAPTERRiskManagementLearningOutcomesSummaryOverviewProblemsCHAPTERExecutionofPortfolioDecisionsLearningOutcomesSummaryOverviewProblemsCHAPTERMonitoringandRebalancingLearningOutcomesSummaryOverviewProblemsCHAPTEREvaluatingPortfolioPerformanceLearningOutcomesSummaryOverviewProblemsContentsviiCHAPTERGlobalInvestmentPerformanceStandardsLearningOutcomesSummaryOverviewProblemsPARTIISolutionsCHAPTERThePortfolioManagementProcessandtheInvestmentPolicyStatementSolutionsCHAPTERManagingIndividualInvestorPortfoliosSolutionsCHAPTERManagingInstitutionalInvestorPortfoliosSolutionsCHAPTERCapitalMarketExpectationsSolutionsCHAPTERAssetAllocationSolutionsCHAPTERFixedIncomePortfolioManagementSolutionsCHAPTEREquityPortfolioManagementSolutionsviiiContentsCHAPTERAlternativeInvestmentsPortfolioManagementSolutionsCHAPTERRiskManagementSolutionsCHAPTERExecutionofPortfolioDecisionsSolutionsCHAPTERMonitoringandRebalancingSolutionsCHAPTEREvaluatingPortfolioPerformanceSolutionsCHAPTERGlobalInvestmentPerformanceStandardsSolutionsAbouttheCFAProgramPARTILEARNINGOUTCOMES,SUMMARYOVERVIEW,ANDPROBLEMSCHAPTERTHEPORTFOLIOMANAGEMENTPROCESSANDTHEINVESTMENTPOLICYSTATEMENTJohnLMaginn,CFAMaginnAssociates,IncOmaha,NebraskaDonaldLTuttle,CFACFAInstituteCharlottesville,VirginiaDennisWMcLeavey,CFACFAInstituteCharlottesville,VirginiaJeraldEPinto,CFACFAInstituteCharlottesville,VirginiaLearningOutcomes,SummaryOverview,andProblemsLEARNINGOUTCOMESAftercompletingthischapter,youwillbeabletodothefollowing:•Justifytheimportanceoftheportfolioperspective•Formulatethestepsoftheportfoliomanagementprocessandthecomponentsofthosesteps•Compareandcontrastthetypesofinvestmentobjectives•Contrastthetypesofinvestmentconstraints•Justifythecentralroleoftheinvestmentpolicystatementintheportfoliomanagementprocess•Reviewtheelementsofaninvestmentpolicystatementanddistinguishamongthecomponentswithin()theriskobjective,()thereturnobjective,and()thetimehorizonconstraint•Compareandcontrastpassive,active,andsemiactiveapproachestoinvesting•Discusstheroleofcapitalmarketexpectationsintheportfoliomanagementprocess•Discusstheroleofstrategicassetallocationintheportfoliomanagementprocess•Discusstherolesofportfolioselectioncompositionandportfolioimplementationintheportfoliomanagementprocess•Contrasttheelementsofperformanceevaluation•Explainthepurposeofmonitoringandrebalancing•Formulatetheelementsofportfoliomanagementasanongoingprocess•Formulateandjustifyariskobjectiveforaninvestor•Formulateandjustifyareturnobjectiveforaninvestor•Determinetheliquidityrequirementofaninvestorandevaluatetheeffectsofaliquidityrequirementonportfoliochoice•Contrastthetypesoftimehorizons,determinethetimehorizonforaninvestor,andevaluatetheeffectsoftheinvestor’stimehorizononportfoliochoice•Determinethetaxconcerns,legalandregulatoryfactors,anduniquecircumstancesforaninvestorandevaluatetheireffectsonportfoliochoice•JustifyethicalconductasarequirementformanaginginvestmentportfoliosSUMMARYOVERVIEWInChapter,wehavepresentedtheportfoliomanagementprocessandtheelementsoftheinvestmentpolicystatement•Accordingtotheportfolioperspective,individualinvestmentsshouldbejudgedinthecontextofhowmuchrisktheyaddtoaportfolioratherthanonhowriskytheyareonastandalonebasis•Thethreestepsintheportfoliomanagementprocessaretheplanningstep(objectivesandconstraintdetermination,investmentpolicystatementcreation,capitalmarketexpectationformation,andstrategicassetallocationcreation)theexecutionstep(portfolioselectioncompositionandportfolioimplementation)andthefeedbackstep(performanceevaluationandportfoliomonitoringandrebalancing)ChapterThePortfolioManagementProcessandtheInvestmentPolicyStatement•Investmentobjectivesarespecificandmeasurabledesiredperformanceoutcomes,andconstraintsarelimitationsontheabilitytomakeuseofparticularinvestmentsThetwotypesofobjectivesareriskandreturnThetwotypesofconstraintsareinternal(posedbythecharacteristicsoftheinvestor)andexternal(imposedbyoutsideagencies)•Aninvestmentpolicystatement(IPS)isawrittenplanningdocumentthatgovernsallinvestmentdecisionsfortheclientThisdocumentintegratesaclient’sneeds,preferences,andcircumstancesintoastatementofthatclient’sobjectivesandconstraints•ApolicyorstrategicassetallocationestablishesexposurestoIPSpermissibleassetclassesinamannerdesignedtosatisfytheclient’slongrunobjectivesandconstraintsTheplanreflectstheinteractionofobjectivesandconstraintswithlongruncapitalmarketexpectations•Inapassiveinvestmentstrategyapproach,portfoliocompositiondoesnotreacttochangesinexpectationsanexampleisindexing,whichinvolvesafixedportfoliodesignedtoreplicatethereturnsonanindexAnactiveapproachinvolvesholdingaportfoliodifferentfromabenchmarkorcomparisonportfolioforthepurposeofproducingpositiveexcessriskadjustedreturnsAsemiactiveapproachreferstoanindexingapproachwithcontrolleduseofweightsdifferentfromthebenchmark•TheportfolioselectioncompositiondecisionconcernsportfolioconstructionandoftenusesportfoliooptimizationtocombineassetsefficientlytoachievereturnandriskobjectivesTheportfolioimplementationdecisionconcernsthetradingdeskfunctionofimplementingportfoliodecisionsandinvolvesexplicitandimplicittransactioncosts•Theelementsofperformanceevaluationareperformancemeasurement,attribution,andappraisalPerformancemeasurementisthecalculationofportfolioratesofreturnPerformanceattributionistheanalysisofthoseratesofreturntodeterminethefactorsthatexplainhowthereturnwasachievedPerformanceappraisalassesseshowwelltheportfoliomanagerperformedonariskadjustedbasis,whetherabsoluteorrelativetoabenchmark•Portfoliomonitoringandrebalancingusefeedbacktomanageongoingexposurestoavailableinvestmentopportunitiesinordertocontinuallysatisfytheclient’scurrentobjectivesandconstraints•Portfoliomanagementisanongoingprocessinwhichtheinvestmentobjectivesandconstraintsareidentifiedandspecified,investmentpoliciesandstrategiesaredeveloped,theportfoliocompositionisdecidedindetail,portfoliodecisionsareinitiatedbyportfoliomanagersandimplementedbytraders,portfolioperformanceisevaluated,investorandmarketconditionsaremonitored,andanynecessaryrebalancingisimplemented•Thestepstodetermineariskobjectiveinclude:()specifyariskmeasure(ormeasures)suchasstandarddeviation,()determinetheinvestor’swillingnesstotakerisk,()determinetheinvestor’sabilitytotakerisk,()synthesizetheinvestor’swillingnessandabilityintotheinvestor’srisktolerance,and()specifyanobjectiveusingthemeasure(s)inthefirststepabove•Thestepstodetermineareturnobjectiveinclude:()specifyareturnmeasuresuchastotalnominalreturn,()determinetheinvestor’sstatedreturndesire,()determinetheinvestor’srequiredrateofreturn,and()specifyanobjectiveintermsofthereturnmeasureinthefirststepabove•AliquidityrequirementisaneedforcashinexcessofthecontributionrateorthesavingsrateataspecifiedpointintimeThisneedmaybeeitheranticipatedorunanticipated•AtimehorizonisthetimeperiodassociatedwithaninvestmentobjectiveInvestmentobjectivesandassociatedtimehorizonsmaybeshortterm,longterm,oracombinationLearningOutcomes,SummaryOverview,andProblemsofthesetwoAmultistagehorizonisacombinationofshortertermandlongertermhorizonsAtimehorizoncanbeconsideredaconstraintbecauseshortertimehorizonsgenerallyindicatelowerrisktoleranceandhenceconstrainportfoliochoice,makingitmoreconservative•AtaxconcernisanyissuearisingfromataxstructurethatreducestheamountofthetotalreturnthatcanbeusedforcurrentneedsorreinvestedforfuturegrowthTaxconcernsconstrainportfoliochoiceIfdifferencesexistbetweenthetaxratesapplyingtoinvestmentincomeandcapitalgains,taxconsiderationswillinfluencethechoiceofinvestment•LegalandregulatoryfactorsareexternalconsiderationsthatmayconstraininvestmentdecisionmakingForexample,agovernmentagencymaylimittheuseofcertainassetclassesinretirementportfoliosUniquecircumstancesareinternalfactors(otherthanaliquidityrequirement,timehorizon,ortaxconcerns)thatmayconstrainportfoliochoicesForexample,aninvestorseekingtoavoidinvestmentsintobaccocompanieswillplaceaninternalconstraintonportfoliochoicePROBLEMSAAnindividualexpectstosave,duringthecomingyearfromincomefromnonportfoliosources,suchassalaryShewillneed,withintheyeartomakeadownpaymentforahousepurchaseWhatisherliquidityrequirementforthecomingyearBEndowmentsarefundsthataretypicallyownedbynonprofitinstitutionsinvolvedineducational,medical,cultural,andothercharitableactivitiesClassifiedasinstitutionalinvestors,endowmentsarealmostalwaysestablishedwiththeintentoflastingintoperpetuityTheWilsonFowlerEndowmentwasestablishedintheUnitedStatestoprovidefinancialsupporttoWilsonFowlerCollegeAnendowment’sspendingratedefinesthefractionofendowmentassetsdistributedtothesupportedinstitutionTheWilsonFowlerEndowmenthasestablishedaspendingrateofpercentayeartheendowmentfollowsthesimpleruleofspending,inagivenyear,anamountequalto(Marketvalueoftheendowmentattheendoftheprioryear)ThisamountiscommittedtothebudgetarysupportofthecollegeforthecomingyearAttheendoftheprioryear,themarketvalueoftheWilsonFowlerEndowment’sassetsstoodat$millionInaddition,theWilsonFowlerEndowmenthascommittedtocontribute$millioninthecomingyeartotheconstructionofanewstudentdormitoryPlannersattheendowmentexpecttheendowmenttoreceivecontributionsorgifts(fromalumniandothersources)of$,overthecomingyearWhatistheanticipatedliquidityrequirementoftheWilsonFowlerEndowmentforthecomingyearTheExecutiveDirectoroftheJuddUniversityEndowmentestimatesthatthecapitalmarketswillprovideapercentexpectedreturnforanendowmentportfoliotakingaboveaveragerisk,andapercentexpectedreturnforanendowmentportfoliotakingaverageriskTheJuddEndowmentprovidestuitionscholarshipsforJuddUniversitystudentsThespendingratehasbeenpercent,andtheexpectedtuitioninflationrateispercentRecently,universityofficialshavepressuredtheendowmenttoincreasethespendingratetopercentTheendowmenthasanaveragetobelowaverageabilitytoacceptriskandonlyanaveragewillingnesstotakerisk,butauniversityofficialclaimsChapterThePortfolioManagementProcessandtheInvestmentPolicyStatementthattherisktoleranceshouldberaisedbecausehigherreturnsareneededDiscussanappropriatereturnobjectiveandrisktolerancefortheJuddEndowmentStux()describesacountryallocationstrategyacrossfivemajorequitymarkets:theUnitedStates,theUnitedKingdom,Germany,France,andJapanInthisstrategy,ameasureofrelativeattractivenessamongthefiveequitymarketsisusedasafactorindeterminingtheweightsofthefiveequitymarketsintheoverallportfolioTheinvestmentineachcountry,however,whateverthecountry’sweight,isanindexedinvestmentintheequitymarketofthatcountryTheweightsofthefiveequitymarketsintheoverallportfoliogenerallyareexpectedtodifferfrombenchmarkweights(theweightsofthecountriesinanappropriatebenchmarkfortheinternationalequitymarket),withinlimitsACharacterizethetwocomponents(portfolioweightsandwithincountryinvestments)ofthecountryallocationstrategyusingthetext’sframeworkforclassifyinginvestmentstrategiesBCharacterizethecountryallocationstrategyoverallCharacterizeeachoftheinvestmentobjectivesgivenbelowasoneofthefollowing:anabsoluteriskobjective,arelativeriskobjective,anabsolutereturnobjective,orarelativereturnobjectiveAAchievearateofreturnofpercentayearBLimitthestandarddeviationofportfolioreturnstopercentayearorlessCAchievereturnsinthetopquartileoftheportfolio’speeruniverse(thesetofportfolioswithsimilarinvestmentobjectivesandcharacteristics)DMaintainapercentorsmallerprobabilitythattheportfolio’sreturnfallsbelowthethresholdlevelofpercentperannumoveraoneyeartimehorizonEAchieveatrackingriskofnomorethanpercentperannumwithrespecttotheportfolio’sbenchmarkQuestionsthroughrelatetoJamesStephensonSelectandjustifythebestanswerJamesStephenson,ageandsingle,isasurgeonwhohasaccumulatedasubstantialinvestmentportfoliowithoutaclearlongtermstrategyinmindTwoofhispatientswhoworkinfinancialmarketscommentasfollows:•JamesHrdina:‘‘Myinvestmentfirm,basedonitsexperiencewithinvestors,hasstandardinvestmentpolicystatementsinfivecategoriesYouwouldbebetterservedtoadoptoneofthesestandardpolicystatementsinsteadofspendingtimedevelopingapolicybasedonyourindividualcircumstances’’•CharlesGionta:‘‘DevelopingalongtermpolicycanbeunwisegiventhefluctuationsofthemarketYouwantyourinvestmentadvisertoreactcontinuouslytochangingconditionsandnotbelimitedbyasetpolicy’’Stephensonhiresafinancialadviser,CarolineCoppaAttheirinitialmeeting,Coppacompilesthefollowingnotes:Stephensoncurrentlyhasa$millionportfoliothathasalargeconcentrationinsmallcapitalizationUSequitiesOverthepastfiveyears,theportfoliohasaveragedpercentannualtotalreturnoninvestmentStephensonhopesthat,overthelongterm,hisportfoliowillcontinuetoearnpercentannuallyWhenaskedabouthisLearningOutcomes,SummaryOverview,andProblemsrisktolerance,hedescribeditas‘‘average’’HewassurprisedwheninformedthatUSsmallcapportfolioshaveexperiencedextremelyhighvolatilityHedoesnotexpecttoretirebeforeageHiscurrentincomeismorethan

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