EquityPortfolio

Management

CFA三級(jí)培訓(xùn)項(xiàng)目

講師：BobHong

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1.Investment

style

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EquityInvestmentStyleClassifications

Thetwomainapproachesinstyleanalysisaretheholdings-based

approachandthereturns-basedapproach.

Theholdings-basedapproach

looksattheattributesofeach

individualstockinaportfolio

andaggregatestheseattributes

toconcludetheoverallstyleof

theportfolio.Acommon

applicationofthisideaisthe

MorningstarStyleBox.

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Holdings-BasedStyleAnalysis

Thestyleboxapproachaimstoclassifyapproximatelythesamenumberof

stocksineachofthevalue,blend,andgrowthgroups,essentially

distributingthemarketvalueofeachrowevenlyacrossthegrid.

Theclassificationofstocksintovalue/blend/growthinvolvesassigninga

stylescoretoeachindividualstock.

Forexample,toassignavaluescore,thedividendyieldmaybeused.

Stockswouldberankedaccordingtotheirdividendyieldanda

scoreallocatedtoastockbasedontheirpercentileofthemarket

valueoftheirparticulargroup.

Ifthestockisatthelower(high)endofthedividendyieldrange,it

willreceivealow(high)scorecloseto0(100).Acomprehensive

scoringmodelwouldusemanyindicatorsofvalueandcombine

themtogetherinapre-determinedweighting.

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Holdings-BasedStyleAnalysis

Theclassificationofstocks

Thedifferencebetweenthestock’sgrowthandvaluescoresiscalleda

netstylescore.

Ifthenetstylescoreisstronglynegative,thestockisclassifiedas

value.

Ifthenetstylescoreisstronglypositivethenthestockisclassified

asgrowth.

Ifthenetstylescoreisclosetozerothenthestockwillbeclassified

ascore.

Onceconstructedforastockuniverse,thegridcanbeusedasavisual

aidtohelpcategorizeandtrackmanagedinvestmentportfolios.

Ataglance,aninvestorcanseewhereamanagerispositionedon

thegrid,and,ifhistoricaldataexists,howthisstylehaschanged

overtime.

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Returns-BasedStyleAnalysis

Areturns-basedstyleanalysisaimstoidentifythestyleofafundthrough

regressionofthefundsreturnsagainstasetofpassivestyleindices.

Byimposingaconstraintontheregressionthatthesumoftheslopecoefficients

shouldsumtoavalueof1,theslopecoefficientscanbeinterpretedasthe

manager’sallocationtothatstyleduringtheperiod.

Forexample,areturn-basedstyleanalysismightconductaregressionof

fundreturnsversusfourpassiveindicesasfollows:

?

?

?=?+???+?

?

??

?=1

???=thereturnofstyleindexsinthesameperiod

β

s=thefundexposuretostyles(withconstraints???=1andβs>0for

?=1

along-onlyportfolio)

α=aconstantofteninterpretedasthevalueaddedbythefundmanager

ε=theresidualreturnthatcannotbeexplainedbythestylesusedinthe

t

analysis

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ManagerSelf-Identification

Thefund’sinvestmentstrategyisusuallyself-describedbythemanager.

Comparingthatself-descriptionwithreturns-basedandholdings-based

styleanalysiswilleitherconfirmaconsistentidentificationorindicateaneed

forfurtherinvestigationandanalysistoexplainthediscrepancy.

Somestylessuchasequitylong/short,equitymarketneutralandshort

biasdonotfittraditionalstylecategoriesandthemanager’sdescription

andfundprospectusbecomesthekeysourceofinformationonstyleof

suchfunds.

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Equitystyleanalysis-Comparisonof2tech.

Advantages

Disadvantages

?Requiresminimal

information

?Maybeineffectivein

characterizingcurrentstyle

?Difficulttodetectmore

aggressivepositions

Return-based

?Canbeexecutedquickly

?Costeffective

?Morewidelyapplied

?Moreaccuratethan

?Moredataintensivethan

returns-basedanalysis

?Lesseffectiveforfunds

withsubstantialpositions

inderivatives.

returns-based

Holding-based?Facilitatescomparisonsof

individualpositions

?Capturechangesinstyle

morequickly

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2.Portfolio

Construction

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PortfolioConstruction

Passively-managedindex-basedequityportfolioscanbeconstructedby:

FullReplication:fullreplication(holdallofthesecuritiesintheindex)

StratifiedSampling:holdasampleofthesecuritiesbasedonstratified

sampling

Optimization:usemorecomplexoptimizationtomaximizedesirable

characteristicswhileminimizingundesirablecharacteristics.

BlendedApproach:inpracticeablendoftheseapproachesmaybe

used.

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PortfolioConstruction

Fullreplicationcanbecostlywhentherearelargenumbersofstockand

liquidityislimited.

Theportfoliomustberegularlyreconstitutedandrebalanced.

Theadvantageoffullreplicationisthatitcloselymatchestheindex

return(beforetransactioncosts).

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PortfolioConstruction

Toavoidthehighcostoffullreplication,itoftenmakesmoresenseforthe

managertousestratifiedsampling,inwhichheholdsasubsetofthe

constituentstocks,withthesampleselectedinsuchawayastoreplicatethe

indexreturn/riskcharacteristics.

Toimplementstratifiedsampling,themanagercreatesstrataacrossthe

constituentstocksthataremutuallyexclusiveandexhaustive.

Themanagermustconsidersizeofthesampleused.Asmorestocksare

addedandtheportfolioapproachesfullreplication;lessliquidstocks

areadded,increasingtransactioncostandtrackingerror.

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PortfolioConstruction

Optimizationusesthetoolsofmodernportfoliotheorytoaddressthe

problemofminimizingtrackingerror.

Theoptimizerseeksthecombinationofstocksthatwouldhave

minimizedtrackingerrorandpossiblymaximizedreturn.

Theadvantagesofoptimizationtechniquesistheytypicallyexhibit

lowertrackingerror,andthattheyexplicitlyaccountforthecovariance

amongconstituentstocks.

Theobviousdrawbackofoptimizationisthatitisbasedonhistorical

relationshipsandthosecanchange.Maintaintheoptimizationasthe

datachangecanbecostly.

Anotherdrawbackisthatitcancreateport