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CHAPTER5MODERNPORTFOLIOCONCEPTSCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED52MODERNPORTFOLIOCONCEPTSLEARNINGGOALS1UNDERSTANDPORTFOLIOMANAGEMENTOBJECTIVESANDCALCULATETHERETURNANDSTANDARDDEVIATIONOFAPORTFOLIO2DISCUSSTHECONCEPTSOFCORRELATIONANDDIVERSIFICATIONANDTHEEFFECTIVENESSMETHODSANDBENEFITSOFINTERNATIONALDIVERSIFICATION3DESCRIBETHETWOCOMPONENTSOFRISKBETAANDTHECAPITALASSETPRICINGMODELCAPMCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED53MODERNPORTFOLIOCONCEPTSLEARNINGGOALSCONTD4REVIEWTRADITIONALANDMODERNAPPROACHESTOPORTFOLIOMANAGEMENTANDRECONCILETHEM5DESCRIBETHEROLEOFINVESTORCHARACTERISTICSANDOBJECTIVESANDOFPORTFOLIOOBJECTIVESANDPOLICIESINCONSTRUCTINGANINVESTMENTPORTFOLIO6SUMMARIZEWHYANDHOWINVESTORSUSEANASSETALLOCATIONSCHEMETOCONSTRUCTANINVESTMENTPORTFOLIOCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED54WHATISAPORTFOLIOPORTFOLIOISACOLLECTIONOFINVESTMENTVEHICLESASSEMBLEDTOMEETONEORMOREINVESTMENTGOALSGROWTHORIENTEDPORTFOLIOPRIMARYOBJECTIVEISLONGTERMPRICEAPPRECIATIONINCOMEORIENTEDPORTFOLIOPRIMARYOBJECTIVEISCURRENTDIVIDENDANDINTERESTINCOMECOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED55THEULTIMATEGOALANEFFICIENTPORTFOLIOEFFICIENTPORTFOLIOAPORTFOLIOTHATPROVIDESTHEHIGHESTRETURNFORAGIVENLEVELOFRISKGIVENTHECHOICEBETWEENTWOEQUALLYRISKYINVESTMENTSANINVESTORWILLCHOSETHEONEWITHTHEHIGHESTPOTENTIALRETURNGIVENTHECHOICEBETWEENTWOINVESTMENTSOFFERINGTHESAMERETURNANINVESTORWILLCHOICETHEONETHATHASTHELEASTRISKCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED56PORTFOLIORETURNANDRISKMEASURESRETURNONAPORTFOLIOISTHEWEIGHTEDAVERAGEOFRETURNSONTHEINDIVIDUALASSETSINTHEPORTFOLIOSTANDARDDEVIATIONOFAPORTFOLIOSRETURNSISCALCULATEDUSINGALLOFTHEINDIVIDUALASSETSINTHEPORTFOLIOCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED57RETURNONPORTFOLIORETURNONPORTFOLIOPROPORTIONOFPORTFOLIOSTOTALDOLLARVALUEREPRESENTEDBYASSET1RETURNONASSET1PROPORTIONOFPORTFOLIOSTOTALDOLLARVALUEREPRESENTEDBYASSET2RETURNONASSET2PROPORTIONOFPORTFOLIOSTOTALDOLLARVALUEREPRESENTEDBYASSETNRETURNONASSETNJ1NPROPORTIONOFPORTFOLIOSTOTALDOLLARVALUEREPRESENTEDBYASSETJRETURNONASSETJRPW1R1W2R2WNRNWJRJJ1NCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED58CORRELATIONWHYDIVERSIFICATIONWORKSCORRELATIONISASTATISTICALMEASUREOFTHERELATIONSHIPBETWEENTWOSERIESOFNUMBERSREPRESENTINGDATAPOSITIVELYCORRELATEDITEMSMOVEINTHESAMEDIRECTIONNEGATIVELYCORRELATEDITEMSMOVEINOPPOSITEDIRECTIONSCORRELATIONCOEFFICIENTISAMEASUREOFTHEDEGREEOFCORRELATIONBETWEENTWOSERIESOFNUMBERSREPRESENTINGDATACOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED59CORRELATIONCOEFFICIENTSPERFECTLYPOSITIVELYCORRELATEDDESCRIBESTWOPOSITIVELYCORRELATEDSERIESHAVINGACORRELATIONCOEFFICIENTOF1PERFECTLYNEGATIVELYCORRELATEDDESCRIBESTWONEGATIVELYCORRELATEDSERIESHAVINGACORRELATIONCOEFFICIENTOF1UNCORRELATEDDESCRIBESTWOSERIESTHATLACKANYRELATIONSHIPANDHAVEACORRELATIONCOEFFICIENTOFNEARLYZEROCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED510FIGURE51THECORRELATIONBETWEENSERIESMNANDPCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED511CORRELATIONWHYDIVERSIFICATIONWORKSTOREDUCEOVERALLRISKINAPORTFOLIOITISBESTTOCOMBINEASSETSTHATHAVEANEGATIVEORLOWPOSITIVECORRELATIONUNCORRELATEDASSETSREDUCERISKSOMEWHATBUTNOTASEFFECTIVELYASCOMBININGNEGATIVELYCORRELATEDASSETSINVESTINGINDIFFERENTINVESTMENTSWITHHIGHPOSITIVECORRELATIONWILLNOTPROVIDESUFFICIENTDIVERSIFICATIONCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED512FIGURE52COMBININGNEGATIVELYCORRELATEDASSETSTODIVERSIFYRISKCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED513TABLE53CORRELATIONRETURNANDRISKFORVARIOUSTWOASSETPORTFOLIOCOMBINATIONSCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED514FIGURE53RANGEOFPORTFOLIORETURNANDRISKFORCOMBINATIONSOFASSETSAANDBFORVARIOUSCORRELATIONCOEFFICIENTSCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED515WHYUSEINTERNATIONALDIVERSIFICATIONOFFERSMOREDIVERSEINVESTMENTALTERNATIVESTHANUSONLYBASEDINVESTINGFOREIGNECONOMICCYCLESMAYMOVEINDEPENDENTLYFROMUSECONOMICCYCLEFOREIGNMARKETSMAYNOTBEAS“EFFICIENT”ASUSMARKETSALLOWINGTRUEGAINSFROMSUPERIORRESEARCHSTUDYDONEBETWEEN1984AND1994SUGGESTSTHATPORTFOLIO70SP500AND30EAFEWOULDREDUCERISK5ANDINCREASERETURN7OVERA100SP500PORTFOLIOCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED516INTERNATIONALDIVERSIFICATIONADVANTAGESOFINTERNATIONALDIVERSIFICATIONBROADERINVESTMENTCHOICESPOTENTIALLYGREATERRETURNSTHANINUSREDUCTIONOFOVERALLPORTFOLIORISKDISADVANTAGESOFINTERNATIONALDIVERSIFICATIONCURRENCYEXCHANGERISKLESSCONVENIENTTOINVESTTHANUSSTOCKSMOREEXPENSIVETOINVESTRISKIERTHANINVESTINGINUSCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED517METHODSOFINTERNATIONALDIVERSIFICATIONFOREIGNCOMPANYSTOCKSLISTEDONUSSTOCKEXCHANGESYANKEEBONDSAMERICANDEPOSITORYRECEIPTSADRSMUTUALFUNDSINVESTINGINFOREIGNSTOCKSUSMULTINATIONALCOMPANIESTYPICALLYNOTCONSIDEREDATRUEINTERNATIONALINVESTMENTFORDIVERSIFICATIONPURPOSESCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED518COMPONENTSOFRISKDIVERSIFIABLEUNSYSTEMATICRISKRESULTSFROMUNCONTROLLABLEORRANDOMEVENTSTHATAREFIRMSPECIFICCANBEELIMINATEDTHROUGHDIVERSIFICATIONEXAMPLESLABORSTRIKESLAWSUITSNONDIVERSIFIABLESYSTEMATICRISKATTRIBUTABLETOFORCESTHATAFFECTALLSIMILARINVESTMENTSCANNOTBEELIMINATEDTHROUGHDIVERSIFICATIONEXAMPLESWARINFLATIONPOLITICALEVENTSCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED519COMPONENTSOFRISKTOTALRISKNONDIVERSIFIABLERISKDIVERSIFIABLERISKCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED520BETAAPOPULARMEASUREOFRISKAMEASUREOFNONDIVERSIFIABLERISKINDICATESHOWTHEPRICEOFASECURITYRESPONDSTOMARKETFORCESCOMPARESHISTORICALRETURNOFANINVESTMENTTOTHEMARKETRETURNTHESP500INDEXTHEBETAFORTHEMARKETIS100STOCKSMAYHAVEPOSITIVEORNEGATIVEBETASNEARLYALLAREPOSITIVESTOCKSWITHBETASGREATERTHAN100AREMORERISKYTHANTHEOVERALLMARKETSTOCKSWITHBETASLESSTHAN100ARELESSRISKYTHANTHEOVERALLMARKETCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED521FIGURE55GRAPHICALDERIVATIONOFBETAFORSECURITIESCANDDCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED522BETAAPOPULARMEASUREOFRISKCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED523INTERPRETINGBETAHIGHERSTOCKBETASSHOULDRESULTINHIGHEREXPECTEDRETURNSDUETOGREATERRISKIFTHEMARKETISEXPECTEDTOINCREASE10ASTOCKWITHABETAOF150ISEXPECTEDTOINCREASE15IFTHEMARKETWENTDOWN8THENASTOCKWITHABETAOF050SHOULDONLYDECREASEBYABOUT4BETAVALUESFORSPECIFICSTOCKSCANBEOBTAINEDFROMVALUELINEREPORTSORONLINEWEBSITESSUCHASYAHOOCOMCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED524INTERPRETINGBETASTOCKBETASTOCKBETAAMAZONCOM160INTLBUSINESSMACHINES110ANHEUSERBUSCH060MERRILLLYNCHCO160BANKOFAMERICACORP125MICROSOFT115DOWJONESCO100NIKEINC090DISNEY125PEPSICOINC065EBAY155QUALCOMM120EXXONMOBILCORP080SEMPRAENERGY085GAPTHEINC135WALMARTSTORES100GENERALMOTORSCORP120XEROX145INTEL135YAHOOINC185COPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED525CAPITALASSETPRICINGMODELCAPMMODELTHATLINKSTHENOTIONSOFRISKANDRETURNHELPSINVESTORSDEFINETHEREQUIREDRETURNONANINVESTMENTASBETAINCREASESTHEREQUIREDRETURNFORAGIVENINVESTMENTINCREASESCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED526CAPITALASSETPRICINGMODELCAPMCONTDUSESBETATHERISKFREERATEANDTHEMARKETRETURNTODEFINETHEREQUIREDRETURNONANINVESTMENTREQUIREDRETURNONINVESTMENTJRISKFREERATEBETAFORINVESTMENTJMARKETRETURNRISKFREERATECOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED527CAPITALASSETPRICINGMODELCAPMCONTDCAPMCANALSOBESHOWNASAGRAPHSECURITYMARKETLINESMLISTHE“PICTURE”OFTHECAPMFINDTHESMLBYCALCULATINGTHEREQUIREDRETURNFORANUMBEROFBETASTHENPLOTTINGTHEMONAGRAPHCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED528FIGURE55THESECURITYMARKETLINESMLCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED529TWOAPPROACHESTOCONSTRUCTINGPORTFOLIOSTRADITIONALAPPROACHVERSUSMODERNPORTFOLIOTHEORYCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED530TRADITIONALAPPROACHEMPHASIZES“BALANCING”THEPORTFOLIOUSINGAWIDEVARIETYOFSTOCKSAND/ORBONDSUSESABROADRANGEOFINDUSTRIESTODIVERSIFYTHEPORTFOLIOTENDSTOFOCUSONWELLKNOWNCOMPANIESPERCEIVEDASLESSRISKYSTOCKSAREMOREMORELIQUIDANDAVAILABLEFAMILIARITYPROVIDESHIGHER“COMFORT”LEVELSFORINVESTORSCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED531MODERNPORTFOLIOTHEORYMPTEMPHASIZESSTATISTICALMEASURESTODEVELOPAPORTFOLIOPLANFOCUSISONEXPECTEDRETURNSSTANDARDDEVIATIONOFRETURNSCORRELATIONBETWEENRETURNSCOMBINESSECURITIESTHATHAVENEGATIVEORLOWPOSITIVECORRELATIONSBETWEENEACHOTHERSRATESOFRETURNCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED532KEYASPECTSOFMPTEFFICIENTFRONTIEREFFICIENTFRONTIERTHELEFTMOSTBOUNDARYOFTHEFEASIBLESETOFPORTFOLIOSTHATINCLUDEALLEFFICIENTPORTFOLIOSTHOSEPROVIDINGTHEBESTATTAINABLETRADEOFFBETWEENRISKANDRETURNPORTFOLIOSTHATFALLTOTHERIGHTOFTHEEFFICIENTFRONTIERARENOTDESIRABLEBECAUSETHEIRRISKRETURNTRADEOFFSAREINFERIORPORTFOLIOSTHATFALLTOTHELEFTOFTHEEFFICIENTFRONTIERARENOTAVAILABLEFORINVESTMENTSCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED533FIGURE57THEFEASIBLEORATTAINABLESETANDTHEEFFICIENTFRONTIERCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED534KEYASPECTSOFMPTPORTFOLIOBETASPORTFOLIOBETATHEBETAOFAPORTFOLIOCALCULATEDASTHEWEIGHTEDAVERAGEOFTHEBETASOFTHEINDIVIDUALASSETSTHEPORTFOLIOINCLUDESTOEARNMORERETURNONEMUSTBEARMORERISKONLYNONDIVERSIFIABLERISKRELEVANTRISKPROVIDESAPOSITIVERISKRETURNRELATIONSHIPCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED535KEYASPECTSOFMPTPORTFOLIOBETASCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED536FIGURE58PORTFOLIORISKANDDIVERSIFICATIONCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED537INTERPRETINGPORTFOLIOBETASPORTFOLIOBETASAREINTERPRETEDEXACTLYSAMEWAYASINDIVIDUALSTOCKBETASPORTFOLIOBETAOF100WILLEXPERIENCEA10INCREASEWHENTHEMARKETINCREASEIS10PORTFOLIOBETAOF075WILLEXPERIENCEA75INCREASEWHENTHEMARKETINCREASEIS10PORTFOLIOBETAOF125WILLEXPERIENCEA125INCREASEWHENTHEMARKETINCREASEIS10LOWBETAPORTFOLIOSARELESSRESPONSIVEANDLESSRISKYTHANHIGHBETAPORTFOLIOSAPORTFOLIOCONTAININGLOWBETAASSETSWILLHAVEALOWBETAANDVICEVERSACOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED538INTERPRETINGPORTFOLIOBETASCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED539RECONCILINGTHETRADITIONALAPPROACHANDMPTRECOMMENDEDPORTFOLIOMANAGEMENTPOLICYUSESASPECTSOFBOTHAPPROACHESDETERMINEHOWMUCHRISKYOUAREWILLINGTOBEARSEEKDIVERSIFICATIONBETWEENDIFFERENTTYPESOFSECURITIESANDINDUSTRYLINESPAYATTENTIONTOCORRELATIONOFRETURNBETWEENSECURITIESUSEBETATOKEEPPORTFOLIOATACCEPTABLELEVELOFRISKEVALUATEALTERNATIVEPORTFOLIOSTOSELECTHIGHESTRETURNFORTHEGIVENLEVELOFACCEPTABLERISKCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED540FIGURE59THEPORTFOLIORISKRETURNTRADEOFFCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED541CONSTRUCTINGAPORTFOLIOUSINGASSETALLOCATIONASSETALLOCATIONISTHEPROCESSOFDIVIDINGANINVESTMENTPORTFOLIOINTOVARIOUSASSETCLASSESTOPRESERVECAPITALBYPROTECTINGAGAINSTNEGATIVEDEVELOPMENTSWHILETAKINGADVANTAGEOFPOSITIVEONESINOTHERWORDSDONTPUTALLOFYOUREGGSINONEBASKETANDCHOOSEYOURBASKETSCAREFULLYCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED542CONSTRUCTINGAPORTFOLIOUSINGASSETALLOCATIONCONTDINDIVIDUALINVESTORCHARACTERISTICSANDOBJECTIVESDETERMINERELATIVEINCOMENEEDSANDABILITYTOBEARRISKINVESTORCHARACTERISTICSTOCONSIDERLEVELANDSTABILITYOFINCOMENETWORTHAGEANDFAMILYFACTORSINVESTMENTEXPERIENCEANDABILITYTOHANDLERISKTAXCONSIDERATIONSINVESTOROBJECTIVESTOCONSIDERHIGHLEVELOFCURRENTINCOMESIGNIFICANTCAPITALAPPRECIATIONCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED543PORTFOLIOOBJECTIVESANDPOLICIESCAPITALPRESERVATIONOBJECTIVELOWRISKCONSERVATIVEINVESTMENTSTRATEGYEMPHASISONCURRENTINCOMEANDCAPITALPRESERVATIONNORMALLYCONTAINSLOWBETASECURITIESCAPITALGROWTHOBJECTIVEHIGHERRISKINVESTMENTSTRATEGYEMPHASISONMORESPECULATIVEINVESTMENTSNORMALLYCONTAINSHIGHERBETASECURITIESTAXEFFICIENTOBJECTIVEEMPHASISONCAPITALGAINSANDLONGERHOLDINGPERIODSTODEFERINCOMETAXESCOPYRIGHT2005PEARSONADDISONWESLEYALLRIGHTSRESERVED544APPROACHESTOASSETALLOCATIONFIXEDWEIGHTINGSAPPROACHASSETALLOCATIONPLANINWHICHAFIXEDPERCENTAGEOFTHEPORTFOLIOISALLOCATEDTOEACHASSETCATEGORYFLEXIBLEWEIGHTINGSAPPROACHASSETALLOCATIONPLANINWHICHWEIGHTSFOREACHASSETCATEGORYAREADJUSTEDPERIODICALLYBASEDONMARKETANAL
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