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Chapter17,EQUITY-PORTFOLIOMANAGEMENT,Chapter17Questions,Whatarethetwogenericequityportfoliomanagementstyles?Whatarethreetechniquesforconstructingapassiveindexportfolio?Whatthreegenericstrategiescanactiveequity-portfoliomanagersuse?Howdoesthegoalofapassiveequity-portfoliomanagerdifferfromthegoalofanactivemanager?,Chapter17Questions,Whatinvestmentstylesmayportfoliomanagersfollow?Inwhatwayscaninvestorsuseinformationaboutaportfoliomanagersstyle?Whatskillsshouldagoodvalueportfoliomanagerpossess?Agoodgrowthportfoliomanager?,Chapter17Questions,Howcanfuturesandoptionsbeusefulinmanaginganequityportfolio?Whatstrategiescanbeusedtomanageataxableinvestorsportfolioinatax-efficientway?Whatarefourassetallocationstrategies?,GenericPortfolioManagementStrategies,PassiveequityportfoliomanagementLong-termbuy-and-holdstrategyUsuallytrackanindexovertimeDesignedtomatchmarketperformanceManagerisjudgedonhowwelltheytrackthetargetindexActiveequityportfoliomanagementAttemptstooutperformapassivebenchmarkportfolioonarisk-adjustedbasis,PassiveEquityPortfolioManagementStrategies,AttempttoreplicatetheperformanceofanindexMayslightlyunderperformthetargetindexduetofeesandcommissionsStrongrationaleforthisapproachCostsofactivemanagement(1to2percent)arehardtoovercomeinrisk-adjustedperformanceManydifferentmarketindexesareusedfortrackingportfolios,PassiveEquityPortfolioManagementStrategies,NotasimpleprocesstotrackamarketindexcloselyThreebasictechniques:FullreplicationSamplingQuadraticoptimizationorprogramming,PassiveEquityPortfolioManagementStrategies,FullReplicationAllsecuritiesintheindexarepurchasedinproportiontoweightsintheindexThishelpsensureclosetrackingIncreasestransactioncosts,particularlywithdividendreinvestment,PassiveEquityPortfolioManagementStrategies,SamplingBuysrepresentativesampleofstocksinthebenchmarkindexaccordingtotheirweightsintheindexFewerstocksmeanslowercommissionsReinvestmentofdividendsislessdifficultWillnottracktheindexasclosely,sotherewillbesome“trackingerror”Trackingerrorwilldiminishasthenumberofstocksgrows,butcostswillgrow(tradeoff),PassiveEquityPortfolioManagementStrategies,QuadraticOptimizationHistoricalinformationonpricechangesandcorrelationsbetweensecuritiesareinputintoacomputerprogramthatdeterminesthecompositionofaportfoliothatwillminimizetrackingerrorwiththebenchmarkThisreliesonhistoricalcorrelations,whichmaychangeovertime,leadingtofailuretotracktheindex,PassiveEquityPortfolioManagementStrategies,CompletenessFundsPassiveportfoliocustomizedtocomplementactiveportfolioswhichdonotcovertheentiremarketPerformancecomparedtoaspecializedbenchmarkthatincorporatesthecharacteristicsofstocksnotcoveredbytheactivemanagers,PassiveEquityPortfolioManagementStrategies,Dollar-costaveragingPurchasingfixeddollarinvestmentsperperiodovertimePreventsbuyingtoomanysharesathighpricesandtoofewshareswhenpricesarelowOftenpartofapassivelymanagedportfoliostrategy,ActiveEquityPortfolioManagementStrategies,Goalistoearnaportfolioreturnthatexceedsthereturnofapassivebenchmarkportfolio,netoftransactioncosts,onarisk-adjustedbasisNeedtoselectanappropriatebenchmarkPracticaldifficultiesofactivemanagerTransactionscostsmustbeoffsetbysuperiorperformancevis-visthebenchmarkHigherrisk-takingcanalsoincreaseneededperformancetobeatthebenchmark,ActiveEquityPortfolioManagementStrategies,ThreeStrategiesMarkettiming-shiftingfundsintoandoutofstocks,bonds,andT-billsdependingonbroadmarketforecastsandestimatedriskpremiumsShiftingfundsamongdifferentequitysectorsandindustriesoramonginvestmentstylestocatchhotconceptsbeforethemarketdoesStockpicking-individualissues,attempttobuylowandsellhigh,ActiveEquityPortfolioManagementStrategies,GlobalInvesting:ThreeStrategiesIdentifycountrieswithmarketsundervaluedorovervaluedandweighttheportfolioaccordinglyManagetheglobalportfoliofromanindustryperspectiveratherthanfromacountryperspectiveFocusonglobaleconomictrends,industrycompetitiveforces,andcompanystrengthsandstrategies,ActiveEquityPortfolioManagementStrategies,SectorRotationPositionaportfoliototakeadvantageofthemarketsnextmoveScreeningcanbebasedonvariousstockcharacteristics:ValueGrowthP/ECapitalizationKeyistodeterminewhatto“rotateinto”,ActiveEquityPortfolioManagementStrategies,StyleInvestingConstructaportfoliotocaptureoneormoreofthecharacteristicsofequitysecuritiesSmall-capstocks,low-P/Estocks,etcValuestocks(thosethatappeartobeunder-pricedaccordingtovariousmeasures)LowPrice/BookvalueorPrice/EarningsratiosGrowthstocks(above-averageearningspershareincreases)HighP/E,possiblyapricemomentumstrategy,ActiveEquityPortfolioManagementStrategies,DoesStyleMatter?ChoicetoalignwithinvestmentstylecommunicatesinformationtoclientsDeterminingstyleisusefulinmeasuringperformancerelativetoabenchmarkStyleidentificationallowsaninvestortofullydiversifyaportfolioStyleinvestingallowscontrolofthetotalportfoliotobesharedbetweentheinvestmentmanagersandasponsor,ActiveEquityPortfolioManagementStrategies,ValueversusGrowthGrowthinvestingfocusesonearningsandchangesincompanyfundamentalsValueinvestingfocusesonthepricingofstocksOvertimevaluestockshaveofferedsomewhathigherreturnsthangrowthstocks,ActiveEquityPortfolioManagementStrategies,ExpectationalAnalysisandValue/GrowthInvestingAnalystsrecommendingstockstoaportfoliomanagerneedtoidentifyandmonitorkeyassumptionsandvariablesValueinvestorsfocusononekeysetofassumptionsandvariableswhilegrowthinvestorsfocusonanotherSuchananalysiscanhelpdeterminetimingstrategyforbuying/selling,DerivativesinEquity-PortfolioManagement,TheriskofequityportfolioscanbemodifiedbyusingfuturesandoptionsderivativesSellingfuturesreducestheriskoftheinvestorsnet(portfoliowithfutures)positiontochangesinportfoliovaluesAlsooffsetspositiveportfoliovaluechangesThechoiceelementofoptionsmeansthattheydonothaveexactoffsettingeffectsPositiveportfoliopriceeffectsremainlargelyintact,butthecostofinsuringagainstnegativemovesincreasesbytheoptionpremium,DerivativesinEquity-PortfolioManagement,DerivativescanbeusedtooffsetexpectedadversechangesinanequityportfolioAnybadportfoliomovementsaremirroredbygainsinderivativeinvestments,DerivativesinEquity-PortfolioManagement,TheUseofFuturesinAssetAllocationAllowschangingtheportfolioallocationquicklytoadjusttoforecastsatlowertransactioncoststhanstandardtradingFuturescanhelpmaintainanoverallbalance(desiredassetallocation)inaportfolioFuturescanbeusedtogainexposuretointernationalmarketsCurrencyexposurecanbemanagedusingcurrencyfuturesandoptions,DerivativesinEquity-PortfolioManagement,FuturesandoptionscanhelpcontrolcashinflowsandoutflowsfromtheportfolioInflowspurchaseindexfuturesoroptionswheninflowsarrivebeforeindividualsecurityinvestmentscanbemadeefficientlyOutflowsellpreviouslypurchasedfuturescontractsratherthanindividualsecuritiestomeetalargeexpectedcashoutflow;lessdisruptivetoportfoliomanagement,DerivativesinEquity-PortfolioManagement,TheSwhatshouldbedone?,TaxablePortfolios,DiversifyingaConcentratedPortfolioConcentratedPortfolioStrategiesBorrowandinvesttheproceedsinadiversifiedportfolioInsteadofdiversifyingtheportfolio,reduceitscompany-specificriskexposurethroughacollarstrategyacombinationofoptionpurchasesVariablePrepaidForwards(VPFs),wheretheinvestorreceivesproceedsinadvanceofcontractualsalesofsharesinthefutureCompletionfunds,wheresharesaresoldandtheportfolioisdiversifiedthrougha“completionfund”Charitablestrategies,contributionandlimitedtaxforthecharity,AssetAllocationStrategies,Manyportfolioscontainingequitiesalsocontainotherassetcategories,sotheman
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