投资分析与投资组合管理ppt课件 (2).ppt

LecturePresentationSoftwaretoaccompanyInvestmentAnalysisandPortfolioManagementSeventhEditionbyFrankK Reilly KeithC Brown Chapter26 1 Chapter26 EvaluationofPortfolioPerformance Questionstobeanswered Whatmajorrequirementsdoclientsexpectfromtheirportfoliomanagers Whatcanaportfoliomanagerdotoattainsuperiorperformance Whatisthepeergroupcomparisonmethodofevaluatinganinvestor sperformance 2 Chapter26 EvaluationofPortfolioPerformance WhatistheTreynorportfolioperformancemeasure WhatistheSharpeportfolioperformancemeasure WhatisthecriticaldifferencebetweentheTreynorandSharpeportfolioperformancemeasures 3 Chapter26 EvaluationofPortfolioPerformance WhatistheJensenportfolioperformancemeasure andhowdoesitrelatetotheTreynormeasure Whatistheinformationratioandhowisitrelatedtotheotherperformancemeasures Whenevaluatingasampleofportfolios howdoyoudeterminehowwelldiversifiedtheyare 4 Chapter26 EvaluationofPortfolioPerformance Whatisthebiasfoundregardingthecompositeperformancemeasures WhatistheFamaportfolioperformancemeasureandwhatinformationdoesitprovidebeyondothermeasures Whatisattributionanalysisandhowcanitbeusedtodistinguishbetweenaportfoliomanager smarkettimingandsecurityselectionskills 5 Chapter26 EvaluationofPortfolioPerformance WhatistheRoll benchmarkerror problem andwhatarethetwofactorsthatareaffectedwhencomputingportfolioperformancemeasures Whatistheimpactofglobalinvestingonthebenchmarkerrorproblem Whatarecustomizedbenchmarks Whataretheimportantcharacteristicsthatanybenchmarkshouldpossess 6 Chapter26 EvaluationofPortfolioPerformance Howdobondportfolioperformancemeasuresdifferfromequityportfolioperformancemeasures IntheWagnerandTitobondportfolioperformancemeasure whatisthemeasureofriskused WhatarethecomponentsoftheDietz Fogler andHardybondportfolioperformancemeasure 7 Chapter26 EvaluationofPortfolioPerformance WhatarethesourcesofreturnintheFong Pearson andVasicekbondportfolioperformancemeasure Whatarethetime weightedanddollar weightedreturnsandwhichshouldbereportedunderAIMR sPerformancePresentationStandards 8 WhatisRequiredofaPortfolioManager 1 Theabilitytoderiveabove averagereturnsforagivenriskclassSuperiorrisk adjustedreturnscanbederivedfromeithersuperiortimingorsuperiorsecurityselection2 Theabilitytodiversifytheportfoliocompletelytoeliminateunsystematicrisk relativetotheportfolio sbenchmark 9 CompositePortfolioPerformanceMeasures Portfolioevaluationbefore1960rateofreturnwithinriskclassesPeergroupcomparisonsnoexplicitadjustmentforriskdifficulttoformcomparablepeergroupTreynorportfolioperformancemeasuremarketriskindividualsecurityriskintroducedcharacteristicline 10 TreynorPortfolioPerformanceMeasure TreynorrecognizedtwocomponentsofriskRiskfromgeneralmarketfluctuationsRiskfromuniquefluctuationsinthesecuritiesintheportfolioHismeasureofrisk adjustedperformancefocusesontheportfolio sundiversifiablerisk marketorsystematicrisk 11 TreynorPortfolioPerformanceMeasure ThenumeratoristheriskpremiumThedenominatorisameasureofriskTheexpressionistheriskpremiumreturnperunitofriskRiskaverseinvestorsprefertomaximizethisvalueThisassumesacompletelydiversifiedportfolioleavingsystematicriskastherelevantrisk 12 TreynorPortfolioPerformanceMeasure Comparingaportfolio sTvaluetoasimilarmeasureforthemarketportfolioindicateswhethertheportfoliowouldplotabovetheSMLCalculatetheTvaluefortheaggregatemarketasfollows 13 TreynorPortfolioPerformanceMeasure ComparisontoseewhetheractualreturnofportfolioGwasaboveorbelowexpectationscanbemadeusing 14 SharpePortfolioPerformanceMeasure Riskpremiumearnedperunitofrisk 15 TreynorversusSharpeMeasure SharpeusesstandarddeviationofreturnsasthemeasureofriskTreynormeasureusesbeta systematicrisk SharpethereforeevaluatestheportfoliomanageronthebasisofbothrateofreturnperformanceanddiversificationThemethodsagreeonrankingsofcompletelydiversifiedportfoliosProducerelativenotabsoluterankingsofperformance 16 JensenPortfolioPerformanceMeasure AlsobasedonCAPMExpectedreturnonanysecurityorportfoliois 17 JensenPortfolioPerformanceMeasure AlsobasedonCAPMExpectedreturnonanysecurityorportfolioisWhere E Rj theexpectedreturnonsecurityRFR theone periodrisk freeinterestrate j thesystematicriskforsecurityorportfoliojE Rm theexpectedreturnonthemarketportfolioofriskyassets 18 TheInformationRatioPerformanceMeasure Appraisalratiomeasuresaveragereturninexcessofbenchmarkportfoliodividedbythestandarddeviationofthisexcessreturn 19 ApplicationofPortfolioPerformanceMeasures 20 PotentialBiasofOne ParameterMeasures positiverelationshipbetweenthecompositeperformancemeasuresandtheriskinvolvedalphacanbebiaseddownwardforthoseportfoliosdesignedtolimitdownsiderisk 21 ComponentsofInvestmentPerformance Famasuggestedoverallperformance whichisitsreturninexcessoftherisk freeratePortfolioRisk SelectivityFurther ifthereisadifferencebetweentherisklevelspecifiedbytheinvestorandtheactualriskleveladoptedbytheportfoliomanager thiscanbefurtherrefinedInvestor sRisk Manager sRisk Selectivity 22 ComponentsofInvestmentPerformance Theselectivitymeasureisusedtoassessthemanager sinvestmentprowessTherelationshipbetweenexpectedreturnandriskfortheportfoliois 23 ComponentsofInvestmentPerformance Themarketlinethenbecomesabenchmarkforthemanager sperformance 24 ComponentsofInvestmentPerformance Theselectivitycomponentcanbebrokenintotwopartsgrossselectivityismadeupofnetselectivityplusdiversification 25 ComponentsofInvestmentPerformance AssumingtheinvestorhasatargetlevelofriskfortheportfolioequaltobT theportionofoverallperformanceduetoriskcanbeassessedasfollows 26 RelationshipAmongPerformanceMeasures TreynorSharpeJensenInformationRatioFamanetselectivitymeasuresHighlycorrelated butnotperfectlyso 27 PerformanceAttributionAnalysis AllocationeffectSelectioneffect 28 MeasuringMarketTimingSkills Tacticalassetallocation TAA AttributionanalysisisinappropriateindexesmakeselectioneffectnotrelevantmultiplechangestoassetclassweightingsduringaninvestmentperiodRegression basedmeasurement 29 MeasuringMarketTimingSkills 30 FactorsThatAffectUseofPerformanceMeasures MarketportfoliodifficulttoapproximateBenchmarkerrorcaneffectslopeofSMLcaneffectcalculationofBetagreaterconcernwithglobalinvestingproblemisoneofmeasurementSharpemeasurenotasdependentonmarketportfolio 31 BenchmarkPortfolios PerformanceevaluationstandardUsuallyapassiveindexorportfolioMayneedbenchmarkforentireportfolioandseparatebenchmarksforsegmentstoevaluateindividualmanagers 32 CharacteristicsofBenchmarks UnambiguousInvestableMeasurableAppropriateReflectiveofcurrentinvestmentopinionsSpecifiedinadvance 33 BuildingaBenchmark SpecializeasappropriateProvidevalueweightingsProvideconstraintstoportfoliomanager 34 EvaluationofBondPortfolioPerformance Howdidperformancecompareamongportfoliomanagersrelativetotheoverallbondmarketorspecificbenchmarks Whatfactorsexplainorcontributetosuperiororinferiorbond portfolioperformance 35 ABondMarketLine NeedameasureofrisksuchasbetacoefficientforequitiesDifficulttoachieveduetobondmaturityandcouponeffectonvolatilityofpricesCompositeriskmeasureisthebond sdurationDurationreplacesbetaasriskmeasureinabondmarketline 36 BondMarketLineEvaluation PolicyeffectDifferenceinexpectedreturnduetoportfoliodurationtargetInterestrateanticipationeffectDifferentiatedreturnsfromchangingdurationoftheportfolioAnalysiseffectAcquiringtemporarilymispricedbondsTradingeffectShort runchanges 37 DecomposingPortfolioReturns Intomaturity sector andqualityeffectsTotalreturnduringaperiodistheincomeeffectandapricechangeeffectTheyield to maturity income effectisthereturnaninvestorwouldreceiveifnothinghadhappenedtotheyieldcurveduringtheperiodInterestrateeffectmeasureschangesinthetermstructureofinterestratesduringtheperiod 38 DecomposingPortfolioReturns Thesector qualityeffectmeasuresexpectedimpactonreturnsbecauseofchangingyieldspreadsbetweenbondsindifferentsectorsandratingsTheresidualeffectiswhatisleftafteraccountingforthefirstthreefactorsAlargepositiveresidualwouldindicatesuperiorselectioncapabilitiesTime seriesplotdemonstratesstrengthsandweaknessesofportfoliomanager 39 AnalyzingSourcesofReturn Totalreturn R madeupoftheeffectoftheinterestrateenvironment I andthecontributionofthemanagementprocess C R I CIistheexpectedrateofreturn E onaportfolioofdefault freesecuritiesandtheunexpectedreturn U ontheTreasuryIndexI E U 40 AnalyzingSourcesofReturn CiscomposedofM returnfrommaturitymanagementS returnfromspread qualitymanagementB returnattributabletotheselectionofspecificsecuritiesR I C E U M S B 41 ConsistencyofPerformance AstudybyKritzmanrevealednorelationshipbetweenperformanceinthetwoperiodsexaminedinthestudyAfurthertestalsorevealednorelationshipbetweenpastandfutureperformanceevenamongthebestandworstperformersBasedontheseresults Kritzmanconcludedthatitwouldbenecessarytoexaminesomethingbesidespastperformancetodeterminesuperiorbondportfoliomanagers 42 ComputingPortfolioReturns Toevaluateportfolioperformance wehavetomeasureitFromChapter1welearnedhowtocalculateaholdingperiodyield whichequalsthechangeinportfoliovalueplusincomedividedbybeginningportfoli