博迪投资学第九版ppt下载

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这是博迪投资学第九版ppt，包括了The optimization uses analysts’ forecasts of superior performance，The model is adjusted for tracking error and for analyst forecast error等内容，欢迎点击下载。

博迪投资学第九版ppt是由红软PPT免费下载网推荐的一款课件PPT类型的PowerPoint.

CHAPTER 27ivD红软基地

The Theory of Active Portfolio Management

Overview

Treynor-Black model

The optimization uses analysts’ forecasts of superior performance.

The model is adjusted for tracking error and for analyst forecast error.

Black-Litterman model

Table 27.1 Construction and Properties of the Optimal Risky Portfolio

Spreadsheet 27.1 Active Portfolio Management

Spreadsheet 27.1

An active portfolio of six stocks is added to the passive market index portfolio.

Table D shows:

Performance increases are very modest.

M-square increases by only 19 basis points.

Table 27.2 Stock Prices and Analysts’ Target Prices for June 1， 2006

Figure 27.1 Rates of Return on the S&P 500 (GSPC) and the Six Stocks

Table 27.3 The Optimal Risky Portfolio

Results

The Sharpe ratio increases to 2.32， a huge risk-adjusted return advantage.

M-square increases to 25.53%.

Results

Problems:

The optimal portfolio calls for extreme long/short positions that may not be feasible for a real-world portfolio manager.

The portfolio is too risky and most of the risk is nonsystematic risk.

A solution: Restrict extreme positions.

This results in a lack of diversification.

Table 27.4 The Optimal Risky Portfolio with Constraint on the Active Portfolio (wA ≤1)

Figure 27.2 Reduced Efficiency when Benchmark is Lowered

Table 27.5 The Optimal Risky Portfolio with the Analysts’ New Forecasts

Adjusting Forecasts for the Precision of Alpha

How accurate is your forecast?

Regress forecast alphas on actual， realized alphas to adjust alpha for the accuracy of the analysts’ previous forecasts.

Figure 27.4 Organizational Chart for Portfolio Management

The Black-Litterman Model

The Black-Litterman model allows portfolio managers to incorporate complex forecasts (called “views”) into the portfolio construction process.

Historical returns， even over long periods， have very limited power to infer expected returns for the next month.

The business cycle and other macroeconomic variables may be better forecasters of expected returns.

Historical variance is a good predictor of expected future variance.

Steps in the Black-Litterman Model

Estimate the covariance matrix from recent historical data.

Determine a baseline forecast.

Integrate the manager’s private views.

Develop revised (posterior) expectations.

Apply portfolio optimization.

Figure 27.5 Sensitivity of Black-Litterman Portfolio Performance to Confidence Level

Figure 27.6 Sensitivity of Black-Litterman Portfolio Performance to Confidence Level

BL Conclusions

The Black-Litterman (BL) model and the Black-Treynor (TB) model are complements.

The models are identical with respect to the optimization process and will chose identical portfolios given identical inputs.

The BL model is a generalization of the TB model that allows you to have views about relative performance that cannot be used in the TB model.

BL vs. TB

Black-Litterman Model

Optimal portfolio weights and performance are highly sensitive to the degree of confidence in the views.

The validity of the BL model rests largely upon the way in which the confidence about views is developed.

Treynor-Black Model

TB model is not applied in the field because it results in “wild” portfolio weights.

The extreme weights are a consequence of failing to adjust alpha values to reflect forecast precision.

BL vs. TB

Black-Litterman Model

Use the BL model for asset allocation.

Views about relative performance are useful even when the degree of confidence is inaccurately estimated.

Treynor-Black Model

Use the TB model for the management of security analysis with proper adjustment of alpha forecasts.

Value of Active Management

Kane， Marcus， and Trippi show that active management fees depend on:

the coefficient of risk aversion，

the distribution of the squared information ratio in the universe of securities，

the precision of the security analysts.

Table 27.6 M-Square for the Portfolio， Actual Forecasts

Table 27.7 M-Square of Simulated Portfolios

Concluding Remarks

The gap between theory and practice has been narrowing in recent years.

The CFA Institute has worked to transfer investment theory to the asset management industry.

The TB and LB models are not yet widely used in industry， perhaps because of the issues in adjusting for analysts’ forecast errors.

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博迪投资学第九版ppt下载

博迪投资学第九版ppt

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