金融投資作業(yè)答案

Week6Solutions

EQUITYPORTFOLIOMANAGEMENTSTRATEGIES

AnswerstoQuestions

Numerousstudieshaveshownthatthemajorityofportfoliomanagershavebeenunable

tomatchtherisk-returnperformanceofstockorbondindexes.Followinganindexing

portfoliostrategy,theportfoliomanagerbuildsaportfoliothatmatchestheperformance

ofanindex,therebyreducingthecostsofresearchandtrading.Theportfoliomanager’s

evaluationisbaseduponhowcloselytheportfoliotrackstheindexor―trackingerror,‖

ratherthanarisk-returnperformanceevaluation.

2.

Anotherpassiveportfoliostrategy,buy-and-hold,hastheinvestorpurchasesecuritiesand

thennottradethem—i.e.,holdthem—foraperiodoftime.Itdiffersfromanindexing

strategyinthatindexingdoesrequiresomelimitedtrading,suchaswhenthecomposition

oftheindexchangesasfirmsmergeorareaddedanddeletedfromtheindex.

3.

Thereareanumberofactivemanagementstrategiesdiscussedinthebook.

Forexample,followingasectorrotationstrategy,themanagerover-weightscertain

economicsectors,industriesorotherstockattributesinanticipationofanupcoming

economicperiodortherecognitionthatthesharesareundervalued.

Activemanagementtechniqueincorporatesfundamentalanalysis,technicalanalysis,or

theuseoftheanomaliesandattributes(Exhibit16.6).Forexample,anomaliesand

attributescanbeusedasquantitativescreens(e..g,seeksmallstockswithlowP/Eratios)

toidentifypotentialportfoliocandidates.

9.

Apricemomentumstrategyisbasedontheassumptionthatastock’srecentprice

behaviorwillcontinuetohold.Thusaninvestorwouldbuyastockwhosepricehasrecently

beenrising,andsell(orshort)astockwhosepricehasbeenfalling.

Anearningsmomentumstrategyrestsontheideathatafirm’sstockpricewillultimatelyfollow

itsearnings.Themeasurementofearningsmomentumisusuallybasedonacomparisonto

expectedearnings.Thusaninvestorwouldbuyastockthathasacceleratingearningsrelativeto

expectationsandsell(orshort)astockwhoseearningsfallbelowexpectations.

Thesetwoapproachesmayproductsimilarportfoliosifcompany’sP/Eratiosremainstableas

theirearnings(orprice)exhibitmomentumcharacteristics.

16-1

AnswerstoProblems

3(a).

Portfolioturnoveristhedollarvalueofsecuritiessoldinayeardividedbytheaverage

valueoftheassets:

FundW:37.2/289.4=.1285or12.85%

FundX:569.3/653.7=0.8709or87.09%

FundY:1,453.8/1,298.4=1.1197or111.97%

FundZ:437.1/5,567.3=0.0785or7.85%

(b)

(c)

Passivelymanagedfundswillhavelowportfolioturnoverratiosandshouldhavelow

expensesratios.Onthisbasis,FundsWandZarethemostlikelypassivelymanaged

portfolios;XandYaremostlikelytobeactivelymanaged.

Thetaxcostratioiscomputeas[1-(1+TAR)/(1+PTR)]x100whereTARrepresents

tax-adjustedreturnandPTRisthepre-taxreturn.Ourcalculationsareasfollows:

FundW:[1-(1+0.0943)/(1+0.0998)]x100=0.50%

FundX:[1-(1+0.0887)/(1+0.1065)]x100=1.61%

FundY:[1-(1+0.0934)/(1+0.1012)]x100=0.71%

FundZ:[1-(1+0.0954)/(1+0.0983)]x100=0.26%

(d)

Thetaxcostratiorepresentsthepercentageofaninvestor’sassetsthatarelosttotaxes

onayearlybasisduetothetradingstrategyemployedbythefundmanager.FundsZ

andWarethemosttax-efficient(leastassetslosttotaxes)andFundsXandYwere

theleasttax-efficient.

6(a).EU=ER–(/RT)

2

p

pk

p

k

Portfolios

Ms.A

Mr.B

1

2

3

4

8-(5/8)=7.38

9-(10/8)=7.75

10-(16/8)=8.00

11-(25/8)=7.88

8–(5/27)=7.81

9–(10/27)=8.63

10–(16/27)=9.41

11–(25/27)=10.07

6(b).Theoptimalportfolioistheonewiththehighestexpectedutility.Thus,portfolio3

representstheoptimalstrategicallocationforMs.A,whilePortfolio4istheoptimal

allocationforMr.B.SinceMr.Bhasahigherrisktolerance,heisabletopursuemore

volatileportfolioswithhigherexpectedreturns.

6(c).ForMs.A:

Portfolio1=Portfolio2

8–(5/RT)=9–(10/RT)

RT=5

Inotherwords,arisktolerancefactorof5wouldleaveMs.Aindifferentbetweenhaving

Portfolio1orPortfolio2asherstrategicallocation.

16-2

8

a)ThetablebelowshowsthatManagerA’saveragereturnislessthantheindexwhile

ManagerB’saverageexceededthatoftheindex.

b)ThetablebelowshowsthedifferencebetweenManagerA’sperformanceandthe

index,aswellasthedifferencebetweenManagerB’sperformanceandtheindex.

ManagerAtrackedtheindexbetterthanmanagerBbasedonthelowertrackingerror

(2.11%versus3.00%).Providedbothportfolioshavethesamebeta,thelowertracking

errorindicatesthatManagerAdidthebetterjoboflimitingtheclient’sexposureto

unsystematicrisk.However,trackingerrordoesnotalwaysequaltounsystematicrisk.

Weneedtoconsidertheportfoliobetaaswelltoanalyseunsystematicrisk.

Period

Manager

A

Manager

B

Index

12.80%

13.90%

1.00%

2.10%

-2.10%

15.60