Chapter 16 - Bodie & Kane - Equity Portfolio Management Strategies

8/11/2019 Chapter 16 - Bodie & Kane - Equity Portfolio Management Strategies

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Investment Analys is andPort fo l io Management

Eighth Edition

byFrank K. Reilly & Keith C. Brown


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Chapter 16 - Chin lc quntr danh mc u t c phiu

Mc tiu t ra l hiu c:- 2 nhm phong cch qun tr danh mc c phiu

- 3 cch thit lp mt danh mc ch s th ng- S khc nhau gia mc tiu ca mt nh qun

l DM th ng v NQLDM ch ng- Li bm st (tracking error) ca danh mc, v

vai tr ca ch s ny trong vic xy dng DM cphiu th ng


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c im no ca c phiu gip phn bitphong cch u t theo gi tr v phongcch u t tng trng?

Phn tch phong cch u t (styleanalysis) l g v bn phn tch ni lnln iu g v hiu qu u t ca mtnh qun l danh mc?


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Nh QLDM ch ng s dng k thut gnhm vt qua danh mc chun?

S khc nhau gia cc cch phn b tisn khc nhau: hn hp, chin lc,chin thut v m bo (integrated,strategic, tactical, and insured)?


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1. Th no l qun l danh mc u t???

L xy dng mt danh mc chng khon, ti sn ut p ng tt nht nhu cu ca ch u t v sau thc hin vic iu chnh danh mc ny nhm t

c mc tiu ra.

Yu t quan trng u tin ca ch u t m hquan tm l mc ri ro m h chp nhn.

Bn cht ca qun l danh mc u t chng khon lnh lng mi quan h gia ri ro v mc li tc kvng thu c t danh mc .


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2. Qu trnh xy dng v qun l danhmc u t

1.Vch ra chnh sch u t

2.Phn tch v nh gi c phiu

3.Chin lc mua bn c phiu

4.Xy dng danh mc

5.Chnh sa danh mc

6.nh gi


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3. L thuyt c bn trong xy dng v qunl danh mc u t:

L thuyt th trng hiu qu

Ri ro ca chng khon, ri ro ca danhmc u t v phn tn ri ro nh adng ha.


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2 phong cch qun l

danh mc1.Qun l ch ng

2.Qun l th ng


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Mua c phiu t da trn mt ch s chun no vnm gi lu di khon u t.

i khi cn c cu li khi ti u t cc khon c tc

nhn v, hoc do cc mt s c phiu b hp nht hoctrt khi danh mc ch s chun,

Ngi qun l danh mc c nh gi datrn tiu ch: theo st li sut danh mc chun

n uMc ch: To ra danh mc c phiu vi s lng v

chng loi gn ging vi ch s chunli sut u ttng ng li sut ca chs .

Qun l th ng


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Qun l th ng

C th hiu qu thp hn danh mcchun v ph v hoa hng

Chi ph qun l ch ng (1 to 2 percent)l vn ln khi xem xt hiu qu iuchnh theo ri ro

Nhiu loi ch s th trng c dnglm danh mc chun


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Cc phng php xy dng danh mc cphiu th ng:

Lp li hon ton mt ch s no (Fullreplication)

Phng php chn nhm mu(Sampling)

Phng php lp trnh bc 2 (Quadraticoptimization or programming)


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Tt c cc c phn trong ch s c muavo theo mt t l bng t trng vn m cphiu chim gi trong ch s ny.

Hn ch:

Chim nhiu chi ph giao dchLung c tc nhn v ri rcti u t

phn tn


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Chn nhm cc chng khon i din choch s chun theo t trng tng ng vit trng trong ch s chun

u: t ph hoa hng hn

Ti u t c tc vt v hn

Hn ch:

Khng bm st li sut thu thu ctrong ch s chun => Li bm st(tracking error).


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Tracking error

Mc tiu ca DM th ng: lp li ch sc phiu no

Thnh cng khng nm mc li sutbng s tuyt i, m mc bm stli sut ca ch s chun

Mc tiu : ti thiu ho bin ng lisut danh mc so vi ch s (ti thiu hotracking error)


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Tracking error: mc m dao ng vli sut ca danh mc khng tng quanvi dao ng v li sut ca ch s chun


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Eg: Over the last 8 quarters

tracking a particular benchmark


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Mi quan h ngc chiu gia trackingerror ca mt danh mc th ng so vich s chun ca n v thi gian, tin bc

to ra v duy tr danh mc


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Expected Tracking Error Between the S&P 500 Indexand Portfolio Comprised of Samples of Less Than

500 Stocks


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Ngh thut qun l danh mc c phiu thng nm kh nng cn bng hai yu tc v mt (costs and benefits) Costs: larger tracking error

Benefits: easier management, lower tradingcommisions


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a vo mt chng trnh my tnh tt c thng tin vthay i gi trong qu kh v mi tng quan gia ccchng khon t quyt nh to nn mt DM m litheo di ch s tiu chun l nh nht

Phc tp, Thng ch c nh u t chuyn nghip pdng.

Hn ch:

PP ny l thuc v mi tng quan trong qua skh, mmi tng quan ny li c th thay i theo thi gian,dn n vic theo di mt ch s cng khng thnhcng.


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Phng php chn mu c utin s dng hn rng ri hn c !


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Sometimes completeness funds : constructedto complement active portfolios that do not coverthe entire market

Eg: pension fund hire 3 active managers to

invest part of the funds money. 1 emphasizes small cap US stocks 1 invest only in Pacific Rim countries 1 in US stocks with low P/E ratios

=> Fund passively invest the remaining assets in acompleteness fund that will have a customizedbenchmark that includes large and mid cap USstocks, US stocks with normal to high P/E ratios, andinternational stocks outside the Pacific Rim


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Cc phng php u t mt danhmc ch s

Qu ch s (index funds) Nhi theo mt ch s gc

Qu giao dch trao i (exchange-tradedfunds)

EFTs l chng ch tin gi cho php nh ut c hng thng d vn v dng tin

mt ca cc chng khon m qu nm gi vang k gi ti nh ch ti chnh m phthnh ra chng ch EFTs theo t l nht dnh.


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u im ca ETFs so vi qu tng h ch s: C th mua bn ging nh c phiu thng trn th

trng tp trung hoc OTC c m bo bng mt t chc ng vai tr ti tr Thng th ph qun l nh hn C th la chn thi im tn dng li th v thu

nh vo thng d vn

Nhc im:- Hoa hng mi gii- Khng ti u t c c tc nu khng phi l c

tc chi tr theo qu


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Chin lc qun l danh mcc phiu ch ng

Mc tiu: kim li sut DM > li sut caDM th ng, tr i chi ph giao dch

Kh khn thc t t ra i vi nh QTch ng: Chi ph giao dch pht sinh nhiu

Ri ro c th cao hn so vi danh mc thng


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Quy trnh qun l danh mc u t ch ng: Bc 1:Xc nh mc tiu ca khch hng t ra

Bc 2:Lp ra mt danh mc chun (hay cn gi l danh

mc thng thng)

Bc 3: Xy dng mt chin lc v kt cu danh mc

u t ti u tha mn nhu cu ngi u t

Bc 4: Theo di nh gi cc bin ng ca c phiutrongdanh mc v ti cu trc danh mc khi cn thit.



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Bc 1:Xc nh mc tiu ca khchhng t ra

Khch hng u t c th a ra cc yu cuc th cho khon u t ca mnh

V d: t ra mc tiu ch u t vo cc loi cphiu ca cng ty nh: vi h s P/E thp ng

vi mt mc ri ro no , hoc cao hn, bng



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Bc 2:Lp ra mt danh mc chun

(hay cn gi l danh mc thng thng)

lm cn c so snh cho danh mc ch ng

Chng hn, ng vi yu cu trn y th danh mcchun bao gm tt c cc c phiu ca cng ty nh vih s P/E thp vi t trng vn u nhau.


Chi l l d h


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Bc 3: Xy dng mt chin lc v kt cudanh mc u t ti u tha mn nhu cungi u t

Thc hin phn tch nhng ngnh v cng ty ring l thamn mc tiu t ra tm ra c hi u t tt nht

Tnh ton xc nh s lng c phiu trong danh mc saocho t c mc a dng ha cao nht trong phm vigii hn ca khon tin u t.

Phn b khon u t, theo nguyn tc: nhng ngnhngh c xu hng pht trin tt th c phn b mt ttrng ln hn, trong cn tp trung vo nhng c phiuc tim nng hoc nhng c phiu c nh gi thp.



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Cc chin lc to lp danh mcc phiu


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Chin lc c bnFundamental Strategies

Nh QLDM c th i theo 2 hng: Top-down:

bottom-up: i thng vo la chn cphiu, khng cn phn tch th trnghoc ngnh


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Chin lc k thutTechnical Strategies

Chin lc xu th o ngc

(Contrarian investment strategy) Chin lc ng c gi (Price momentumstrategy)

So snh vi chin lc ng c thu nhp (lchin lc thuc v nhm chin lc xem xtc tnh)


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Chin lc xu th o ngc(Contrarian investment strategy)

Thit lp danh mc cp da trn xu thpht trin gi cp trong qu kh, vi ginh l nhng xu th s din bin

ngc li Da vo nim tin rng thi im mua vo

tt nht l khi cc nh u t khc angtin rng gi xung v ngc li

Nh u t theo chin lc ny s muacp khi n xung gn y v ngc li


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Chin lc ng c gi (Pricemomentum strategy)

To lp danh mc vi gi nh rng nhngxu hng gi trong qu kh s tip tc inh vy

Chin lc ny gi nh rng c phiuang hot s tip tc hot, v ngc li

V ra quyt nh mua bn cng da trn

gi nh ny


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Chin lc ng lc thu nhp(Earnings momentum strategy)

Mua v nm gi cp no c thu nhp tngdn v bn cp no c thu nhp khng tt

K vng sau chin lc ny: gi cp spht trin theo phng hng ging nhthu nhp


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Chin lc XD DM da vo Nhngs bt thng v c tnh ca cp

The Weekend Effect

The January Effect Firm Size

P/E and P/BV ratios


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The Weekend Effect

Mua vo th 2, bn vo th 6

Tuy nhin s giao dch pht sinh nhiuthng to ra nhng danh mc khg hiuqu v mt chi ph


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The January Effect

Nhng hn ch trong cc xu th u tny khng phi lc no cng to ra nhngchin lc XD danh mc tht hiu qu

Nhng NQL u t cp ch trong thng 1 tkhi chu c mc ph trong sut c nm


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Anomalies and Attributes (cont.)

XD danh mc da vo nhng c tnh cabn thn cng ty Firm size : Tng gi tr vn ho ca c phi

ang lu hnh ca cng ty V tr ti chnh ca cng ty (financial ratios:

P/E, P/BV)


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Firm Size

Nhng cng ty c gi tr vn ho thtrng nh thng mang li li sut iuchnh theo ri ro ln shn l nhng cp c

gi tr vn ho th trng ln


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P/E and P/BV ratios

Nhng cng ty c P/E v P/BV thp hnthng magn li li sut ln shn nhngcng ty c cc ch s cao


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Kt qu nghin cu cho thy

Nhng li ch c th thu c t vic xy dngnhng danh mc ton cu bng chin lc chng khi cn c vo cc ch s ti chnh

Fama and French (1998) Exhibit 16.12 Cc danh mc c P/E v P/BV thp nht th

mang li li sut cao nht, tt c cc nc,

tr Italy Nhng danh mc c ch s thp nh vy cngthng l c ri ro cao hn


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Example: Xy dng cc danh mc c phiubng 2 chin lc da vo ng lc

u t da vo ng lc gm: ng lc v gi ng lc v thu nhp

Chin lc khc nhau=> cc loi danh mckhc nhau NT theo ng lc v gi s b hp dn bi nhng c

phiu c li sut cao, dng, bt k lm th no cc mc li sut

NT theo ng lc v thu nhp b hp dn bi nhngcng ty taora thu nhp vt tri so vi k vng cath trng, mc d c th trogn qu kh li sut lm

E hibit 16 13 Fi i l d t f 20 l t d t


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Exhibit 16.13 Financial data for 20 selected momentum-

oriented stocks from the Russell 1000 index (p557)

V hi th khi


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Vn hiu qu v thu khi quntr DM c phiu ch ng

Khi pht sinh nhiu giao dch c th spht sinh 2 loi chi ph Ph giao dch => gim li sut danh mc

Loi chi ph ny c san s cho tt c ccnh u t trong qu

Bn c phiu khi cp gia tng gi tr =>pht

sinh thng d vn =>phi tr thuCh nh u t no nm gi TK thuc din bnh thu th mi phi lo lng v loi cp ny


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Nhng i tng khng phi lo v thu: qu hu tr (pension funds)

Qu hc bng i hc (university endowment

funds)

Nhng c nhn tham gia chng trnh u thu tr thuc dng hon np thu (tax-

deferred retirement plans)

T l d h


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T l quay vng danh mcPortfolio turnover

Ccho lng gin tip lng giao dchdn n s tin thu m nh u t thuc dinb nh thu phi tr

=Tng gi tr nhng ti sn c bn trong

danh mc/gi tr trung bnh ca nhng ti snm qu qun l Ch s ny l tn hiu tt cho bit hot ng u

t xt mt cch tng qut, nhng khng th hin

l tt c cc giao dch bn u mang li linhun thng d vn (c th c khi bn nhng bl)

T l hi h th


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T l chi ph thuTax cost ratio (Ptak 2002)

Thc o th hin trc tip hn mc cn bng gia thng d vn v phn lca nh qun l danh mc

So snh t l li sut trc thu (PTR)vili sut sau thu (tax adjusted return-TAR)

Th hin t l phn trm ti sn m

NQLDM phi tr cho thu tnh theo nm,khi p dng chin lc c th no


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Exhibit 16.14

Tax efficiency of passive (Vanguard 500index fund) and active (MFS) stock funds


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Active: higher expense ratio (management, operating, administrative fees),

higher turnover ratio =>MFRFX more expensive fund, more stock trading

Outperform benchmark

Passive:

higher TAR Lower tax cost ratio

Little difference between PRT and TAR => little trading but balanced increating capital gains and losses

t i t t t t


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u t gi tr v u t tng trngValue versus Growth

Mt bc pht trin quan trng trong quntr danh mc c phiu ch ng l to racc chin lc da trn kiu u t theo

gi tr v theo tng trng Cc cng ty qun l qu t gi mnh l

ng qun tr c phiu gi tr/tng trng

Exhibit 16.15


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Value versus Growth

Cc nghin cu u ch ra rng

C phiu tng trng tt hn c phiu gitr trong mt giai on nht nh sau thtnh hnh o ngc li ngay

Theo thi gian, c phiu gi tr thngmang li li sut cao hn c phiu tngtrng


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P/E ratio = current price pershare/earnings per share

E (either current or forecasted firmperformance)


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Value versus Growth

Nh u t gi tr s:

Tp trung vo EPS v cc nhn t kinht nh hng n EPS

- Tm nhng cty c kh nng tng trngEPS cao

- Gi nh ch s P/E khng thay i


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Value versus Growth

Nh u t gi tr s:

tp trung vo yu t gi

khng quan tm nhiu n thu nhphin ti

cho rng P/E hin ang di mcng ca n


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Kiu u t (Style)

Xy dng mt danh mc nhm t cnhng c im nht nh ca c phiu

VD: C phiu c mc vn ho nh, c

phiu c t l P/E thp, etc Cc c phiu gi tr l cc c phiu b nh

gi thp

P/B hoc P/E Cc c phiu tng trng s thu c lisut trn trung bnh khi EPS tng


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Kiu u t c quan trng khng?

Nhng la chn ph hp vi kiu u tchnh l ngun thng tin i vi khch

hng Xc nh kiu u t l mt vic c

ngha khi xem xt hiu qu ca qu so vich s chun

Lm r c kiu u t s cho php nhu t a dng ho danh mc


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Xc nh kiu u t

Style grid:

firm size (large cap, mid cap, small cap)

Relative value (value, blend, growth)characteristics


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Benchmark Portfolios

Sharpe

T-bills, intermediate-term government

bonds,long-term government bonds, corporatebonds, mortgage related securities, large-

capitalization value stocks, large-capitalization

growth stocks, medium-capitalization stocks,

smallcapitalization stocks, non-U.S. bonds,European stocks, and Japanese stocks


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Sharpe

BARRA

Uses portfolios formed around 13 different

security characteristics, including variability inmarkets, past firm success, firm size, trading

activity, growth orientation, earnings-to-price

ratio, book-to-price ratio, earnings variability,

financial leverage, foreign income, laborintensity, yield, and low capitalization


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Sharpe BARRA Ibbotson Associates

simplest style model uses portfoliosformed around five differentcharacteristics: cash (Tbills), large-

capitalization growth, smallcapitalizationgrowth, large-capitalization value, andsmall-capitalization value

La chn thi im p dng kiu u t


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La chn thi im p dng kiu u tTiming Between Styles

Dao ng li sut gia cc qu tng hch yu l do nhng khc bit v kiu u

t Cc kiu u t khc nhau c xu hng

bin ng vo cc thi im khc nahu

trong chu k kinh doanh


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Cc chin lc phn b ti sn

Integrated asset allocation

capital market conditions

investors objectives and constraints

Expected Utility


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Strategic asset allocation

constant-mix

Tactical asset allocation

mean reversion

inherently contrarian

Insured asset allocationconstant proportion


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Asset Allocation Strategies

La chn phng php phn b ti snno l ph thuc vo:

S thay i mc tiu u t v cc ro

cn ca khch hngMi quan h gia iu kin th trngvn trong qu kh v trong tng lai

Documents

Chapter 16 - Bodie & Kane - Equity Portfolio Management Strategies