INVESTMENTS 投资学 （博迪BODIE, KANE, MARCUS）Chap027 The Theory of Active Portfolio Management.ppt

CHAPTER 27 The Theory of Active Portfolio Management INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS Copyright ? 2011 by The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin 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 Let’s add these new forecasts to the spreadsheet model and re-calculate Table D. Figure 27.1 Rates of Return on the SP 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 Benchmark risk is the standard deviation of the tracking error, TE = RP-RM. Control it by restricting WA. 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