Aktivni portfolio menadment

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Aktivni portfolio menadment
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Opti pristupi aktivnim strategijama

• Izbor HoV ili sektora (stock screening)
• Zasnovano na razlicitim aktivnim kvantitativnim
  tehnikama
• Momentum, stilovi, iznenadenja u vezi dobiti,
  relativne tehnike za procenu vrednosti,
  optimizacija, i dr..
• Alokacija aktive (asset allocation - AA)
• Alokacija sredstava u okviru jedne klase aktive
  ili izmedu vie klasa aktive
• Strateka AA (SAA) zasnovana na dugorocnim
  predvidanjima, koristi se za utvrdivanje
  dugorocnih pozicija klasa aktive
• Takticka AA (TAA) zasnovana na kratkorocnim
  predvidanjima, koristi se da bi se utvrdilo kada
  vriti promenu izmedu razlicitih ili unutar iste
  kalse ative
• Trini tajming (market timing)
• Odreduje kada izvriti zamenu jedne (klase)
  aktive drugom
• Sprovodi se na nivou pojedinacne HoV, klase
  aktive, segmenta ili celog trita

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Stock screening

• Using screens involves answering questions such
  as Are you looking for small cap or large cap
  stocks?, What range of PE ratio is acceptable?
• By focusing on measurable factors, stock
  screening centers around quantitative analysis
• Qualitative factors such as management quality,
  the competitiveness of the company etc. can be
  used, but this is not very common
• Ranks or scores are assigned to each qualitative
  variable
• PRIMER NA BSE

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Example of the Screen

• Say we are looking for a bank that trades on
  NYSE, has a PE ratio under 25, has revenue growth
  of 25 and profit margins at least 15. Once the
  screening filter is implemented, we obtain
• Type of Screen Companies Remaining
• Look in banking industry 704
• Trading on NYSE 97
• PE ratio under 25 84
• 1 yr revenue growth at least 25 18
• Profit Margin of at least 15 3
• Note the three companies that made all our
  criteria are not necessarily the best buys they
  are only as valuable as the searching criteria we
  enter in the screener
• Predefined screens set up for screening stocks
  according to popular investment strategies

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Stilovi investiranja u akcije - klasifikacija

• Investicioni stilovi su nastali kada je primeceno
  da grupe akcija koje poseduju jednu ili vie
  zajednickih karakteristika imaju tendenciju da se
  krecu u istom smeru
• Vrednost (value)
• jeftine(u relativnim odnosima), nizak P/E, nizak
  P/B, akcije sa visokim ocekivanim prinosom
  (yield)
• Rast (growth)
• skuplje (u relativnim odnosima), konzistentna
  strategija rasta dobiti, strategija momentuma
  dobiti (earnings momentum)
• Trina orijentacija (market oriented)
• diversifikovaniji portfolio
• opredeljenje za vrednost ili rast
• Niska kapitalizacija
• investicioni fondovi i kompanije su rado
  koristili stil investiranja u kompanije sa niskom
  kapitalizacijom
• u poslednjih 10 godina se pokazalo da su male
  kompanije imale loije performanse od velikih

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Vrednost (value style) - opis stila investiranja

• Ovi investitori su zainteresovani za cenovnu
  komponentu P/E koeficijenta, kupuju po niskoj
  ceni u odnosu na dobit kompanije ocekujuci da ce
  cena porasti tokom njihovog investicionog
  horizonta i omoguciti im da profitiraju
• Pristup zasnovan na nioj proceni vrednosti u
  tekom periodu za kompaniju, uz ocekivanje
  konsolidacije kontraki pristup
• Investitori stila vrednosti investiraju na kratke
  staze i ocekuju visoke prihode (dividend yield)
  uz umeren ili nizak rast
• Istorijski, ove akcije su u proseku imale bolje
  performanse od rastucih (growth) akcija
• primeri javna preduzeca, bankarski sekor,
  ciklicne akcije (cyclical stocks, faze u razvoju
  IT industrije)

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Rast (growth style) - opis stila investiranja

• Stil rasta je pragmaticniji i nejasnije definisan
  od stila vrednosti
• Ovi investitori su zainteresovani za komponentu
  dobiti P/E koeficijenta
• Konstantna strategija rasta investiranje u
  akcije koje imaju konzistentnu stopu rasta
  dobiti, obicno razumno vrednovane
• Strategija momentuma dobiti investiranje u
  kompanije koje su u skorije vreme ostvarile
  veliko povecanje rasta dobiti agresivan pristup
  stilu rasta
• Investitori ocekuju da ce kompanija ostvariti
  rast dobiti u buducnosti to ce se odraziti na
  rast cene i pruiti mogucnost da se profitira
• Investitori stila rasta investiraju na duge staze
  ocekujuci nizak ili nikakav prihod od dividendi i
  visok rast
• Primeri tehnologija, IT, faraceutska industrija

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Selecting Value and Growth stocks

• Pick a universe of stocks (e.g FTSE 100)
• Calculate (or obtain from a data source) a P/E
  ratio for each one
• Sort stocks according to P/E ratio in ascending
  order
• Pick stocks from the top of the list until you
  have 50 of total number - this represents your
  value stocks, the rest are growth stocks
• Problem with this method stocks which are
  neither pure value nor pure growth are included
• Need for creating minimum three portfolios and
  very often even more
• Alternative stock characteristics used to define
  style P/B ratios, dividend yields, earnings
  growth estimates, etc.

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Growth and Value Style

• Appear to be mutually exclusive because investors
  have different risk profile and different
  emphasis but there is an overlap
• A few growth managers would claim they buy
  expensive stocks and many value managers will
  include in their portfolio a cheap stock with
  good growth prospects
• Only in their extreme forms these styles are at
  the opposite end of investment spectrum
• Large number of stocks of on the market exhibits
  both value and growth characteristics

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Istorijske performanse akcija koje zadovoljavaju
kriterijume stilova vrednosti i rasta u
Britaniji, 1965.-2003.
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Niska kapitalizacija (Small Cap Style) - opis
stila investiranja

• Investiranje u akicje sa niskom kapitalizacijom
  koje mogu da se definiu kao poslednjih 10
  akcija sortiranih po kriterijumu trine
  kapitalizacije
• Razliciti institucionalni investitori mogu da
  koriste drugaciji prag niske kapitalizacije koji
  obuhvata najmanjih 25 ili 30 trine
  kapitalizacije
• Istorijski, akcije sa niskom kapitalizacijom, u
  proseku, imaju bolje performanse od onih sa
  visokom kapitalizacijom, ali je volatilnost pri
  nioj kapitalizaciji visoka
• Postoje dokazi ciklicnih promena pa u jednom nizu
  godina akcije sa niom kapitalizacijom imaju
  bolje performanse u od akcija sa visokom
  kapitalizacijom, a onda se u narednim godinama
  trend promeni
• Objanjenje ovog fenomena akcije sa niskom
  kapitalizacijom su obicno jeftine, zapostavljene,
  sa slabom likvidnocu, visokim betama i sezonskim
  oscilacijama
• Nema dovoljno jeasanog dokaza da podri ova
  objanjenja

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Istorijske performanse akcija sa malom i velikom
trinom kapitalizacijom u Britaniji, 1965.-2003.
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Benchmarks for performance measurement

• Key issue in choosing benchmark if replicated in
  a fund, the funds objective is likely to be met
  and it will reflect the risk profile of your
  funds strategy
• Construction of style indices such as FTSE 350
  Value, FTSE 350 Growth, FTSE 350 High Yield, FTSE
  Small Cap has improved over the years and more
  style benchmarks are available nowadays making
  them a better guide to performance measurement
• Some fund management firms believe that some
  style indices are too narrowly based, reflecting
  pure value/growth style for example and hence
  cant be used as useful benchmarks for broader
  funds which include grey area stocks

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Style Rotation

• In the US and UK, over the long time period,
  value stocks have outperformed the growth stocks
• In the second half of 1990s - technology boom -
  growth outperform value
• Therefore, style rotation is used by a number of
  managed funds, including hedge funds
• Style rotation strategy
• Invest 100 of funds in value when it is expected
  to do better and switch all your funds to growth
  when growth is expected to do better
• Based on forecasts and successful market timing
• General economic indicators such as GDP and
  interest rates as well as company specific
  factors such as Dividend Yields can be used to
  determine when to switch from one style to
  another
• Bare in mind the transaction costs (this can be a
  very expensive strategy)

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Tactical Asset Allocation (TAA) With Style

• Style rotation can prove to be expensive strategy
  having high transaction costs and turnover of
  assets
• One should consider that style oriented portfolio
  does not have to have all the investment placed
  in one style only but rather employ TAA with
  style stocks/indexes
• TAA approach called active style management
  implies
• tilting the equity portfolio with either growth
  stocks or value stocks in order to capture more
  superior return generated by in-favor style
• Modest bid 55 - 45
• Aggressive bid 75 - 25
• How aggressive it is going to be depends on the
  risk tolerance of the plan sponsor and the
  confidence level of the investment manager

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Market Timing Vs Buy-and-Hold

• When equities are expected to do well, market
  timers shift from cash equivalents or any other
  instruments to common stocks and vice versa
• Alternatively, timers could increase the betas of
  their portfolios when the equity market is
  expected to rise and vice versa
• Expensive due to research costs, transaction
  costs and turnover
• Buy and hold buy high quality stocks and hold
  on to them until the end of your investment
  horizon
• Not a costless strategy as dividends have to be
  re-invested and occasional rebalancing is
  necessary so transaction costs do occur
• Mixed evidence related to superiority of these
  two approaches

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Market Timing and Asset Allocation Constant
Proportion Portfolio Insurance (CPPI) strategy

• Dynamic asset allocation strategy that involves
  market timing
• Re-allocation of funds between equities and money
  market instrument (T-bill for example)
• Feasible only if reallocations are made
  frequently and if transaction costs are low
  also, there should be continuity in equity prices
• It can be illustrated through the formula
• E m (V F)
• where E is value of equity, V is value of equity
  and bond portfolio, F is a floor value of a
  portfolio, (V-F) is called a cushion and m is a
  multiplier

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CPPI Example

• Value of a portfolio V100m
• Floor F 75m
• Multiplier m2
• Level of market Index 3000
• Then, Equity 2x(100-75) 50m and Bonds 50m
• If index level falls to 2900 or 3.3 it means
  that value of equity will fall by 3.3 to 48.33m
  and the cushion will fall to 23.33m (C
  98.33-75)
• Appropriate stock position is now 46.67m
  (2x23.33), meaning that we should sell
  48.33-46.67 1.67m of equity and place it into
  bonds
• For summary of different scenarios refer to the
  next slide

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CPPI-concluding remarks

• Value of the multiplier depends on the volatility
  of the underlying equity market.
• Multiplier indicates that the index can drop by
  1/m and the value of the portfolio will not fall
  below floor even without rebalancing
• In our example index could have fallen by ½50
  before we would make any losses without any
  rebalancing
• Strategy works well in rising market but in a
  flat market, due to reversals, substantial
  transaction costs are generated
• Cost of the strategy can be reduced by using
  futures contract for stock market index and bonds
  rather than actual assets

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Long/Short Investment Strategies Market Neutral

• Market neutral is a strategy very popular with
  hedge funds
• holding long and short equity portfolio in equal
  pound (dollar, euro) balance at all times
• buy undervalued and short-sell overvalued
  securities
• long portfolio has to have the same beta as the
  short but of the opposite sign
• the effect of such a strategy is creation of
  zero-beta portfolio
• no co-movement of the portfolio with the overall
  market
• in effect, the market risk is immunised
• profits are made from the performance spread
  between stocks held long and stocks sold short
  and from the interest received on proceeds of the
  short sale

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Theoretical payoff pattern for Long and Short
portfolio

• Payoff from a long active portfolio only long
  portfolio which is composed of undervalued stocks
  has greater return than the market portfolio by
  the value of alpha
• when the market returns are increasing, portfolio
  returns are increasing as well but more than the
  market returns
• when the market returns are decreasing, portfolio
  returns are decreasing as well but less than the
  market returns
• Payoff from a short active portfolio short
  portfolio has greater returns than the short
  market portfolio by the value of interest
  received on the proceeds from short-sale and the
  value of alphas

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Theoretical payoff pattern for Long and Short
portfolio

• LONG PORTFOLIO SHORT PORTFOLIO
• portfolio return portfolio return
• alpha interest alpha
• market market return return
• long short
• market market
• portfolio portfolio
• market alpha long portfolio short market
  portfolio interest
• market interest
  alpha short portfolio

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Theoretical payoff pattern for Market Neutral
portfolio

• Payoff from a market neutral portfolio
• derived from the long and short portfolio
  patterns
• payoff line is horisontal and it intercepts the
  y-axis at the level of 2 alphas plus the interest
  from the proceeds of short-sales
• Double alpha one alpha is from the long
  portfolio and the other one is from the short one
• assumption full amount of capital is invested
  both long and short
• portfolio return
• market neutral portfolio
• 2alpha interest
• market return
• Long portfolio Short portfolio

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Advantages of market neutral strategy

• Practical advantages
• Maximizes profits while controlling for risk
• Investors benefit from both winner and loser
  stocks, earning the full performance spread
• Shorts provide greater opportunities than longs
• search for undervalued stocks is very extensive
• few investors are looking for overvalued stocks
  priced inefficiently