Quĩ đầu tư - Chapter 4: Portfolio management: An overview

Portfolio approach to investing Investment management clients: types, characteristics, and needs Steps in the portfolio management process Pooled investments

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Chapter 4 Portfolio Management: An Overview PresenterVenueDateThe Portfolio PerspectiveStock XStock YStock X and Stock YEvaluate in isolation?Evaluate as a portfolio?EXHIBIT 4-3 Cumulative Wealth Index of Sample of Shares Listed on HKSESource: DatastreamYue Yuen IndustrialCathay Pacific AirwaysHutchinson WhampoaLi & FungCOSCO PacificEqually Weighted PortfolioMean annual return7.3%8.7%12.3%32.8%14.2%15.1%Annual standard deviation20.2%25.4%18.1%29.5%31.3%17.9%Mean annual return, randomly selected security = 15.1%Annual standard deviation, randomly selected security = 24.9%Diversification ratio = 17.9% ÷ 24.9% ≈ 71%Source: DatastreamEXHIBIT 4-4 The Importance of the Portfolio PerspectiveEXHIBIT 4-5 Optimal Portfolios for a Sample of HKSE SharesOptimal PortfoliosSource: DatastreamKey Tenets of Modern Portfolio TheoryInvestors should hold portfolios and focus on how individual securities in the portfolio are related to one another.The priced risk of an individual security is affected by holding it in a well-diversified portfolio.Systematic or nondiversifiable risk should be the only risk that affects the asset’s price.Representative Investment Motives for Individual InvestorsShort-Term GoalsChildren’s educationSaving for a major purchaseStarting a businessLong-Term GoalsRetirement (defined contribution plan)Examples of Institutional InvestorsDefined Benefit Pension PlansUniversity EndowmentsCharitable FoundationsBanksInsurance CompaniesInvestment CompaniesSovereign Wealth Funds (SWFs)EXHIBIT 4-10 Institutional Assets (in US$ billions)Source: OECD, “Recent Trends in Institutional Investors Statistics” (2008).Investment Returns?Defined Benefit Pension PlansEarnings HistoryTenure of ServiceAgeDefinedBenefitEXHIBIT 4-11 Top Ten U.S. University Endowments by Asset ValueSource: NACUBO, “2008 NACUBO Endowment Study” (January 2009).EXHIBIT 4-12 Top Ten U.S. Foundation Endowments by Asset ValueSource: Foundation Center (2009). Banks, Insurance Companies, and Investment CompaniesBanksLegal restrictions?Risk and liquidity concerns?Insurance CompaniesRisk and liquidity concerns?Time horizons?Investment CompaniesInvestment category?Limits and legal restrictions?EXHIBIT 4-13 Sovereign Wealth Funds by Asset ValueSource: SWF Institute (www.swfinstitute.org).EXHIBIT 4-14 Summary of Investment Needs by Client TypeSteps in the Portfolio Management ProcessPlanning StepUnderstanding client needsPreparing an investment policy statement (IPS)Execution StepAsset allocationSecurity analysisPortfolio constructionFeedback StepPortfolio monitoring and rebalancingPortfolio measurement and reportingSell-Side Firm vs. Buy-Side FirmSell-Side FirmBroker or dealer who sells securitiesProvides independent investment research and recommendationsBuy-Side FirmInvestment management company (mutual fund, pension fund, etc.)Clients of sell-side firmsMay perform in-house researchPooled InvestmentsPooled InvestmentsMutual FundsExchange-Traded FundsSeparately Managed Accounts (SMAs)Hedge FundsPrivate Equity FundsEXHIBIT 4-17 Investment Products by Minimum InvestmentMutual Funds: Open-End Funds vs. Closed-End FundsOpen-End FundsAccept new money and issue additional sharesFunds can be withdrawn at NAVPortfolio manager must manage cash flowsClosed-End FundsDo not accept new money or issue additional sharesCan sell for a premium or discountLimited ability to growMutual Funds: No-Load Funds vs. Load FundsAnnual fee based on assets under managementFee charged for investment and/or redemptionsBrokerage feeTotal fees“Load”Money Market FundsMoney Market FundsTaxable Money Market FundsTax-Free Money Market FundsEXHIBIT 4-21 Bond Mutual FundsStock Mutual Funds: Active vs. Passive ManagementActively ManagedManager seeks outstanding performanceHigher feesFrequent tradingMore likely to realize capital gain distributionsPassively ManagedManager seeks to match the performance of an indexExchange-Traded Funds (ETFs)ETFs:Are typically index fundsTrade like closed-end fundsHave prices that track NAVPay dividends out to investorsEXHIBIT 4-23 Types of Exchange-Traded Funds (ETFs) January 2009Source: Investment Company Institute, “Exchange-Traded Fund Assets, January 2009” (25 February 2009).Separately Managed Account (SMA)Assets Owned by the IndividualConsiders Tax NeedsLarge Minimum InvestmentHedge FundsHedge FundsLarge Minimum InvestmentRestricted LiquidityHigh Management FeesHedge Fund StrategiesConvertible ArbitrageDedicated Short BiasEmerging MarketsEquity Market NeutralEvent DrivenFixed-Income ArbitrageGlobal MacroLong/ShortBuyout and Venture Capital FundsInvest in private rather than public equityShort-term investorsMinimum investment requirementFees for funds under management and performanceSummaryPortfolio approach to investingInvestment management clients: types, characteristics, and needsSteps in the portfolio management processPooled investments

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