Fund Management- Chapter5. Portfolio Management of Stocks
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(2) Fund Management. Types of company Earnings Movement Cyclical Stocks: earnings highly correlated with the heath of the economy in general. Growth Stocks: earnings expected to grow faster than the economy in general. Value Stocks: companies in mature industries with relatively low prospects for earnings and revenue growth. . 2003/10/28. 2. Prof. SheanShean-Bii Chiu. Fund Management. Stock Indices . Dow Jones Industrial Average Index: 30 large, primarily industrial stocks. Standard & Poor＇s 500 Index: 500 large stocks, the most frequently used benchmark. Wilshire 5,000 index: all listed US. Stocks Russell 1,000 Index: largest 1,000 U.S. listed stocks Russell. 1,000 Value Russell 1,000 Growth . Russell 2,000 Index: small-cap stocks, from 1,001 to 3,000.. 2003/10/28. Prof. SheanShean-Bii Chiu. 3.
(3) Fund Management. Types of Securities Research Fundamental Analysis: focus on estimating company＇s future earnings Technical Analysis: looks at past price movements and trading volume Quantitative Analysis: develops mathematical models to screen for desirable stocks . 2003/10/28. 4. Prof. SheanShean-Bii Chiu. Fund Management. Fundamental Analysis Historical financial performance Projected performance Breakthrough of financial performance Current financial position Competitive environment Regulatory environment Event risk Quality of management . 2003/10/28. Prof. SheanShean-Bii Chiu. 5.
(4) Fund Management. Technical Analysis Aggregate market data Relative strength to the market Sentiment Supply / demand relationship . 2003/10/28. 6. Prof. SheanShean-Bii Chiu. Fund Management. Quantitative Analysis Hypothesis formulation Identification of key characteristics Model design Testing & Validation Application Monitoring and feed-back . 2003/10/28. Prof. SheanShean-Bii Chiu. 7.
(5) Fund Management. Buy-Side versus Sell-Side Analysts . Buy-side analysts Work. directly for the investment adviser that will “buy” securities for managed portfolios Produce proprietary research Fund shareholders have “paid” for the research through management fees. Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/10/28. 8. Fund Management. Buy-Side versus Sell-Side Analysts (cont.) . Sell-side analysts . Work for Wall Street-type firms. . Produce research that is widely disseminated (“sold”) to numerous investment advisers. . Rarely issue sell recommendations on stocks, possibly due to existing or potential I-banking relationships. . Can provide valuable insights on industries for buy-side analysts and help produce new investment ideas. . Buy-side firms may pay for such research through trading commissions. Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/10/28. 9.
(6) Fund Management. Passive versus Active Investment Strategies . Passive management Objective. is to match the performance of a particular market index. Success. may be measured by “tracking error” (the deviation of the funds return from the return of the index) must try to minimize trading costs and fees. May. use full replication or sampling. Periodic. index rebalancing or changes in composition must be carefully monitored. Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/10/28. 10. Fund Management. Passive versus Active Investment Strategies (cont.) . Active management Objective. is to beat the return of the market, defined. as . A market index and/or. . A competitive universe of funds with similar objectives. Portfolio. manager is buying and selling securities and. may use . Top-down or bottom-up approach. . Team, individual, or composite approach. Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/10/28. 11.
(7) Fund Management. Portfolio Construction and Strategy . Managers must make decisions within the basic parameters of the fund Investment. objectives (e.g., growth, capital appreciation, income, etc.) Constraints . . Name test: 80% of assets must meet description implied by fund’s name (if specific) Diversification and other regulatory requirements Internal constraints. Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/10/28. 12. Fund Management. Portfolio Construction and Strategy (cont.) . . Managing against indexes . May use broad market indices (e.g., S&P 500). . May use more specific style indices (e.g., Russell 1000 Growth). Managing against peers . Groupings are established by measurement organizations (e.g., Lipper Analytical). . Relative performance rankings are calculated and published on a regular basis; performers often divided into quartiles. Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/10/28. 13.
(8) Fund Management. Large Cos.. Styles of Popular Benchmarks SP500 R1V R3V. R1 R3. R1G R3G. Wilshire 5000. RMV. Russell Midcap. Small Cos.. S&P Midcap. R2V. R2. RMG NASDAQ. R2G. Value Cos.. Growth Cos.. Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/10/28. 14. Fund Management. Portfolio Strategy : Security Selection Index weights as of Dec. 2001 Top 10 Index Holdings GENERAL ELECTRIC CO MICROSOFT CORP EXXON MOBIL CORP PFIZER INC CITIGROUP INC WAL-MART STORES INTEL CORP INTL BUSINESS MACHINES CORP AMERICAN INTERNATIONAL GROUP JOHNSON & JOHNSON Total Weight --These 10 Total Weight -- Top 10. S&P 500 Index % Wt 3.63 3.54 2.52 2.44 2.42 2.38 2.22 1.98 1.95 1.71 24.79. Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/10/28. Fund XYZ % Wt 3.94 2.60 2.39 2.24 2.62 0.18 0.88 1.97 16.82 37.86. 15.
(9) Fund Management. Portfolio Strategy : Sector Weighting M S C I/S & P G r o u p H e a lth C a re E q u ip m e n t & S v c s . M e d ia D iv e r s if ie d F in a n c ia ls Banks H o te ls R e s ta u ra n ts & L e is u re T ra n s p o rta tio n H o u s e h o ld & P e rs o n a l P ro d u c ts F u tu r e s a n d O p tio n s R e a l E s ta te C a p ita l G o o d s S o ftw a r e & S e r v ic e s T e c h n o lo g y H a rd w a r e & E q u ip P h a rm a c e u tic a ls & B io te c h C o n s u m e r D u r a b le s & A p p a re l M a te ria ls T e le c o m m u n ic a tio n S e r v ic e s E n e rg y F o o d & D ru g R e ta ilin g F o o d B e v e ra g e & T o b a c c o C o m m e rc ia l S e r v ic e s & S u p p lie s A u to m o b ile s & C o m p o n e n ts In s u ra n c e R e ta ilin g U tilitie s T o ta l P rim a ry A s s e ts. F u n d W e ig h t % 8 .6 2 6 .6 8 9 .5 6 7 .1 9 1 .8 2 1 .3 7 2 .2 8 0 .1 7 0 .0 7 8 .4 9 5 .5 0 1 2 .7 6 1 1 .0 2 0 .6 0 2 .2 7 5 .5 9 6 .2 8 0 .6 9 4 .1 1 0 .8 9 0 .0 8 2 .4 5 1 .5 2 0 .0 0. B M W e ig h t % 2 .7 2 4 .4 8 7 .5 9 5 .7 7 0 .9 2 0 .7 2 1 .9 6 0 .0 0 0 .0 3 8 .4 8 5 .5 2 1 2 .7 8 1 1 .1 1 0 .7 8 2 .5 5 5 .9 1 6 .6 3 1 .2 7 4 .8 4 1 .7 0 1 .0 7 4 .0 7 5 .4 2 3 .6 6. R e la t iv e W e ig h t 5 .9 0 2 .2 0 1 .9 7 1 .4 1 0 .9 0 0 .6 5 0 .3 1 0 .1 7 0 .0 4 0 .0 1 - 0 .0 2 - 0 .0 2 - 0 .0 9 - 0 .1 7 - 0 .2 9 - 0 .3 2 - 0 .3 5 - 0 .5 8 - 0 .7 3 - 0 .8 2 - 0 .9 9 - 1 .6 2 - 3 .9 0 - 3 .6 6. 1 0 0 .0 0. 1 0 0 .0 0. na. Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/10/28. Performance Attribution M SCI/S&P Group Technology Hardware & Equip Software & Services Retailing Health Care Equipm ent & Svcs. Consum er Durables & Apparel Energy Capital Goods Pharm aceuticals & Biotech Hotels Restaurants & Leisure Materials Utilities Insurance Banks Transportation Com m ercial Services & Supplies Household & Personal Products Telecom m unication Services Diversified Financials Food Beverage & Tobacco Autom obiles & Com ponents Real Estate Food & Drug Retailing Media Other Total Prim ary Assets Cash Totals. 16. Fund Management. Fund BM Relative Fund BM Relative Stock Sector Total Rel. W eight W eight W eight Return Return Return Selection Selection Contribut'n 8.31 10.17 -1.86 38.60 -12.60 51.20 3.40 0.43 3.83 5.62 7.09 -1.47 44.52 -16.73 61.25 2.35 1.16 3.50 11.72 4.60 7.11 54.60 45.54 9.06 0.53 2.52 3.05 9.18 7.34 1.84 24.49 -0.45 24.94 1.99 -0.08 1.92 1.92 8.26 4.96 3.31 39.12 16.40 22.72 1.48 0.43 5.20 4.00 1.20 8.07 -25.16 33.23 1.89 -0.32 1.57 8.83 7.73 1.10 20.66 2.29 18.37 1.43 0.01 1.44 0.59 5.80 -5.21 -0.35 -18.73 18.37 0.10 1.27 1.37 6.00 2.76 3.24 45.22 30.53 14.69 0.60 0.74 1.34 0.84 4.80 5.10 -0.30 30.50 9.25 21.25 0.81 0.03 0.57 4.52 -3.95 12.28 -8.99 21.27 0.17 0.59 0.76 8.24 2.72 5.52 10.12 1.15 8.96 0.77 -0.15 0.61 6.59 9.06 -2.46 21.29 13.21 8.08 0.42 -0.06 0.36 2.15 2.26 -0.11 25.66 6.53 19.13 0.31 0.01 0.32 0.32 1.87 4.04 -2.17 38.27 9.26 29.02 0.45 -0.13 0.89 0.64 0.25 61.74 23.50 38.25 0.23 0.07 0.29 0.44 1.25 -0.81 -5.51 -16.05 10.55 0.10 0.16 0.26 2.06 2.11 -0.05 15.50 15.35 0.15 0.11 0.05 0.15 2.99 2.16 0.82 22.64 34.72 -12.08 -0.18 0.29 0.11 1.36 1.31 0.05 37.50 29.88 7.63 0.05 0.02 0.07 0.55 7.19 -6.64 34.40 21.41 12.99 0.04 -0.93 -0.88 2.42 0.82 1.60 17.69 19.90 -2.21 0.02 -0.19 -0.16 1.27 2.36 -1.09 -7.09 0.08 -7.17 -0.13 0.03 -0.10 0.08 0.00 0.08 -20.00 2.38 -22.37 -0.02 0.00 -0.01 100.00 100.00 na 30.41 2.43 na 16.94 5.93 22.87 15.64 0.00 15.64 4.19 0.00 4.19 2.55 na na na 26.71 2.43 na 16.94 5.93 24.28. Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/10/28. 17.
(10) Fund Management. Summary of Steps in the Investment Process . Identify security pool that is appropriate for portfolio objective and benchmark Choose individual securities with expected returns above average Design the portfolio by sector and individual security weightings Conduct performance attribution analysis to determine what did and did not add value Monitor and adjust portfolio composition Start over. Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/10/28. 18. Fund Management. Other Portfolio Considerations . Portfolio liquidity Individual. securities Markets (e.g., foreign) . Cash flows Purchases. and redemptions by shareholders Settlement of portfolio trades. Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/10/28. 19.
(11) Fund Management Confidential. 投 資組合與配置 資料來源：怡富證券投資信託公司受託辦理郵政資金全權委託投資業務委託投資說明書 Prof. Shean2001.10, p.48 Shean-Bii Chiu 2003/10/28. 20. Fund Management Confidential. 投資組合與配置. 資料來源：怡富證券投資信託公司受託辦理郵政資金全權委託投資業務委託投資說明書, 2001.10, p.49 2003/10/28. Prof. SheanShean-Bii Chiu. 21.
(12) Fund Management Confidential. 投資組合與配置. 資料來源：怡富證券投資信託公司受託辦理郵政資金全權委託投資業務委託投資說明書, 2001.10, p.50 Prof. SheanShean-Bii Chiu 2003/10/28. 22. Fund Management Confidential. 投資組合與配置. 資料來源：怡富證券投資信託公司受託辦理郵政資金全權委託投資業務委託投資說明書, 2001.10, p.53 2003/10/28. Prof. SheanShean-Bii Chiu. 23.
(13) Fund Management Confidential. 投資組合與配置. 資料來源：怡富證券投資信託公司受託辦理郵政資金全權委託投資業務委託投資說明書, 2001.10, p.54 Prof. SheanShean-Bii Chiu 2003/10/28. 24. Fund Management. 投資策略與基本方針. Confidential. 資料來源：怡富證券投資信託公司受託辦理郵政資金全權委託投資業務委託投資說明書, 2001.10, p.62. 2003/10/28. Prof. SheanShean-Bii Chiu. 25.
(14) Fund Management. 投資策略與基本方針. Confidential. 資料來源：怡富證券投資信託公司受託辦理郵政資金全權委託投資業務委託投資說明書, 2001.10, p.63 Prof. SheanShean-Bii Chiu 2003/10/28. 26. Fund Management. 投資策略與基本方針. Confidential. 資料來源：怡富證券投資信託公司受託辦理郵政資金全權委託投資業務委託投資說明書, 2001.10, p.64 Prof. SheanShean-Bii Chiu 2003/10/28. 27.
(15) Fund Management. 投資策略與基本方針. Confidential. 資料來源：怡富證券投資信託公司受託辦理郵政資金全權委託投資業務委託投資說明書, 2001.10, p.65 Prof. SheanShean-Bii Chiu 2003/10/28. 28. Fund Management. 投資策略與基本方針. Confidential. 資料來源：怡富證券投資信託公司受託辦理郵政資金全權委託投資業務委託投資說明書, 2001.10, p.67 Prof. SheanShean-Bii Chiu 2003/10/28. 29.
(16) Fund Management. …And How Rules Are Enforced The five largest mutual fund companies follow these compliance procedures governing personal trading recommended by the Investment Company Institute: . . All Trades must be cleared in advance. (At capital Research, trades over $25,000 must also be cleared by a special committee.) Investment activity is monitored after clearance is given.. 2003/10/28. Prof. SheanShean-Bii Chiu. 30. Fund Management. …And How Rules Are Enforced (cont.) Records of personal transactions are automatically supplied to the company＇s compliance officer by the broker. Personal holdings must be disclosed annually. Employees must certify that they have complied with the ethics codes. . 2003/10/28. Prof. SheanShean-Bii Chiu. 31.
(17) Fund Management. Code of Ethics. Source: The mutual fund business, Robert C. Pozen, 1998, p.258 and more…… Prof. SheanShean-Bii Chiu 2003/10/28. 32. Fund Management. Confidential. 怡富證券投資信託股份有限公司人員 管理規範(部分摘錄) 參. 執行業務之執行準則. 作為一個專業證券金融業者，我們責無旁貸地必須確實. 遵守最高標準的專業行為準則。因此，怡富投信全體員 工應遵循此行為準則昨為其任用的條件之一。 本行為準則適用於全體員工 本行為準則適用於全體員工之配偶及未成年子女。 本公司獲利能力之提升係來自於由全體員工全心投入所 貢獻的良好信譽，全體員工應時時留意可能之舞弊、詐 欺或貪污情形發生，以防範公司或員工發生不當行為或 涉嫌有不當之行為。 2003/10/28. Prof. SheanShean-Bii Chiu. 33.
(18) Fund Management. Confidential. 怡富證券投資信託股份有限公司人員 管理規範(部分摘錄) 參. 執行業務之執行準則(續) 本公司經理人、業務人員及其他受雇人員，不得有下. 列各款之情事(證券投資信託事業管理規則第26條)。 1.以職務上所知悉之消息洩漏予他人或從事有價證券買 賣之交易活動。 2.運用證券投資信託基金買賣有價證券時，同時為自己 或他人之利益買進貨賣出。 3.為虛偽、詐欺或其他足以致他人誤信之宣傳或營業促 銷活動。 2003/10/28. 34. Prof. SheanShean-Bii Chiu. Fund Management Confidential. 怡富證券投資信託股份有限公司人員 管理規範(部分摘錄) 參. 執行業務之執行準則(續). 4.運用證券投資信託基金買賣有價證券時，收取證券商 退還手續費或其他利益。 5.約定或提供利益、對價或負擔損失，銷售受益憑證。 6.轉讓出席股東會委託書或藉行使證券投資基金持有股 票之投票表決權，收受金錢或其他利益。 7.運用證券投資信託基金買賣有價證券時，與他人通 謀，意圖抬高、壓低集中交易市場某種有價證券之價 格，或從事其他足以損害證券投資信託基金投資人權 益之行為。 2003/10/28. Prof. SheanShean-Bii Chiu. 35.
(19) Fund Management. Confidential. 怡富證券投資信託股份有限公司人員 管理規範(部分摘錄) 參. 執行業務之執行準則(續). 8.運用證券投資信託基金買賣有價證券時，將 已成交之買賣委託，自基金帳戶改為自己或 他人帳戶或自自己或他人帳戶改為基金帳戶。 9.其他經證期會規定禁止之事項. 2003/10/28. 36. Prof. SheanShean-Bii Chiu. Fund Management. Confidential. 怡富證券投資信託股份有限公司人員 管理規範(部分摘錄) 參. 買賣證券之限制及規定 本公司經理人及其關係人，除經證期會核准外，於證. 券投資信託事業決定運用證券投資信託基金買賣某種 上市公司股票時起，至證券投資信託基金不再持有該 種上市公司股票時止，不得參與同種股票買賣(證券投 資信託事業管理規則第27條)。 投資分析人員於出具研究報告或推薦報告前後各兩個 禮拜期間內，不得直接或間接購買、出售或交易所研 究或推薦之任何證券。 本公司之員工不得以職務上所知悉之消息洩漏予他人 或從事有價證券買賣之交易活動。 基金經理人與業務人員於運用證券投資信託基金買賣 有價證券時，不得同時為自己及他人之利益買入及賣 出。 2003/10/28. Prof. SheanShean-Bii Chiu. 37.
(20) Fund Management. Confidential. 投資組合與資產配置. 資料來源：復華證券投資信託公司受託辦理郵政資金全權委託投資業務委託投資說明書, 2001.10, p.37 38 Prof. SheanShean-Bii Chiu 2003/10/28. Fund Management. Confidential. 投資組合與資產配置 過去十年(80-89)來四大產業之報酬率和風險. 根據過去十年平均報酬率完成之產業投資組合比例. 資料來源：復華證券投資信託公司受託辦理郵政資金全權委託投資業務委託投資說明書, 2001.10, p.40 Prof. SheanShean-Bii Chiu 2003/10/28. 39.
(21) Fund Management. Confidential. 投資組合與資產配置 未來兩年投資環境之情境分析. 資料來源：復華證券投資信託公司受託辦理郵政資金全權委託投資業務委託投資說明書, 2001.10, p.44 Prof. SheanShean-Bii Chiu 2003/10/28. 40. Fund Management. Confidential. 投資組合與資產配置 投資環境之情境分析與機率. 各個投資標的於不同景氣時期之平均報酬. 資料來源：復華證券投資信託公司受託辦理郵政資金全權委託投資業務委託投資說明書, 2001.10, p.45 Prof. SheanShean-Bii Chiu 2003/10/28. 41.
(22) Fund Management. Confidential. 投資組合與資產配置 Ex. 情境3：收縮→谷底→擴張→高峰→收縮 1.景氣循環機率分布. 資料來源：復華證券投資信託公司受託辦理郵政資金全權委託投資業務委託投資說明書, 2001.10, p.49 Prof. SheanShean-Bii Chiu 2003/10/28. 42. Fund Management. Confidential. 投資組合與資產配置 Ex. 情境3：收縮→谷底→擴張→高峰→收縮 1.情境3預期報酬率24.8802％. 資料來源：復華證券投資信託公司受託辦理郵政資金全權委託投資業務委託投資說明書, 2001.10, p.50 Prof. SheanShean-Bii Chiu 2003/10/28. 43.
(23) Fund Management. Confidential. 投資組合與資產配置 情境分析綜合研判. 資料來源：復華證券投資信託公司受託辦理郵政資金全權委託投資業務委託投資說明書, 2001.10, p.51 Prof. SheanShean-Bii Chiu 2003/10/28. 44. Fund Management. Confidential. 風險管理機制 風險管理資訊系統 RMIS功能—需求對應表. 資料來源：復華證券投資信託公司受託辦理郵政資金全權委託投資業務委託投資說明書, 2001.10, p.71 Prof. SheanShean-Bii Chiu 2003/10/28. 45.
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