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1、rEquityPortfolioManagement/CFA货漂笺亩笛VBobHong2厘纱X十5%Prbe彗Uy2-211.BuildingBlocksUsedinPortfolioConstruction行业&新NI1I.BuildingBlocksUsedinPortfolioConstructionThethreemainbuildingblocksofportfolioconstructionare:Factorweightings.Alphaskills.Positionsizing.Thesethreebuildingblocksareintegratedintoasuccess
2、fulportfolioconstructionprocessthroughafourthcomponent:breadthofexpertiseBuildingBlocksUsedinPortfolioConstructionFirstBuildingBlock:Overweight/UnderweightRewardedFactorsThisrelatestothemanagertakingexposurestorewardedrisksthatdifferfromthoseofthebenchmark.Thiscanbethoughtofasactivereturnduetodiffer
3、encesinbeta.Withexposurestorewardedfactorsincreasinglyaccessibleviarules-basedindexproducts,simplestaticexposuretorewardedfactorsisnoIongerwidelyconsideredasourceofalpha.Irrespectiveofthemanagersapproach,whethertheyexplicitlytargetfactorexposuresortargetindividualsecurities,theirperformancecaninpart
4、beattributedtosensitivitytothesebetafactors.Thisbuildingblockrelatesprimarilytoactivereturnsourcenumberone:differencesinexposurestolong-termrewardedfactors.4-21MH巨亚盅新ten_BuildingBlocksUsedinPortfolioConstmcxionSecondBuildingBlock:AlphaSkillsAlphaskillsareexcessreturnsrelatedtotheuniqueskillsandstrat
5、egiesofthemanager.Amanagercangeneratealphathroughfactortiming,whichisskillinidentifyingwhenafactormightoutperform/underperformitsaveragereturn.Thiscouldapplytoarewardedfactor,butitcouldalsoapplytounrewardedfactors,suchascorrectlytiminggeographicalorindustrysectorexposures,commodityprices,orevensecur
6、ityselection(adiscretionarymanagermightrefertotheseasthematicexposures).5-21Thisbuildingblockrelatesprimarilytoactivereturnsourcenumbertwo:identifyingmispricings.M亚&新mu_BuildingBlocksUsedinPortfolioConslSct!oTl1ThirdBuildingBlock:SizingPositionsPositionsizingbalancesmanagersconfidenceintheiralphaand
7、factorinsightswhilemitigatingidiosyncraticriskscomingfromconcentratedpositions.Positionsizingwillaffectallthreesourcesofactiverisk,butthemostdramaticimpactwillbeonid沁SynCratiCrisk.Thegeneralruleisthatsmallerpositionsinagreaternumberofsecuritieswilldiversifyawayidiosyncraticriskandleadtolowerportfoli
8、ovolatility.Afactor-orientatedmanagerwhospreadstheirportfolioacrossmanyassetsislikelytominimizetheimpactofidiosyncraticrisk.Astock-pickerislikelytoholdmoreconcentratedpositionsbasedontheirinsightsintoindividualsecurities,andhence,deliberatelyassumeahigherdegreeofidiosyncraticrisk.7-212.ActiveSharean
9、dActiveRisk写亚自新tin.ActiveShareandActiveRiskActiveSharemeasuresthedegreetowhichthenumberandsizingofthepositionsinamanagersportfolioaredifferentfromthoseofabenchmark,andisgivenbythefollowingequation:ActivShare=WeightPOrtfOliOj-VeightTenchmarklIActiveSharetakesavaluebetweenOand1.IfaportfoliohasanActive
10、Shareof0.5,wecanconcludethat50%oftheportfolioisidenticaltothatofthebenchmarkand50%isnot.Iftwoportfolioswiththesamebenchmarkinvestonlyinbenchmarksecurities,theportfoliowiththefewersecuritiesandthereforehigherdegreeofconcentrationinpositionswillhaveahigherlevelofActiveShare.HH雪业&1111.ActiveShareandAct
11、iveRiskActiverisk,alsocalledtrackingerror,isthestandarddeviationofactivereturns(portfolioreturnsminusbenchmarkreturns).Asanequation:Researchconclusionsonthecompositionofactivereturninclude:Highnetexposuretoariskfactorleadstohighlevelofactiverisk.Aportfoliowithnonetfactorexposurewillhaveactiveriskatt
12、ributedentirelytoActiveShare.ActiveriskattributabletoActiveShareisinverselyproportionaltothenumberofsecuritiesintheportfolio.Activeriskincreasesasfactorandidiosyncraticrisklevelsincrease.921HHM目欢鼻新m僵.ActiveShareandActiveRiskInvestmentStyleDescriptionActiveShareandActiveRiskPureindexingNoactivepositi
13、ons:portfolioisequaltothebenchmarkZeroActiveShareandzeroactiveriskFactorneutralNoactivefactorbetsidiosyncraticrisklowifdiversifiedLowactiveriskActiveSharelowifdiversifiedFactordiversifiedBalancedexposuretoriskfactorsandminimizedidiosyncraticriskthroughhighnumberofsecuritiesinportfolioReasonablylowac
14、tiveriskhighActiveSharefromlargeamountofsecuritiesusedthatareunlikelytobeinthebenchmarkConcentratedfactorbetsTargetedfactorbetsidiosyncraticrisklikelytobehighHighActiveShareandhighactiveriskConcentratedstockpickerTargetedindividualstockbetsHighestActiveShareandhighestactiverisk巨业&IWitillActiveSharea
15、ndActiveRiskInvestmentStylesrActiveShare,andActiveRiskHighQuUVlactor Neutral and 6、CrSifIcd Slk PicksDhrcnifiedFaCtor BctsConcentratedConcentrated Stock Picks Factor BetsClosetIndexing*HighPureIndexing11-21ActiveRiykM亚色新！B1|_ActiveShareandActiveRiskManagerstylescanalsobeidentifiedthroughobservingthe
16、irsectorandsecurityspecificconstraints.Forexample:Asectorrotatorwouldneedtohavelargepermitteddeviationsinsectorweights;Astockpickerwouldneedtohavelargepermitteddeviationsinindividualsecurityweights;Adiversifiedmulti-factorinvestorwouldnotneedsuchlargedeviationsfromindexweights,butwouldstillneedsomef
17、lexibilityinordertogenerateamoderatelevelofactiveriskandreturn.13-213.AllocatingtheRiskBudgeting写亚自新tin.AllocatingtheRiskBudgetingRiskbudgetingisaprocessbywhichthetotalriskofaportfolioisallocatedtoconstituentsoftheportfoliointhemostefficientmanner.Itisanintegralpartofaneffectiveriskmanagementprocess
18、.Aneffectiveriskmanagementprocesshasthefollowingfoursteps:Determinewhichtypeofriskmeasureisappropriategiventhefundmandate.Absoluteriskmeasuresareappropriatewhentheinvestmentobjectiveisexpressedintermsoftotalreturns.Relativeriskmeasuresareappropriatewhentheinvestmentobjectiveistooutperformamarketinde
19、x.Understandhoweachaspectofthestrategycontributestorisk.Determinewhatlevelofriskbudgetisappropriate.Properlyallocateriskamongindividualpositions/factors.AllocatingtheRiskBudgetingCausesandSourcesofAbsoluteRiskAbsoluteriskmeasuresfocusonthesizeandcompositionofabsoluteportfoliovariance.Thecalculationo
20、ftotalportfoliovariance(Vp):V=)x)C尸白六Inotherwords,theportfoliovarianceisthesumofeachasset,scontributiontoportfoliovariance.Thecontributionofassetitoportfoliovariance(CVi)isgivenbytheequation:J=assetJsweightintheportfolioCt产thecovarianceofreturnsbetweenassetiandassetjCip=thecovarianceofreturnsbetween
21、assetiandtheportfolioHB目欢鼻新mu_All。CatingtheRiskBudgetingCausesandSourcesofRelative/ActiveRiskRelativeriskbecomesanappropriatemeasurewhenthemanagerisconcernedwithherperformancerelativetoabenchmark.Onemeasureofrelativeriskisthevarianceoftheportfoliosactivereturn(AVp):VX尸theassetsweightintheportfoliob干
22、thebenchmarkweightinassetiCRi尸thecovarianceofrelativereturnsbetweenassetiandasset/Thecontributionofeachassettotheportfolioactivevariance(CAV)iisVCAi=(-CRRC步thecovarianceofrelativereturnsbetweenassetiandtheportfolio.16-21MH巨亚盅新ten_AllocatingtheRiskBudgetingTheimportantpointstonoteare:Contributiontoac
23、tivevarianceisafunctionofactiverisknotabsolutestandarddeviation.E.g.Whilecashhasaverylowstandarddeviation,ithasanactiverisktwicethatoftheindexescomprisingthebenchmarkduetothelowcorrelationofcashversusthebenchmark.Thisleadstocashcontributingto100%oftheactivevariance.Thecorrelationoftheactivereturnsof
24、indexAandindexBis-1.Thisisbecausethebenchmarkisanequallyweightedaverageofthetwoindiceswhenoneisoutperformingthebenchmark(sohaspositiveactivereturns)thentheothermustbeunderperformingthebenchmark(givingnegativeactivereturns).Example:AbsoluteriskattributionAportfoliohasthefollowingcharacteristicsPortfo
25、lioWeightStandardDeviationAssetA40%20%AssetB50%12%AssetC10%6%Portfolio100%11.92%CovarianceAssetAAssetBAssetCZkssetA0.0400000.0096000.002400AssetB0.0096000.0144000.001440AssetC0.0024000.001440Calculatetheabsolutecontributiontoportfolio0,003600varianceofassetA.Giventhatthetotalvarianceis0.014212,calcu
26、latetheproportionoftotalportfoliovariancecontributedbyAssetA.18-21Example:AbsoluteRiskAttributionHWeightofAssetAhWeightofAssetAhCovarianceofAssetAwithAssetA0.40h0.40h0.04+WeightofAssetAhWeightofAssetBhCovarianceofAssetBwithAssetA0.40h0.50h0.0096+WeightofAssetAhWeightofAssetChCovarianceofAssetCwithAs
27、setA+0.40h0.10h0.0024=AssetAscontributiontototalportfoliovariance=0.0084161.CovarianceofreturnsbetweenassetAandtheportfolio:2.TheproportionoftotalportfoliovariancecontributedbyAssetAis,therefore,0.008416/0.014212=59.22%.19-21写亚自新tin.Example:Factor-basedriskbudgetingHThefollowingtablepresentstherisk-
28、factorcoefficientsandvariance/covariancematrixforamanagerrunningaportfoliousingatwo-factormodel(marketandsize)CoefficientMarketSizeValueMomentumCoefficient1.0800.098-0.4010.034Varianceofthemarketfactorreturnandcovarianceswiththemarketfactorreturn0.001090.000530.00022-0.00025Portfoliomonthlystandardd
29、eviationofreturns3.74%CalculatetheportionoftotalportfolioriskthatisexplainedbythemarketfactorinFundsexistingportfolioisclosestto:.20-21行业&新NI1I.Example:AbsoluteRiskAttributionTheportionoftotalportfolioriskexplainedbythemarketfactoriscalculatedintwosteps.Thefirststepistocalculatethecontributionofthem
30、arketfactortototalportfoliovarianceasfollows:CVmartfacts=XmarketfaCtDrXJCmfjJ=ICVmarItetfaCtOr=(1.0800.1091.080)+(1.080M0.000530.098)+(1.080X0.00022-0.401)+(1.080-0.00025X0.034)CVmarketfactor=0.001223Thesecondstepistodividetheresultingvarianceattributedtothemarketfactorbytheportfoliovarianceofreturns,whichisthesquareofthestandarddeviationofreturns:Portionoftotalportfolioriskexplainedbythemarketfactor=0.001223(0.0374)2三87%写亚/新mu.
