Transcript
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Portfolio Management –
Revision and EvaluationMASTER OF COMMERCE
BANKING & FINANCE
SEMESTER 4
(2015-16)
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EXECUTI+E SUMMAR,
SC-PE - T/E STUD,0
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INTR-DUCTI-N
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Portfolio Management
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Need of Portfolio and Portfolio Management
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3-AS - P-RT-I- MANA3EMENT
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SC-PE - P-RT-I- MANA3EMENT
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PR-CESS ;STEPS - P-RT-I- MANA3EMENT
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PROCESS/STEPS OF PORTFOLIO
Specifcation o Investment objective and
Selection o Asset i!
Form"lation o Portolio
Selection o Sec"rities
Portolio E!ec"tion
Portolio Revision
Portolio Eval"ation
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#. Se6tor Rotation0
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Strategi6 versus ta6ti6al asset allo6ation
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• R"%'! e*ecti% ",,#"c i ."e' % te ,#e!ie t"t te !"#et i eicie%t "%'
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"!u%t Ti i te ,"e ,#t*i executi% ic i te% +*e' e# i% ,#t*i
!"%"+e!e%t *ite#"tu#e ee#3 it i "% i!,#t"%t ,#"ctic"* te, t"t " " i+%iic"%t .e"#i%+ %
te i%et!e%t #eu*t I% te executi% t"+e3 t#ee 'ecii% %ee' t .e !"'e3 i te ,e#ce%t"+e
*'i%+ "#iu "et c*"e "#e cu##e%t*$ 'ie#e%t #! te 'ei#e' *'i%+
". P-RT-I- RE+ISI-N0
I% te e%ti#e ,#ce ,#t*i !"%"+e!e%t3 ,#t*i #eii% i " i!,#t"%t t"+e " ,#t*i e*ecti% #t*i #eii% i%*e c"%+i%+ te exiti%+ !ix ecu#itie
Ti !"$ .e eecte' eite# .$ c"%+i%+ te ecu#itie cu##e%t*$ i%c*u'e' i% te ,#t*i
# .$ "*te#i%+ te ,#,#ti% u%' i%ete' i% te ecu#itie Ne ecu#itie !"$ .e
"''e' t te ,#t*i # !e exiti%+ ecu#itie !"$ .e #e!e' #! te ,#t*i
Tu it *e"' t ,u#c"e "%' "*e ecu#itie Te ./ectie ,#t*i #eii% i
i!i*"# t te ./ectie e*ecti% ie !"xi!i@i%+ te #etu#% # " +ie% *ee* #i #
!i%i!i@i%+ te #i # " +ie% *ee* #etu#%
Te %ee' # ,#t*i #eii% " "#ue' 'ue t c"%+e i% te i%"%ci"* !"#et i%ce
c#e"ti% ,#t*i It " "#ue' .ec"ue !"%$ "ct# *ie ""i*".i*it$ "''iti%"*
u%' # i%et!e%t3 c"%+e i% te #i "ttitu'e3 c"%+e i%et!e%t +"*3 te %ee' t
*i=ui'"te " ,"#t te ,#t*i t ,#i'e u%' # !e "*te#%"tie ue Te ,#t*i
%ee' t .e #eie' t "cc!!'"te te c"%+e i% te i%et#
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c"%+e3 t"t te t"#+et ,#,#ti% "#e !"i%t"i%e'
Te ,#t*i i%u#"%ce ,*ic$ c"** # i%c#e"i%+ te ex,u#e t tc e% te
,#t*i ",,#eci"te i% "*ue "%' 'ec#e"i%+ te ex,u#e t tc e% te ,#t*i
'e,#eci"te i% "*ue Te ."ic i'e" i t e%u#e t"t te ,#t*i "*ue 'e %t "**
.e* " *# *ee*
Portfolio U8grading0
i*e ,#t*i #e."*"%ci%+ i%*e iti%+ #! tc t .%' # ice e#"3
,#t*i-u,+#"'i%+ c"** # #e-"ei%+ te #i #etu#% c"#"cte#itic "#iu
ecu#itie (tc " e** " .%')3 e**i%+ e#-,#ice' ecu#itie3 "%' .u$i%+ u%'e#-
,#ice' ecu#itie It !"$ "* e%t"i* te# c"%+e te i%et# !"$ c%i'e# %ece"#$ t
e%"%ce te ,e##!"%ce te ,#t*i
$. P-RT-I- E+AUATI-N0
#t*i e"*u"ti% i te *"t te, i% te ,#ce ,#t*i !"%"+e!e%t It i te
,#ce t"t i c%ce#%e' it "ei%+ te ,e##!"%ce te ,#t*i e# " e*ecte'
,e#i' ti!e i% te#! #etu#% "%' #i T#u+ ,#t*i e"*u"ti% te i%et# t#ie
t i%' ut e** te ,#t*i " ,e##!e' Te ,#t*i ecu#itie e*' .$ "%
i%et# i te #eu*t i i%et!e%t 'ecii% #t*i e"*u"ti% i #e"**$ " tu'$
te i!,"ct uc 'ecii% Ti i%*e =u"%tit"tie !e"u#e!e%t "ctu"* #etu#%
#e"*i@e' "%' te #i .#% .$ te ,#t*i e# te ,e#i' i%et!e%t It ,#i'e "
!ec"%i! # i'e%ti$i%+ te e"%e i% te i%et!e%t ,#ce "%' # i!,#i%+
tee 'eicie%t "#e"
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T78es of Ris? in Portfolio Management
E"c "%' ee#$ i%et# " t "ce #i i*e i%eti%+ "t i RiL Ri i te
u%ce#t"i%t$ i%c!e;c",it"* ",,#eci"ti% # * .t Ri i c*"iie' i%t
S$te!"tic #i # M"#et #e*"te' #i "%' 7%$te!"tic #i # C!,"%$ #e*"te' #i
S,STEMATIC RISB
1 M"#et Ri 1 Bui%e Ri
2 I%te#et R"te Ri 2 I%te#%"* Ri
I%*"ti% R"te Ri Fi%"%ci"* Ri
S,STEMATIC RISB
S$te!"tic #i #ee# t t"t ,#ti% "#i"ti% i% #etu#% c"ue' .$ "ct# t"t "ect
te ,#ice "** ecu#itie It c"%%t .e "i'e' It #e*"te t ec%!ic t#e%' it
eect t te *e !"#et
Ti i u#te# 'ii'e' i%t te **i%+
!. Mar?et ris?s0
A "#i"ti% i% ,#ice ,"#e' 'ue t #e"*3 ci"* ,*itic"* "%' ec%!ic ee%t i
#ee##e' " !"#et #i
#. Interest rate ris?s07%ce#t"i%tie utu#e !"#et "*ue "%' te i@e utu#e i%c!e3 c"ue' .$
*uctu"ti% i% te +e%e#"* *ee* i%te#et "#e #ee##e' t " i%te#et #"te #i
e#e ,#ice ecu#itie te%' t !e i%e#e*$ it te c"%+e i% #"te i%te#et
%. Inflation ris?s07%ce#t"i%tie i% ,u#c"i%+ ,e# i "i' t .e i%*"ti% #i
UNS,STEMATIC RISB
7%$te!"tic #i #ee# t t"t ,#ti% #i t"t i c"ue' 'ue t "ct# #e*"te' t "
i#! # i%'ut#$ Ti i u#te# 'ii'e' i%t
!. 1usiness ris?0Bui%e #i "#ie 'ue t c"%+e i% ,e#"ti%+ c%'iti% c"ue' .$ c%'iti% t"t
t#ut u,% te i#! ic "#e .e$%' it c%t#* uc " .ui%e c$c*e3 +e#%!e%t
Page | 22
T,PES - RISB IN P-RT-I- MANA3EMENT
UNS,STEMATIC RISB S,STEMATIC RISB
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Monitoring and revision of t>e 8ortfolio
#t*i #eii% i te ,#ce e**i%+ ce#t"i% iue i% ,#t*i "%'
,u#c"i%+ %e %e t #e,*"ce te! Te !"i% #e"% # te %eceit$ te
i%et!e%t ,#t*i #eii%
• A te ec%!$ e*e3 ce#t"i% i%'ut#ie "%' c!,"%ie .ec!e eite#
*e # !#e "tt#"ctie " i%et!e%t?
• Te i%et# e# te ti!e !"$ c"%+e i;e# i%et!e%t ./ectie "%' i%
ti "$ i; e# ,#t*i i%
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C"%+e i% e"*t
C"%+e i% ti!e #i@%
C"%+e i% *i=ui'it$ #e=ui#e!e%t
C"%+e i% t"x ci#cu!t"%ce
C"%+e i% *e+"* c%i'e#"ti%
C"%+e i% te# ci#cu!t"%ce "%' i%et#
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,e##!e' te .et Ti i e#$ 'iicu*t t ' # te i%et# ,$c*+ic"**$ But te
i%et# u*' "*"$ c%i'e# ti !et' #e."*"%ci%+ " %e
cice3 .ut %t %ece"#i*$ te .et %e
Constant 1eta 8ortfolio.
Te ."e # te #e."*"%ci%+ ,#t*i ui%+ ti
"*te#%"tie i te t"#+et ,#t*i Bet" Oe# ti!e te "*ue te ,#t*i
c!,%e%t "%' tei# Bet" i** c"%+e "%' ti c"% c"ue te ,#t*i Bet" t it
F# ex"!,*e3 i te t"#+et ,#t*i Bet" i 1310 "%' it "' #ie% e# te !%it#e'
,e#i' ti!e t 13253 te ,#t*i Bet" cu*' .e .#u+t ."c t te t"#+et (1310) i%
te **i%+ "$
ut "''iti%"* !%e$ i%t te tc ,#t*i "%' *' c" i*uti%+ te
tc i% ,#t*i it te c" i** #e'uce ,#t*i Bet"3 .ec"ue c" "
Bet" 0 But i% ti c"e c" u*' .e %*$ " te!,#"#$ c!,%e%t i% te
,#t*i #"te# t"% " *%+-te#!?
ut "''iti%"* !%e$ i%t te tc ,#t*i "%' .u$ tc it " Bet"
*e# t"% te t"#+et Bet" i+u#e But te i%et# !"$ .e i %t ".*e t
i%et "''iti%"* !%e$ "%' ti "$ # #e."*"%ci%+ te ,#t*i c"% .e
c!,*ic"te'
Se** i+ Bet" tc i% ,#t*i "%' *' c" A it te i#t
"*te#%"tie3 ti "$ #e'uce te e=uit$ *'i%+ i% te i%et#
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Inde4ing.
Tee "*te#%"tie # #e."*"%ci%+ te ,#t*i "#e !#e #e=ue%t*$
ue' .$ i%tituti%"* i%et# (te% !utu"* u%')3 .ec"ue tei# ,#t*i te%' t .e
*"#+e "%' te t#"te+$ !"tci%+ " !"#et i%'ex "#e .et ",,*ic".*e # te!
M"%"+i%+ i%'ex ."e' ,#t*i i%et# (# ,#t*i !"%"+e#) e*i!i%"te c%ce#%
".ut ut,e##!i%+ te !"#et3 .ec"ue .$ 'ei+%3 it ee t .e"e /ut *ie te
!"#et "e#"+e I%et# "tte!,t t !"i%t"i% !e ,#e'ete#!i%e' c"#"cte#itic
te ,#t*i3 uc " Bet" 130 Te exte%t t ic uc " ,#t*i 'ei"te #!
it i%te%'e' .e"i# c"**e' t#"ci%+ e###
Reii%+ " ,#t*i i %t itut ct # "% i%'ii'u"* i%et# Tee
ct c"% .e 'i#ect ct t#"'i%+ ee "%' c!!ii% # te .#e# c"%
t#"'e ecu#itie % te exc"%+e it te 'ee*,i%+ "*te#%"tie t#"'i%+ $te!
(ATS) tee ct c"% .e 'ec#e"e' It i i!,#t"%t "*3 t"t te e**i%+ te ecu#itie
!"$ "e i%c!e t"x i!,*ic"ti% ic 'ie# #! cu%t#$ t cu%t#$
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Portfolio 8erforman6e measures
#t*i ,e##!"%ce e"*u"ti% i%*e 'ete#!i%i%+ ,e#i'ic"**$ te
,#t*i ,e##!e' i% te#! %t %*$ te #etu#% e"#%e'3 .ut "* te #i
ex,e#ie%ce' .$ te i%et# F# ,#t*i e"*u"ti% ",,#,#i"te !e"u#e #etu#%
"%' #i " e** " #e*e"%t t"%'"#' (# .e%c!"#D) "#e %ee'e'
I% +e%e#"*3 te !"#et "*ue " ,#t*i "t " ,i%t ti!e i 'ete#!i%e' .$
"''i%+ te !"#et "*ue "** te ecu#itie e*' "t t"t ,"#ticu*"# ti!e Te !"#et
"*ue te ,#t*i "t te e%' te ,e#i' i c"*cu*"te' i% te "!e "$3 %*$
ui%+ e%'--,e#i' ,#ice te ecu#itie e*' i% te ,#t*i
Te #etu#% % te ,#t*i (#,)
r8 @+e +9 ; +9
e#e He - .e+i%%i%+ "*ue te ,#t*i?
H. - e%'i%+ "*ue te ,#t*i
Te ee%ti"* i'e" .ei%' ,e##!"%ce e"*u"ti% i t c!,"#e te #etu#%
ic e#e .t"i%e' % ,#t*i it te #eu*t t"t cu*' .e .t"i%e' i !#eL
",,#,#i"te "*te#%"tie ,#t*i "' .ee% ce% # te i%et!e%t Suc
c!,"#i% ,#t*i "#e te% #ee##e' t " .e%c!"# ,#t*i I% e*ecti%+ te!
i%et# u*' .e ce#t"i% t"t te$ "#e #e*e"%t3 e"i.*e "%' %% i% "'"%ce Te
.e%c!"# u*' #e*ect te ./ectie te i%et#
Portfolio 1eta c"% .e ue' " "% i%'ic"ti% te "!u%t
!"#et #i t"t te ,#t*i "' 'u#i%+ te ti!e i%te#"* It c"% .e c!,"#e' 'i#ect*$
it te .et" te# ,#t*i
u c"%%t c!,"#e te ex ,t # te ex,ecte' "%' te ex,ecte' #etu#% t
,#t*i itut "'/uti%+ # #i T "'/ut te #etu#% # #i .e#e c!,"#i%
,e##!"%ce #i "'/ute' !e"u#e ,e##!"%ce c"% .e ue'
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S"#,ear8eFs ratio @G8– Gf ; H8
e#e , - te "e#"+e #etu#% # ,#t*i , 'u#i%+ !e ,e#i' ti!e?
- te "e#"+e #i-#ee #"te #etu#% 'u#i%+ te ,e#i'?
P, - t"%'"#' 'ei"ti% #etu#% # ,#t*i , 'u#i%+ te ,e#i'
Tre7norFs ratio "% exce "ctu"* #etu#% e# #i #ee #"te3 # #i
,#e!iu!3 .$ u%it $te!"tic #i3 !e"u#e' .$ Bet"
Tre7norFs ratio @G8 –Gf ; 8
e#e Q, Bet"3 !e"u#e $te!"tic #i # te ,#t*i ,
2ensenJs Al8>a exce "ctu"* #etu#% e# #e=ui#e' #etu#% "%' exce
"ctu"* #i ,#e!iu! e# #e=ui#e' #i ,#e!iu! Ti !e"u#e te ,#t*i
!"%"+e#
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T#e$%#
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C-NCUSI-N
I%et!e%t i " i%"%ci"* "ctiit$ t"t i%*e #i It i te c!!it!e%t u%' # " #etu#%
ex,ecte' t .e #e"*i@e' i% te utu#e I%et!e%t !"$ .e !"'e i% i%"%ci"* "et # ,$ic"*
"et I% eite# c"e te#e i te ,i.i*it$ t"t te "ctu"* #etu#% !"$ "#$ #! te ex,ecte'
#etu#% T"t ,i.i*it$ i te #i i%*e' i% te i%et!e%t Ri "%' Retu#% "#e te t
!t i!,#t"%t c"#"cte#itic "%$ i%et!e%t S"et$ "%' *i=ui'it$ "#e "* i!,#t"%t #
"% i%et# Te ./ectie "% i%et# i ,eciie' " !"xi!i@"ti% #etu#% "%'
!i%i!i@"ti% #i I%et!e%t i +e%e#"**$ 'iti%+uie' #! ,ecu*"ti% i% te#! t#ee
"ct#3 %"!e*$ #i3 c",it"* +"i% "%' ti!e ,e#i' G"!.*i%+ i te ext#e!e #!
,ecu*"ti% I%et# !"$ .e i%'ii'u"* # i%tituti% Bt t$,e i%et# c!.i%e t
!"e i%et!e%t "ctiit$ '$%"!ic "%' ,#it".*e Te i%et# i% te i%"%ci"* !"#et "e
'ie#e%t "ttitu'e t"#' #i "%' "#$i%+ *ee* #i .e"#i%+ c","cit$ S!e i%et# "#e
#i "e#e3 i*e !e !"$ "e "% "i%it$ t #i Te #i .e"#i%+ c","cit$ "% i%et#3
% te te# "%'3 i " u%cti% i i%c!e A ,e#% it i+e# i%c!e i "u!e' t"e " i+e# #i .e"#i%+ c","cit$ E"c i%et# t#ie t !"xi!i@e i e*"#e .$ ci%+
te ,ti!u! c!.i%"ti% #i "%' #etu#% i% "cc#'"%ce it i ,#ee#e%ce "%' c","cit$
Ate# te e#"** "** tu'$ ".ut e"c "%' ee#$ ",ect ti t,ic it t"t ,#t*i
!"%"+e!e%t i " '$%"!ic "%' *exi.*e c%ce,t ic i%*e #e+u*"# "%' $te!"tic
"%"*$i3 ,#,e# !"%"+e!e%t3 /u'+!e%t3 "%' "cti% "%' "* t"t te e#ice ic " %t
,,u*"# e"#*ie# " te# e#ice " .ec!e " .!i%+ ect# " % t'"$ "%' i $et t
+"i% !#e i!,#t"%ce "%' ,,u*"#it$ i% utu#e " ,e,*e "#e **$ "%' te"'i*$ c!i%+ t
% ".ut ti c%ce,t "%' it i!,#t"%ce
It "* e*, .t "% i%'ii'u"* te i%et# "%' FII t !"%"+e tei# ,#t*i .$ ex,e#t
,#t*i !"%"+e# It ,#tect te i%et#
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1I1I-3RAP/,
E1--BS REERRED0
! #""%%" C"%'#" Secu#it$ A%"*$i "%' #t*i M"%"+e!e%t
# HA A'"'"%i- Secu#it$ A%"*$i "%' #t*i M"%"+e!e%t
% H G"%+"'"#- Secu#it$ A%"*$i "%' #t*i M"%"+e!e%t
KE1 SITES0
1 i%et,e'i"c!
2 e=uit$!"te#c!
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