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MINI CASE: John & Marsha on Portfolio Selection 財碩一甲 財管理論與策略 指導老師 陳曉蓉 MA380201 陳譽丰.

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Presentation on theme: "MINI CASE: John & Marsha on Portfolio Selection 財碩一甲 財管理論與策略 指導老師 陳曉蓉 MA380201 陳譽丰."— Presentation transcript:

1 MINI CASE: John & Marsha on Portfolio Selection 財碩一甲 財管理論與策略 指導老師 陳曉蓉 MA 陳譽丰

2 MINI CASE 概述 Marsha---futures-market trader John---manages a $125 million common- stock portfolio for a large pension fund(closet indexer) John’s portfolio returns always seem to track the S&P 500 market index, the correlation between his returns and market returns is over 90%

3 HERE’S THE TRICK Take your benchmark, the S&P 500, as security 1. (what you would end up with as an indexer) Then consider a few securities you really now something about (Pioneer could be security 2,Global could be security 3 ) Maximize the Sharpe ratio= [E(Rp) - Rf]/ σ p E(Rp) :投資組合預期報酬率 Rf :無風險利率 σ p :投資組合的標準差

4 MINI CASE 概述 Pioneer Gypsum Global Mining Expected return11.0%12.9% Standard deviation 32%24% Beta Stock price$87.50$105.00

5 Question 1 a) Calculate the expected return, risk premium, and standard deviation of a portfolio invested partly in the market and partly in Pioneer. b) Does adding Pioneer to the market benchmark improve the Sharpe ratio? c) How much should John invest in Pioneer and how much in the market?

6 ANSWER 1 Market return=12.5% Market risk premium=7.5% Risk-free=5% Market standard deviation=16% Sharpe ratio=[E(Rp) - Rf]/ σ p E(Rp) :投資組合預期報酬率 Rf :無風險利率 σ p :投資組合的標準差

7 ANSWER 1 MarketPioneer Market0.1664=(0.16)(0.32)(0.325) Pioneer0.1664

8 Example

9 Excel

10 Question 1 a) Calculate the expected return, risk premium, and standard deviation of a portfolio invested partly in the market and partly in Pioneer. b) Does adding Pioneer to the market benchmark improve the Sharpe ratio? c) How much should John invest in Pioneer and how much in the market?

11 Question 2 a) Repeat the analysis for Global Mining. b) What should John do in this case? c) Assume that Global accounts for 0.75% of the S&P 500 index. (Assume a market standard deviation of 16%)

12 ANSWER 2

13 Example

14 Excel

15 為什麼要賣掉 Global ?

16 Question 2 a) Repeat the analysis for Global Mining. b) What should John do in this case? c) Assume that Global accounts for 0.75% of the S&P 500 index. (Assume a market standard deviation of 16%)

17 專有名詞 Closet-index fund ( 秘密指數基金 or 櫥櫃指數基金 ) 指收益和指數高度相關,即相關係數很 高的主動型股票基金 MPT-modern portfolio theory 現代投資組合理論 投資者如何衡量不同的投資風險及合理 組合自己的資金以取得最大收益


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