Portfolio Management in Practice (eBook)

Christine Brentani (Autor)

eBook Download: PDF

2003 | 1. Auflage
240 Seiten
Elsevier Science (Verlag)
978-0-08-048008-4 (ISBN)

Infos

As individuals are becoming more and more responsible for ensuring their own financial future, portfolio or fund management has taken on an increasingly important role in banks' ranges of offerings to their clients. In addition, as interest rates have come down and the stock market has gone up and come down again, clients have a choice of leaving their saving in deposit accounts, or putting those savings in unit trusts or investment portfolios which invest in equities and/or bonds. Individuals are becoming aware that they might need to top up government pension allocations. Likewise, corporations who run employee pension schemes have to ensure that they are able to cover their current and future liabilities. Investing in unit trusts or mutual funds is one way for individuals and corporations alike to potentially enhance the returns on their savings.

Introduction to Portfolio Management covers the:
*Theoretical underpinnings of portfolio management
*Basics of portfolio construction
*Constraints to be considered when building a client portfolio
*Types of analysis used for asset allocation and stock selection
*Main types of funds available to investors

*Inspired from the basic entry level training courses that have been developed by major international banks worldwide.
*Will enable MSc Finance students, MBA students and those already in the finance profession to gain an understanding of the basic information and principles underlying the topic under discussion
*Questions with answers, study topics, practical real world examples and text with an extensive bibliography and references ensure learning outcomes can be immediately applied

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As individuals are becoming more and more responsible for ensuring their own financial future, portfolio or fund management has taken on an increasingly important role in banks' ranges of offerings to their clients. In addition, as interest rates have come down and the stock market has gone up and come down again, clients have a choice of leaving their saving in deposit accounts, or putting those savings in unit trusts or investment portfolios which invest in equities and/or bonds. Individuals are becoming aware that they might need to top up government pension allocations. Likewise, corporations who run employee pension schemes have to ensure that they are able to cover their current and future liabilities. Investing in unit trusts or mutual funds is one way for individuals and corporations alike to potentially enhance the returns on their savings.Introduction to Portfolio Management covers the:*Theoretical underpinnings of portfolio management*Basics of portfolio construction*Constraints to be considered when building a client portfolio*Types of analysis used for asset allocation and stock selection*Main types of funds available to investors*Inspired from the basic entry level training courses that have been developed by major international banks worldwide.*Will enable MSc Finance students, MBA students and those already in the finance profession to gain an understanding of the basic information and principles underlying the topic under discussion*Questions with answers, study topics, practical "e;real world"e; examples and text with an extensive bibliography and references ensure learning outcomes can be immediately applied

Inhalt

Cover 1
Contents 7
Preface 9
Introduction 11
1 Managing portfolios 13
Constraints 14
Resources 14
Tax status 14
Liquidity needs 15
Time horizons 15
Special situations 15
Types of investors 16
Retail investors 16
Institutional investors 17
Banks 18
Insurance companies 19
Pension funds 20
Fund management companies 21
Investment vehicles 21
Unit trusts 22
Investment trusts 23
Open-ended investment companies 24
Quiz: Chapter 1 25
2 Portfolio theory 27
Risk and risk aversion 27
Indifference curves 29
Utility scores 31
Portfolio diversification 32
Covariance and correlation 32
Unsystematic and systematic risk 34
The efficient frontier 35
The capital market line 37
The capital asset pricing model 38
The security market line 39
Beta coefficient 40
Quiz: Chapter 2 43
3 Measuring returns 45
Calculating returns 45
Total return or money return 46
Money-weighted returns 47
Time-weighted returns 48
Performance evaluation 50
Performance attribution 50
Risk- adjusted portfolio performance measures 54
The Sharpe measure 54
The Treynor measure 55
The Jensen measure 55
Other measures 57
Decomposing risk-adjusted returns 58
Quiz: Chapter 3 64
4 Indices 67
Importance of indices 67
Price- weighted indices 69
Arithmetic indices 69
Re-basing indices 70
Other considerations 71
Geometric indices 72
Market- value- weighted indices 73
Laspeyre index 74
Paasche index 75
Comparison of the Laspeyre and Paasche indices 75
Major stock indices 77
Quiz: Chapter 4 78
5 Bond portfolio management 80
Bond calculations 80
Compound interest 80
Bond yields 81
Annuity valuation 82
Bond valuation 83
Duration 84
Calculating duration 86
Modified duration and convexity 87
Portfolio duration 89
Immunizing a portfolio 89
Problems with immunization 89
Cash flow matching and dedication 90
Horizon analysis and riding the yield curve 91
Bond portfolio performance measurement 91
Quiz: Chapter 5 93
6 Portfolio construction 96
Building a portfolio 96
Types of assets 98
Cash and cash instruments 98
Bonds 99
Equities 100
Derivatives 100
Property 102
Overseas assets 103
Passive versus active management 103
Passive fund management 103
Active fund management 105
Asset allocation 107
Asset allocation - techniques 108
Asset allocation in practice 109
Stock selection 110
Valuation techniques 110
Optimization 112
Quiz: Chapter 6 114
7 Types of analysis 116
Fundamental analysis 116
Macro-economic considerations 116
Government policy 120
The business cycle 121
A practical look at macro-economic data 122
Industry life cycle 124
Example of model for analysis 125
Sources of risk for equity 126
Technical analysis 129
Dow theory 130
Moving averages 131
Relative strength 131
Market breadth indicators 132
Sentiment indicators 133
Charts 135
Summary 137
Quiz: Chapter 7 138
8 Valuation methodologies - shares 140
Dividend discount model 141
Constant dividend growth rate model 141
Constant perpetual growth model 143
Estimating sustainable growth rates 144
The two- stage dividend growth model 146
Estimating the discount rate or cost of equity capital 149
Free cash flow approach 150
Price ratio analysis 152
Price to earnings ratio 152
Price to sales ratio 154
Price to book ratio 154
Price to cash flow ratio 155
Calculating expected future share prices using price ratios 156
Quiz: Chapter 8 158
9 Financial statement analysis and financial ratios 161
The income statement 162
The balance sheet 164
The cash flow statement 166
Ratio analysis 168
Liquidity ratios 168
Profitability ratios 168
Leverage ratios 169
Other ratios 170
Earnings per share 170
Examples 171
Quiz: Chapter 9 174
10 Types of funds explained 176
Tracker funds 176
Exchange traded funds 178
Active fund management styles 180
Alternative investments 183
Hedge funds 183
Private equity 187
Corporate governance 189
Quiz: Chapter 10 191
Answers to quizzes 193
Chapter 1 Managing portfolios 193
Chapter 2 Portfolio theory 193
Chapter 3 Measuring returns 195
Chapter 4 Indices 198
Chapter 5 Bond portfolio management 200
Chapter 6 Portfolio construction 201
Chapter 7 Types of analysis 202
Chapter 8 Valuation methodologies - shares 202
Chapter 9 Financial statement analysis and financial ratios 205
Chapter 10 Types of funds explained 207
Glossary 208
Bibliography 220
Index 223

Produkt-Details

• Erscheint lt. Verlag: 5.12.2003
• Sprache: englisch
• Themenwelt: Sachbuch/Ratgeber ► Beruf / Finanzen / Recht / Wirtschaft ► Geld / Bank / Börse
• Themenwelt: Recht / Steuern ► Wirtschaftsrecht
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Themenwelt: Betriebswirtschaft / Management ► Spezielle Betriebswirtschaftslehre ► Bankbetriebslehre
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Unternehmensführung / Management
• ISBN-10: 0-08-048008-X / 008048008X
• ISBN-13: 978-0-08-048008-4 / 9780080480084