2013 硕士论文 Active Portfolio Management Portfolio Construction：IMPLEMENTING AN INVESTMENT STRATEGY  118页

Table of Contents
Abstract .......................................................................................................................................... 1
1. Introduction ................................................................................................................................ 4
1.1 Research Objectives ................................................................................................................................... 6
1.1.1 Superior Research Objective ................................................................................................................... 6
1.1.2 Subordinate Research Objectives ........................................................................................................... 6
1.2 Structure of Thesis...................................................................................................................................... 7
1.3 Methodology .............................................................................................................................................. 8
1.3.1 Financial Assets and Risk ......................................................................................................................... 8
1.3.2 Applied Theoretical Approach ............................................................................................................... 10
1.3.3 Interviews .............................................................................................................................................. 11
1.4 Assumptions and limitations .................................................................................................................... 12
1.4.1 Assumptions .......................................................................................................................................... 12
1.4.2 Limitations ............................................................................................................................................. 13
1.5 Data .......................................................................................................................................................... 14
1.5.1 Equity Sector Return Data ..................................................................................................................... 14
2.Investment Strategy ................................................................................................................... 18
2.1 Investment Strategy as the Source of Portfolio Performance ................................................................. 18
2.2 Strategic Asset Allocation ......................................................................................................................... 19
2.2.1 Discussing Empirical Findings and Brinson et.al. ................................................................................... 21
2.3 Tactical Asset Allocation ........................................................................................................................... 23
2.4 Professional Views upon Asset Allocation ............................................................................................... 24
2.5 Benchmark and Investment Opportunities .............................................................................................. 25
2.5.1 Benchmark............................................................................................................................................. 26
2.5.2 Investment Opportunities ..................................................................................................................... 27
2.6 Crafting the Investment Strategy ............................................................................................................. 30
3.Active Portfolio Management ..................................................................................................... 33
3.1 Defining Active Portfolio Management .................................................................................................... 33
3.2 Performance Measure and Portfolio Added Value .................................................................................. 34
3.2.1 Information Ratio .................................................................................................................................. 34
3.2.2 Portfolio Value Added ........................................................................................................................... 35
4.Risk and Return in Active Portfolio Management ........................................................................ 38
4.1 Expected Return in Active Portfolio Management .................................................................................. 38
4.1.1 Asset Pricing in an Active Setting .......................................................................................................... 38
4.2 Risk Management ..................................................................................................................................... 46
4.2.1 Investor Utility ....................................................................................................................................... 47
4.2.2 Professional Views upon Risk and Risk Management ........................................................................... 47
4.2.3 Risk Management and Risk Factors ....................................................................................................... 48
4.2.4 Financial Risk ......................................................................................................................................... 49
5.Portfolio Construction ................................................................................................................ 51
5.1 Objective of Portfolio Construction ......................................................................................................... 51
5.2 Choice of Portfolio Model ........................................................................................................................ 51
5.3 Mean-Variance Application in an Active Setting ...................................................................................... 52
5.3.1 The Model ............................................................................................................................................. 53
5.3.2 Model Short-Comings ............................................................................................................................ 55
5.3.3 Portfolio Repositioning and Transaction Costs ..................................................................................... 60
5.4 Model Performance ................................................................................................................................. 63
5.4.1 Sector Distribution ................................................................................................................................ 63
6.Performance Evaluation of the Investment Strategy ................................................................... 67
6.1 Return-Based Performance Analysis ........................................................................................................ 67
6.1.1 Cross-Sectional Comparison .................................................................................................................. 67
6.1.2 Market Timing ....................................................................................................................................... 69
6.2 Analysis of Value Added ........................................................................................................................... 71
7.Conclusion ................................................................................................................................. 75
8.References ................................................................................................................................. 78
9.Appendix Overview .................................................................................................................... 81
Appendix 1: Glossary ...................................................................................................................................... 82
Appendix 2: Sector Market Value and Correlation Matrix of Sector Return ................................................. 86
Appendix 3: Interview Guide .......................................................................................................................... 87
Appendix 4: Active Return and Testing for Return Stationarity..................................................................... 89
Appendix 5: Expected Residual Return .......................................................................................................... 95
Appendix 6: Portfolio Positions of Investment Opportunities ....................................................................... 97