Manajemen Investasi 13
Manajemen Investasi
(Pertemuan Ketigabelas)
“Manajemen Portofolio”
Disampaikan oleh:
Overview
• Model Treynor-Black
– Optimisasi dengan menggunakan analisis atas
peramalan (forecast) kinerja portofolio
– Menyesuaikan model berdasarkan tracking error
– Menyesuaikan model berdasarkan forecast error
• Model Black-Litterman
hasil
Konstruksi dan Properti Portofolio Berisiko
Optimal
Stock Prices and Analysts’ Target Prices for
June 1, 2006
Rates of Return on the S&P 500 (GSPC) and the Six
Stocks,
June 2005 – May 2006
The Optimal Risky Portfolio with the
Analysts’ New Forecasts
The Optimal Risky Portfolio with Constraint
on the Active Portfolio (WA < 1)
Reduced Efficiency when Benchmark is
Lowered
The Optimal Risky Portfolio with the Analysts’
New Forecasts (benchmark risk constrained to
3.85%)
Penyesuaian Forecast Untuk Presisi Alpha
• Seberapa akurat model forecast yang
diciptakan?
• Bagaimana
kita
menyesuaikan
posisi
mengatasi masalah pada forecast?
telah
untuk
– Menghitung ketidakpastian dengan melihat catatan forecast
dari forecast sebelumnya yang telah dilakukan oleh analis
lain
– Alpha yang telah disesuaikan:
(T ) a0 a1 (T )
f
Histogram of the Alpha Forecast
Organizational Chart for Portfolio
Management
Langkah-langkah pada model BlackLitterman
• Langkah
historis
• Langkah
• Langkah
manajer
• Langkah
direvisi
• Langkah
1: Estimasi matriks kovarian dari data
2: Tentukan baseline forecast
3: Integrasikan pandangan pribadi dari
4:
Kembangkan
ekspektasi
5: Tentukan optimisasi portofolio
yang
telah
Sensitivity of Black-Litterman Portfolio
Performance to Confidence Level (view is correct)
Sensitivity of Black-Litterman Portfolio
Performance to Confidence Level (view is
false)
The BL Model as Icing on the TB Cake
• Suppose that you have two portfolios—one for the US
and one for Europe
– The model would be run as two separate divisions
– Each division would compile values of alpha relative to their
own passive portfolio
– Relative performance of the two markets can be expected to
add information to the independent macro forecasts for the
two economies
– Portfolios need to be optimized separately
Value of Active Management
• Model for estimation of potential fees
– Kane, Marcus, and Trippi derive an annuitized value of
portfolio performance measured as a percent of funds under
management
– The percentage fee that investors would be willing to pay for
active services can be related to the difference between the
square of the portfolio Sharpe ratio and that of the passive
portfolio
– Source of the power of the active portfolio is the additive
value of the squared information ratios
M-Square for the Portfolio, Actual Forecasts
M-Square of Simulated Portfolios
Concluding Remarks
• The gap between theory and practice has been
narrowing in recent years
• The CFA is expanding knowledge base in the industry
• Specific lack of application of the Treynor-Black model
may be related to lack of application of adjusting for
analysts’ errors
(Pertemuan Ketigabelas)
“Manajemen Portofolio”
Disampaikan oleh:
Overview
• Model Treynor-Black
– Optimisasi dengan menggunakan analisis atas
peramalan (forecast) kinerja portofolio
– Menyesuaikan model berdasarkan tracking error
– Menyesuaikan model berdasarkan forecast error
• Model Black-Litterman
hasil
Konstruksi dan Properti Portofolio Berisiko
Optimal
Stock Prices and Analysts’ Target Prices for
June 1, 2006
Rates of Return on the S&P 500 (GSPC) and the Six
Stocks,
June 2005 – May 2006
The Optimal Risky Portfolio with the
Analysts’ New Forecasts
The Optimal Risky Portfolio with Constraint
on the Active Portfolio (WA < 1)
Reduced Efficiency when Benchmark is
Lowered
The Optimal Risky Portfolio with the Analysts’
New Forecasts (benchmark risk constrained to
3.85%)
Penyesuaian Forecast Untuk Presisi Alpha
• Seberapa akurat model forecast yang
diciptakan?
• Bagaimana
kita
menyesuaikan
posisi
mengatasi masalah pada forecast?
telah
untuk
– Menghitung ketidakpastian dengan melihat catatan forecast
dari forecast sebelumnya yang telah dilakukan oleh analis
lain
– Alpha yang telah disesuaikan:
(T ) a0 a1 (T )
f
Histogram of the Alpha Forecast
Organizational Chart for Portfolio
Management
Langkah-langkah pada model BlackLitterman
• Langkah
historis
• Langkah
• Langkah
manajer
• Langkah
direvisi
• Langkah
1: Estimasi matriks kovarian dari data
2: Tentukan baseline forecast
3: Integrasikan pandangan pribadi dari
4:
Kembangkan
ekspektasi
5: Tentukan optimisasi portofolio
yang
telah
Sensitivity of Black-Litterman Portfolio
Performance to Confidence Level (view is correct)
Sensitivity of Black-Litterman Portfolio
Performance to Confidence Level (view is
false)
The BL Model as Icing on the TB Cake
• Suppose that you have two portfolios—one for the US
and one for Europe
– The model would be run as two separate divisions
– Each division would compile values of alpha relative to their
own passive portfolio
– Relative performance of the two markets can be expected to
add information to the independent macro forecasts for the
two economies
– Portfolios need to be optimized separately
Value of Active Management
• Model for estimation of potential fees
– Kane, Marcus, and Trippi derive an annuitized value of
portfolio performance measured as a percent of funds under
management
– The percentage fee that investors would be willing to pay for
active services can be related to the difference between the
square of the portfolio Sharpe ratio and that of the passive
portfolio
– Source of the power of the active portfolio is the additive
value of the squared information ratios
M-Square for the Portfolio, Actual Forecasts
M-Square of Simulated Portfolios
Concluding Remarks
• The gap between theory and practice has been
narrowing in recent years
• The CFA is expanding knowledge base in the industry
• Specific lack of application of the Treynor-Black model
may be related to lack of application of adjusting for
analysts’ errors