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Justifying Active Portfolio Management

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  • Two arguments can be used to justify active portfolio management for investors:
  1. Given that the mispricing of securities takes place from time to time (2007 would have been a great time to short U.S. mortgage backed securities), highly skilled active managers can exploit mispricings to generate excess returns.
  2. Even with a passive strategy, an allocation decision must be made between the risk free asset (such as government debt) and a portfolio comprised of risky assets.

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01
CFA Level 2: Portfolio Management – Introduction
02
Mean-Variance Analysis Assumptions
03
Expected Return and Variance for a Two Asset Portfolio
04
The Minimum Variance Frontier & Efficient Frontier
05
Diversification Benefits
06
The Capital Allocation Line – Introducing the Risk-free Asset
07
The Capital Market Line
08
CAPM & the SML
09
Adding an Asset to a Portfolio – Improving the Minimum Variance Frontier
10
The Market Model for a Security’s Returns
11
Adjusted and Unadjusted Beta
12
Multifactor Models
13
Arbitrage Portfolio Theory (APT) – A Multifactor Macroeconomic Model
14
Risk Factors and Tracking Portfolios
15
Markowitz, MPT, and Market Efficiency
16
International Capital Market Integration
17
Domestic CAPM and Extended CAPM
18
Changes in Real Exchange Rates
19
International CAPM (ICAPM) - Beyond Extended CAPM
20
Measuring Currency Exposure
21
Company Stock Value Responses to Changes in Real Exchange Rates
22
ICAPM vs. Domestic CAPM
23
The J-Curve – Impact of Exchange Rate Changes on National Economies
24
Moving Exchange Rates and Equity Markets
25
Impacts of Market Segmentation on ICAPM
26
Justifying Active Portfolio Management
27
The Treynor-Black Model
28
Portfolio Management Process
29
The Investor Policy Statement

Topics

Financial Markets
Portfolio Management

Related Groups

Finance Concepts