Manajemen Investasi
(Pertemuan Ketigabelas)
“Manajemen Portofolio”
Overview
•
Model Treynor-Black
– Optimisasi dengan menggunakan analisis atas hasil
peramalan (forecast) kinerja portofolio
– Menyesuaikan model berdasarkan tracking error – Menyesuaikan model berdasarkan forecast error
Rates of Return on the S&P 500 (GSPC) and the Six
Stocks,
Penyesuaian Forecast Untuk Presisi Alpha
•
Seberapa akurat model forecast yang telah
diciptakan?
•
Bagaimana
kita
menyesuaikan
posisi
untuk
mengatasi masalah pada forecast?
– Menghitung ketidakpastian dengan melihat catatan forecast
dari forecast sebelumnya yang telah dilakukan oleh analis lain
– Alpha yang telah disesuaikan:
0
1
( )
T
a
a
f
( )
T
Langkah-langkah pada model
Black-Litterman
•
Langkah 1: Estimasi matriks kovarian dari data
historis
•
Langkah 2: Tentukan
baseline forecast
•
Langkah 3: Integrasikan pandangan pribadi dari
manajer
•
Langkah 4: Kembangkan ekspektasi yang telah
direvisi
Sensitivity of Black-Litterman Portfolio
Sensitivity of Black-Litterman Portfolio
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
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
