Teori Portofolio

Determinants of Portfolio
Policies
Objectives

Constraints

Return Requirements
Allocation
Risk Tolerance

Liquidity

Asset

Horizon

Diversification

Regulations

Risk Positioning

Taxes

Tax Positioning

Unique Needs
Generation

Policies

Income

Matrix of Objectives
Type of Investor
Tolerance

Return Requirement

Individual and
Personal Trusts

Life Cycle

Life Cycle

Mutual Funds

Variable

Variable

Pension Funds

Assumed actuarial rate

Depends on
payouts

Endowment Funds Determined by income

needs and asset growth
to conservative
maintain real value

Risk

Generally

Matrix of Objectives (contd)

Type of Investor
Tolerance

Return Requirement

Risk

Life Insurance

Spread over cost of

funds and actuarial rates

Conservative

Nonlife Ins. Co.

No minimum

Conservative

Banks

Interest Spread

Variable

Passive versus Active

Management
Passive
equity portfolio management
Long-term buy-and-hold strategy
Usually track an index over time
Designed to match market performance
Manager is judged on how well they track
the target index

Active equity portfolio management

Attempts to outperform a passive
benchmark portfolio on a risk-adjusted basis

An Overview of Passive
Equity Portfolio
Management Strategies

Replicate the performance of an index

May slightly underperform the target
index due to fees and commissions
Costs of active management (1 to 2
percent) are hard to overcome in riskadjusted performance
Many different market indexes are
used for tracking portfolios

An Overview of Active
Equity Portfolio
Management Strategies
Goal is to earn a portfolio return that
exceeds the return of a passive
benchmark portfolio, net of
transaction costs, on a risk-adjusted
basis
Practical difficulties of active manager
Transactions costs must be offset
Risk can exceed passive benchmark

Value versus Growth

Growth stocks will outperform value stocks for a time and then the
opposite occurs

Over time value stocks have offered somewhat higher returns than
growth stocks

Growth-oriented investor will:

focus on EPS and its economic determinants
look for companies expected to have rapid EPS growth
assumes constant P/E ratio

Value-oriented investor will:

focus on the price component
not care much about current earnings
assume the P/E ratio is below its natural level

Fundamental Stock
Analysis:
Models of Equity Valuation

Basic Types of Models

Balance Sheet Models

Dividend Discount Models
Price/Earning Ratios

Estimating Growth Rates and

Opportunities

Price Earnings Ratios

P/E Ratios are a function of two
factors
Required Rates of Return (k)
Expected growth in Dividends

Uses
Relative valuation
Extensive Use in industry

P/E Ratio
E1
P0
k
P0
1

E1
k
E1 - expected earnings for next year
E1 is equal to D1 under no growth

k - required rate of return