Managing investment portfolios: a dynamic process

iNSTiTuu FA INVESTMENT SERIES

MANAGING

PORTFOLIOS

A D Y N A M I C P R O C E S S

T H I R D E D I T I O N

f t

M i

Joh n L. Maginn. CFA /Donald L. Tuttle, CFA/ Je r a ld E. Pinto, CFA /Dennis W. McLeavey. CFA

Forewnrd by P E T E R L. B E R N S T E I N

MANAGING

INVESTMENT

PORTFOLIOS

A DYNAMIC PROCESS

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: is the premier association for investm ent professionals around the world,

)00 members in 129 countries. Since 1963 the organization has developed

■ed the renowned Chartered Financial Analyst® Program . W ith a rich history

investment profession, CFA Institute has set the highest standards in ethics,

professional excellence within the global investm ent community, and is the

irity on investment profession conduct and practice.

; in the CFA Institute Investment Series is geared tow ard industry practitioners

tduate-level finance students and covers the m ost im portant topics in the

luthors of these cutting-edge books are themselves industry professionals and

bring their wealth of knowledge and expertise to this series.

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MANAGING

INVESTMENT

PORTFOLIOS

A DYNAMIC PROCESS

Third Edition

John L. Maginn, CFA

Donald L. Tuttle, CFA

Dennis W. McLeavey, CFA

Jerald E. Pinto, CFA

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■ I C I N T I N N I A L

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CONTENTS

efa ce x v ii

k n o w le d g m e n t s xix

tr o d u c tio n xxi

IAPTER 1

rh e P ortfolio M anagem ent Process and the Investm ent

P olicy Statem ent 1

1 Introduction 1

2 Investment Management 2

3 The Portfolio Perspective 4

4 Portfolio M anagement as a Process 4

5 T he Portfolio Management Process Logic 5

5.1 The Planning Step 5

5.2 T he Execution Step 8

5.3 The Feedback Step 9

5.4 A Definition o f Portfolio Management 10

5 Investment Objectives and Constraints 1 1

6. 1 Objectives 11

6.2 Constraints 15

7 T he Dynamics o f the Process 17

3 T he Future o f Portfolio M anagement 18

) T he Ethical Responsibilities o f Portfolio Managers 18

[APTER 2

M anaging In d ivid u al Investor P ortfolios 20

I Introduction 20

! Case Study 21

2.1 The Inger Family 21

2.2 Inger Family Data 22

2.3 Jourda <’s ............ons 23

reword xiii

V

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Published by John W iley & Sons. Inc.. H oboken. N e w Jersey.

Published sim ultaneously in Canada.

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Lim it o f L iability/D isclaim er o f Warranty: W h ile the publisher and authors have used their best efforts in preparing

this book, they make n o representations or warranties w ith respect to the accuracy or co m p leten ess o f th e co n te n ts o f

this book and specifically disclaim any im plied warranties o f m erchantability or fitness for a particular p urpose. N o

warranty may be created or extended by sales representatives or w ritten sales m aterials. T h e advice and strategies

contained herein may not be suitable for your situation. You should con su lt w ith a professional w h ere appropriate.

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L ib ra ry o f Congress C atalo gin g-in -P u b licatio n D ata:

M anaging investm ent portfolios : a d ynam ic process/John L. M aginn . . . [et a l.].__3rd ed.

p. cm . — (C FA Institute investm ent senes)

IS B N -13: 9 ~ 8 -0 - 4 '0 - 0 8 0 1 4 -6 (cloth)

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1. Portfolio m anagem ent. I. M aginn. John L , 1940-

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CONTENTS

Preface xvii

A ck n o w led g m en ts xix

Introduction xxi

CHAPTER 1

The Portfolio Management Process and the Investment

Policy Statement 1

1 Introduction 1

2 Investment Management 2

3 The Portfolio Perspective 4

4 Portfolio Management as a Process 4

5 The Portfolio Management Process Logic 5

5.1 The Planning Step 5

5.2 The Execution Step 8

5.3 The Feedback Step 9

5.4 A Definition of Portfolio Management 10

6 Investment Objectives and Constraints 11

6.1 Objectives 11

6.2 Constraints 15

7 The Dynamics of the Process 17

8 The Future of Portfolio Management 18

9 The Ethical Responsibilities of Portfolio Managers 18

CHAPTER 2

M anaging Individual Investor Portfolios 20

1 Introduction 20

2 Case Study 21

2.1 The Inger Family 21

2.2 Inger Family Data 22

2.3 Jourdan s Findings and Personal Observations 23

Foreword xiii

v

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Published by John W iley & Sons. Inc.. H oboken. N e w Jersey.

Published sim ultaneously in Canada.

N o part o f this publication may be reproduced, stored in a retrieval system , or transm itted in an y form or by any

m eans, electronic, m cchanical. photocopying, recording, scanning, or otherw ise, except as p erm itted under Section

107 or 108 o f the 1976 U n ited States C opyright A ct, w ith ou t either the prior w ritten perm ission o f th e Publisher, or

authorization through paym ent o f the appropriate pcr-copy fee to the C op yrigh t C learance C enter. In c., 2 2 2

R osew ood D rive. Danvers. M A 0 1 9 2 3 . (9 7 8 ) 7 5 0 -8 4 0 0 , fax (9 7 8 ) 6 4 6 -8 6 0 0 , or o n the W eb at w w w .c o p y n g h t.c o m .

Requests to the Publisher for perm ission should be addressed to the Perm issions D epartm ent, John W iley & Sons,

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h ttp ://w w w .w ilcv.com /go/pcrm issions.

Lim it ot L iability/D isclaim er o f W arranty: W hile the publisher and authors have used their best efforts in preparing

this book, th ọ ' make no representations or warranties w ith rcspcct to the accuracy or co m p leten ess o f th e co n te n ts o f

this book and specifically disclaim anv im plied warranties o f m erchantability or fitness for a particular p urpose. N o

warranty may be created or extended by sales representatives or w ritten sales m aterials. T h e advice and strategics

contained herein m ay not be suitable for vour situation. You should con su lt w ith a professional w h ere appropriate.

N either the publisher nor authors shall be liable for any loss o f profit or any oth er com m ercial dam ages, in clu d in g

but not lim ited to special, incidental, consequential, or other dam ages.

For general inform ation on our other products and services or for technical support, please co n ta ct ou r C u stom er

Care D epartm ent w ithin the U n ited States at (800) 7 6 2 -2 9 7 4 , ou tside the U n ited States at (3 1 7 ) 5 7 2 -3 9 9 3 or fax

(3 1 7 ) 5 7 2 -4 0 0 2 .

w ẵ|ey also publishes its books in a variety o f electronic form ats. S om e co n te n t that appears in print m ay n ot be

available in electronic form ats. For m ore inform ation about 'Xrilev products, visit our site at WWW w iley co m .

L ib ra ry o f Congress C atalo gin g-in -P u b licatio n Data.:

M anaging investm ent portfolios : a dynam ic process/John L M aginn . . . [et al.J.__3rd cd.

p. cm . — (C FA Institute investm ent scries)

IS B N -13: 9 “'8 -0 -4 ^ 0 -0 8 0 1 4 -6 (d oth )

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1. Portfolio m anagem ent. I M aginn. John L . 1940-

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CONTENTS

Preface xvii

A ck n o w led g m en ts xix

Introduction xxi

CHAPTER 1

The Portfolio Management Process and the Investment

Policy Statement 1

1 Introduction I

2 Investment Management 2

3 The Portfolio Perspective 4

4 Portfolio Management as a Process 4

5 The Portfolio Management Process Logic 5

5.1 The Planning Step 5

5.2 The Execution Step 8

5.3 The Feedback Step 9

5.4 A Definition of Portfolio Management 10

6 Investment Objectives and Constraints 11

6.1 Objectives 11

6.2 Constraints 15

7 The Dynamics of the Process 17

8 The Future of Portfolio Management 18

9 The Ethical Responsibilities of Portfolio Managers 18

CHAPTER 2

Managing Individual Investor Portfolios 20

1 Introduction 20

2 Case Study 21

2.1 The Inger Family 21

2.2 Inger Family Data 22

2.3 Jourdan's Findings and Personal Observations 23

Foreword xiii

Số hóa bởi Trung tâm Học liệu – ĐH TN http://www.lrc-tnu.edu.vn

Published by John W iley & Sons, Inc.. H obok en , N ew Jersey.

Published sim ultaneously in Canada.

N o pan o f this publication may be reproduced, stored in a retrieval system , or transm itted in any form or by any

m eans, electronic, m echanic*]. photocopying, recording, scanning, or otherw ise, except as perm itxcd und er Section

107 or 108 o f the 1 976 U nited States C opyright A ct, w ith ou t either the prior w ritten perm ission o f th e Publisher, or

authorization through paym ent o f the appropriate per-copy fee to the C op yrigh t C learance C enter, In c., 2 2 2

Rosew ood Drive. Danvers, M A 0 1 9 2 3 , (9 7 8 ) 7 5 0 -8 4 0 0 , fax (9 7 8 ) 6 4 6 -8 6 0 0 , or o n the W eb at w w w .co p y rig h t.co m .

Requests to the Publisher for perm ission should be addressed to the Perm issions D epartm ent, John W iley & Sons,

i n c . . 111 River Street. H obok en . NJ 0 7 0 3 0 . (201) 7 4 8 -6 0 1 1 . fax (2 0 1 ) 7 4 8 -6 0 0 8 , or o n lin e at

h ttp ://w w w .w ilcy. com /go/perm issions.

Lim it o f L iability/D isclaim er o f Warranrv: W h ile the publisher and authors have used their best efforts in preparing

this book, they make no representations or warranties w ith respect to th e accuracy or co m p leten ess o f th e co n te n ts o f

this book and specifically disclaim any im plied warranties o f m erchantability or fitness for a particular purpose. N o

warranty may be created or extended by sales representatives or w ritten sales m aterials. T h e advice and strategies

contained herein may not be suitable for vour situation. Y ou should con su lt w ith a professional w here appropriate.

N either the publisher nor authors shall be liable for any loss o f profit or any oth er com m ercial dam ages, in clu d in g

but not lim ited to special, incidental, consequential, or other dam ages.

For general inform ation on our other products and services or for technical support, please co n ta ct ou r C u stom er

Care D epartm ent w ithin the U n ited States at (800) 7 6 2 -2 9 7 4 , ou tside the U n ited States at (3 1 7 ) 5 7 2 -3 9 9 3 or fax

(3 1 7 ) 5 7 2 -4 0 0 2 .

W iley also publishes Its books in a variety o f electronic form ats. S om e co n te n t that appears in print m av n ot be

available in electronic form ats. For m ore inform ation about ^x^ilcv products, visit our W eb site at WWW w ilev com

L ib ra ry o f Congress C atalo gin g-in -P u b licatio n D ata:

M anaging investm ent portfolios : a dynam ic process/John L. M aginn . . . [ct a l.].__3rd cd.

p. cm . — (C FA Institute investm ent series)

IS B N -13: 9 ^ 8 -0 -4 ^ 0 -0 8 0 1 4 -6 (d oth )

IS B N -10: 0 -4 -0 -0 8 0 1 4 -0 (d o th )

1. Portfolio m anagem ent. I. M aginn, John L , 1940-

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3 3 2 .6 — d c22

2006030342

Prim ed in the U n ited States o f A m erica

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