微信扫一扫
实时资讯全掌握
McMorris Asset Management (MCAM) is an investment adviser based in Atlanta, Georgia. Tom Morris manages the active equity portfolios. Dan McKeen manages the semiactive equity portfolios and the semiactive derivatives portfolios. They are preparing to meet with Maggie Smith, the chief investment officer of Philaburgh Capital, who is considering hiring MCAM to replace one of its current managers.At the meeting, Morris and McKeen discuss with Smith MCAM’s investment approaches and present her with the risk and return characteristics detailed in Exhibit 1. Smith asks if MCAM’s active equity strategy is long only. McKeen responds that MCAM uses marketneutral long-short strategies for several reasons. He indicates that long-short strategies: Reason 1: Enhance portfolio performance by increasing the beta. Reason 2: Generate alpha by identifying undervalued or overvalued securities. Reason 3: Benefit from events that give rise to price changes, which are more prevalent on the short side than the long side.Smith considers each approach listed in Exhibit 1 but is uncertain as to an optimal investment strategy. She makes the following comments about market efficiency: Comment 1: A firm’s stock price does not reflect all publically available company information, and good research can uncover sound investment opportunities. Comment 2: Our mandate is for managers to limit volatility around the benchmark return while providing incremental returns which exceed management costs.Smith states, “In order to ensure investment discipline, Philaburgh uses two methods to evaluate an investment manager’s style.” She then reviews the current characteristics of MCAM’s active equity approach as presented in Exhibit 2. Smith then selects three benchmarks—value, blend, and growth—in addition to the normal benchmark to assess the manager’s style, as presented in Exhibit 3. Smith indicates that Philaburgh’s performance measurement is compliant with the Global Investment Performance Standards. In considering investment performance, Morris identifies three risks that may prevent MCAM’s active equity approach from generating incremental returns: Risk 1: Misjudging that a stock’s earnings multiple will not contract. Risk 2: Incorrectly estimating a stock’s earnings per share growth vs. consensus expectation. Risk 3: Misjudging whether a stock’s undervaluation will correct within the investor’s investment horizon.Smith concludes by telling Morris that she is impressed by MCAM’s track record in adding alpha in the U.S. stock market. However, she believes that the European equity markets are likely to outperform the U.S. equity markets over the next five years. She asks whether MCAM can structure a portfolio to capture both opportunities. Morris offers to combine his long-short active equity strategy with a Euro Stoxx 50 index strategy. |
暂无解析 |