Scribd Logo
Upload

Welcome to Scribd!

  • 41 views

    Treynor-Black Model Presentation - Group 09

    Uploaded by

    UNNATI SHUKLA
    The Treynor-Black model is an investment portfolio optimization model that seeks to maximize a portfolio's Sharpe Ratio by combining an actively managed portfolio of mispriced securities with a passive market index fund. It aims to maximize returns by carefully selecting assets, control risk through diversification, and optimize the risk-return tradeoff. The model's key assumptions are that markets are efficient, the risk-free rate is constant, and there are no taxes or transaction costs. It is used by individual investors, hedge fund managers, financial advisors, and mutual fund managers to evaluate performance, conduct risk budgeting, and make allocation decisions aligned with investment objectives.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd

    Treynor-Black Model Presentation - Group 09

    Uploaded by

    UNNATI SHUKLA
    41 views15 pages
    The Treynor-Black model is an investment portfolio optimization model that seeks to maximize a portfolio's Sharpe Ratio by combining an actively managed portfolio of mispriced securities with a passive market index fund. It aims to maximize returns by carefully selecting assets, control risk through diversification, and optimize the risk-return tradeoff. The model's key assumptions are that markets are efficient, the risk-free rate is constant, and there are no taxes or transaction costs. It is used by individual investors, hedge fund managers, financial advisors, and mutual fund managers to evaluate performance, conduct risk budgeting, and make allocation decisions aligned with investment objectives.

    Original Title

    Treynor-Black Model Presentation_Group 09

    Copyright

    © © All Rights Reserved

    Available Formats

    PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    The Treynor-Black model is an investment portfolio optimization model that seeks to maximize a portfolio's Sharpe Ratio by combining an actively managed portfolio of mispriced securities with a passive market index fund. It aims to maximize returns by carefully selecting assets, control risk through diversification, and optimize the risk-return tradeoff. The model's key assumptions are that markets are efficient, the risk-free rate is constant, and there are no taxes or transaction costs. It is used by individual investors, hedge fund managers, financial advisors, and mutual fund managers to evaluate performance, conduct risk budgeting, and make allocation decisions aligned with investment objectives.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    41 views15 pages

    Treynor-Black Model Presentation - Group 09

    Uploaded by

    UNNATI SHUKLA
    The Treynor-Black model is an investment portfolio optimization model that seeks to maximize a portfolio's Sharpe Ratio by combining an actively managed portfolio of mispriced securities with a passive market index fund. It aims to maximize returns by carefully selecting assets, control risk through diversification, and optimize the risk-return tradeoff. The model's key assumptions are that markets are efficient, the risk-free rate is constant, and there are no taxes or transaction costs. It is used by individual investors, hedge fund managers, financial advisors, and mutual fund managers to evaluate performance, conduct risk budgeting, and make allocation decisions aligned with investment objectives.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 15

    Treynor-Black Model

    Investment Analysis and Portfolio Management

    Presented By:-
    Admin Group -09
    C041 - Trisha Agrawal
    C042 - Unnati Shukla
    C043 - Vanshika Gupta
    C044 - Vidhi Hura
    C045 - Vishu
    Introduction to the Treynor-Black
    Model

    Objectives and Assumptions of the


    Model

    Importance and Users of the Model

    Alternatives to the Model

    Steps and Illsutrations

    Advantages and Disadvantages of

    Presentation Overview the Model

    Future Trends and Conclusion


    INTRODUCTION
    The Treynor-Black model is a portfolio optimization model that
    seeks to maximize a portfolio's Sharpe Ratio by combining an
    actively managed portfolio built with a few mispriced securities
    and a passively managed market index fund.
    MAXIMIZING PORTFOLIO RETURNS
    1 By carefully selecting the appropriate mix
    of assets

    CONTROLLING PORTFOLIO RISK


    2 By selecting assets in a way that spreads the
    risk across different investments.

    OPTIMIZING THE RISK-RETURN TRADEOFF


    3
    By helping investors find the mix of assets that provides the maximum
    return for a given level of risk

    CONSIDERING DIVERSIFICATION
    4
    By diversifying investments across different securities, it aims to
    reduce unsystematic risk while retaining exposure to systematic risk

    Objectives 5 ADAPTING TO CHANGING MARKET CONDITIONS


    Through adaptability the portfolio’s alignment with the investor's
    goals and the prevailing market is ensured
    KEY ASSUMPTIONS
    Of the Treynor-Black Model

    Investor Markets are Constant Risk- Investment No Taxes or


    Rationality Efficient Free Rate Horizon Transaction Costs
    Individual Investor

    USERS OF THE
    TREYNOR-BLACK MODEL
    Hedge Fund Financial
    Manager Advisor

    Mutual Fund Manager


    IMPORTANCE OF THE
    TREYNOR- BLACK MODEL
    Portfolio Performance Evaluation Risk Budgeting

    Risk-Adjusted Performance Performance Attribution

    Allocation Decisions Alignment with Investment


    Objectives
    ALTERNATIVES TO THE TREYNOR- BLACK MODEL

    Carhart Four-Factor Fama-French Three- Barra risk Black-Litterman Mean-Variance


    Model Factor Model Model Model Model
    STEPS

    1 2 3 4 5

    Stock Selection Calculating Provide weights Maximize Evaluate


    Alpha and Beta Sharpe Ratio
    ADVANTAGES OF TB MODEL

    Easy to implement
    Monetary Independence
    Requires less quantitative information
    Decentralized decision making
    Stability
    DISADVANTAGES OF TB MODEL

    Reliance on alpha prediction


    Data requirements.
    Security analyst performance is continuously evaluated.
    Hard to pick stocks accurately, limited traction
    Future trends
    Advanced Analytics and Data

    Sustainable Investing

    Risk Management

    Regulatory Changes

    Factor-Based Investing
    Learning Outcome
    Optimization model
    Systematic risk
    Data Utilization
    Global Perspective
    Treynor-Black model is a valuable
    tool for investors and portfolio
    managers who are looking to
    maximize the Sharpe ratio of their
    portfolios. It is a simple and
    effective model that can be used
    to construct portfolios that are
    tailored to individual investors'
    needs.
    Thank You

    You might also like