投资组合理论成功应用的5个关键(英文)课件

Five Essential Keys to Successful Portfolio ManagementStuart HarrisThe Dept of Decision Sciences&Modelling DAAG Conference -May 2001 -Houston,TX投资组合理论成功应用的5个关键(英文)课件qOverview of Portfolio ManagementqThe Five Keys1.Corporate Buy-in2.Risk Management3.Revenue Stream4.Efficiency of Investment5.ProfitqSummaryContentsOverview of Portfolio ManagemeOverview of Portfolio ManagementOverview of Portfolio ManagemOverviewBASIC CRITICAL POINTSThe R&D portfolio is the future of the company.To manage it is to distribute scarce resources across a set of projects as well as across a set of project strategies.Priorities must be established and difficult choices must be made.OverviewBASIC CRITICAL POINTSMANAGEMENT REQUIRMENTSBecause of surprises,good management means flexibility.Of critical importance is that senior management understand the principles,the objectives,and the knowledge to make correct choices.OverviewMANAGEMENT REQUIRMENTSOverviewTHE GOALThe ultimate aim is to create value and to do it over time.If a pharmaceutical does it well,then it will be successful.The optimal portfolio is one which(1)maximises expected value today and into the future,(2)addresses risk(attrition),and(3)optimally distributes resources.OverviewTHE GOALOverviewThe Five Essential KeysThe Five Essential KeysThe Five Essential KeysSELECTION CRITERIATo qualify as a key,each factor had to meet the following criteria:It had to relate to all R&D projects,not just a subset.Corporate management could elect not to pursue the factor.If the company didnt do it(by accident or by design),it would not be successful?The Five Essential KeysSELECTIKey#1-Corporate Buy-inThis means that both management at all levels and project team members understand and are willing to follow the principles of Portfolio Management.This is key for two simple reasons.Key#1-Corporate Buy-inThis Key#1-Corporate Buy-inManagement -The Decision Making Process is the 1st Step in Achieving Goals and Objectives.Making correct portfolio choices,project strategies,resource allocations,and timings are the responsibility of Corporate Management.Decision makers must understand the nature of decision making under uncertainty as well as the quantitative measures that lead to success.Key#1-Corporate Buy-inManagKey#1-Corporate Buy-inProject Teams -The Best Decision Requires the Best Information AvailableInformation is data that is put in a form that allows goals and objectives to be pursued.Providing correct project data is the responsibility of project team members and no one else.These individuals represent expert knowledge which is the best information available to decision makers.Key#1-Corporate Buy-inProjeKey#1-Corporate Buy-inWithout corporate buy-in,Portfolio Management does not exist.As an alternative,one may ask oneself,“Do I feel lucky?!”Dirty HarryKey#1-Corporate Buy-inWithoKey#2-Risk ManagementThe need to manage risk appears obvious,but(1)it is not always done and(2)when it is done,it is not always done correctly.We will consider:1.What happens when risk is not assessed or used.2.Why some do not want to assess or use risk.3.What are right and wrong ways in which to use it.Key#2-Risk ManagementThe neKey#2-Risk Management1.What happens when risk is not assessed or used.ValueBlockbusterPotentialProbability of SuccessValueWorthNothingKey#2-Risk Management1.WhaKey#2-Risk ManagementThe typical explanation as to why risk is not assessed is,“Its too inaccurate to be of any use.”2.Why some do not want to assess or use risk.DEADLYCLEANDEADLYCLEANRisk is actually uncertainty and uncertainty is actually confidence.The word inaccurate is not even relevant as it is actually a distribution of outcomes for which an expert has some,a lot,or no confidence.Key#2-Risk ManagementThe tyKey#2-Risk ManagementWRONGTwo important factors for determining the worth of a drug are the quality of the science and the commercial value.Both are of equal weight as both are critical for success.AR Pharma(a very large pharmaceutical)has decided to use a 0-10 rating for each factor then add the scores.Projects will be prioritized based on their index out of a possible 20.3.What are right and wrong ways in which to use risk?Project A -Science is avg.Score is 5.Comm is avg.Score is 5.Index 10Project B -Science is bad.Score is 0.Comm is good.Score is 10.Index 10Key#2-Risk ManagementWRONG3Key#2-Risk ManagementWhat are right and wrong ways in which to use risk?SAFETYEFFICACY50%50%50%50%$1b$250mProject ASAFETYEFFICACY1%99%1%9%$10b$1mProject BRIGHTKey#2-Risk ManagementWhat aKey#3-Revenue StreamBlockbusters are nice,but they are far and in between.Operating capital is required to sustain any business into the future.Small projects are the bread&butter of a pharmaceutical.If strict adherence is paid to selecting the highest valued opportunity,then a pharmaceutical has to ask itself if it will still be around to reap those benefits in the future.Key#3-Revenue StreamBlockbuKey#4-Efficiency of InvestmentEfficiency is simply a rate of return.That is,its an index.If you have one dollar to invest and you are trying to maximize your return,then put it in the project with the greatest ROI.If you dont do it,your stockholders will and youll soon find yourself out of business.But ROI is NOT value.What does it mean to the manager of an R&D Portfolio?Key#4-Efficiency of InvestmKey#4-Efficiency of InvestmentAn efficiency index such as ROI or PRODUCTIVITY,can used to pack as much value into a limited space as is possible.When selecting projects to pursue from a large number,order them by an efficiency measure,then stop when you run out of money.Youll create your highest valued portfolio.(One caveat is that you can improve total value a bit by using a special mathematical method called integer programming.)Key#4-Efficiency of InvestmKey#4-Efficiency of InvestmentOther scarce resources such as chemists,drug substance,manufacturing capacity,and time are subject to the same principles of distribution.Put them into the greatest efficiency projects first!(If the problem is too complex,remember that integer programming was developed for just such problems.)Key#4-Efficiency of InvestmKey#5-ProfitAny business in any universe must make a profit,other-wise value is destroyed.Value destruction falls into the same class asA vacuum(which nature abhors),Black holes(from which nothing escapes)andThe second law of thermodynamics(a one-way street from which one does not return).Conclusion:Portfolio management must clearly create value.All else is nice,but not necessary.Key#5-ProfitAny business inSummarySummaryCorporate Buy-inRisk ManagementProductivityProject CProject IProject BProject FProject HProject GProject EProject DProject JProject ALikelihood of R&D SuccessNet Present ValueYearsRisk Adjusted Net SalesProject IProject BProject FProject GProject EProject JProject ARisk Adjusted CostsRisk Adjusted NPVValue OptimisationBest Use of Resources?Optimal Growth?Optimal Project Plan?Optimal Regional Portfolio?Optimal Therapeutic portfolio?Corporate Buy-inRisk ManagemenProbability(%)Gold StdValue()Project CProject IProject BProject FProject HProject GProject EProject DProject JProject ALikelihood of R&D SuccessNet Present ValueRisk DistributionRisk ManagementProbability(%)Gold StdValue(Project IYearsRisk Adjusted Net SalesControl Cash FlowRevenue Stream and EfficiencyProj IProj BProj FProj GProj EProj JProj ARisk Adjusted CostsRisk Adjusted NPVUse Efficiency MeasuresProject IYearsRisk Adjusted NeProject CProject IProject BProject FProject HProject GProject EProject DProject JProject ALikelihood of R&D SuccessNet Present ValueRisk-Adjusted NPVProfitSAFETYEFFICACYPRESENTATIONValue in s%of OccurrenceCommercial EnvironmentProject CProject IProject BProIn SummaryIn SummaryThe Portfolio represents the future of a company.Success is determined by value creation today and in the future.In the face of uncertainty,the use of expected(risk-adjusted)values tips the odds of winning in favor of decision makers.The best portfolio is that which efficiently distributes resources and maximizes productivity.In SummaryThe Portfolio repres