投資分析與組合管理英文版ppt課件完整版

1、Lecture Presentation Software to accompanyInvestment Analysis and Portfolio ManagementSeventh EditionChapter 1The Investment SettingQuestions to be answered:Why do individuals invest ?What is an investment ?How do we measure the rate of return on an investment ?How do investors measure risk related

2、to alternative investments ?Chapter 1The Investment SettingWhat factors contribute to the rates of return that investors require on alternative investments ?What macroeconomic and microeconomic factors contribute to changes in the required rate of return for individual investments and investments in

3、 general ?Why Do Individuals Invest ?By saving money (instead of spending it), individuals tradeoff present consumption for a larger future consumption.How Do We Measure The Rate Of Return On An Investment ?The pure rate of interest is the exchange rate between future consumption and present consump

4、tion. Market forces determine this rate. Peoples willingness to pay the difference for borrowing today and their desire to receive a surplus on their savings give rise to an interest rate referred to as the pure time value of money.How Do We Measure The Rate Of Return On An Investment ?If the future

5、 payment will be diminished in value because of inflation, then the investor will demand an interest rate higher than the pure time value of money to also cover the expected inflation expense. How Do We Measure The Rate Of Return On An Investment ?If the future payment from the investment is not cer

6、tain, the investor will demand an interest rate that exceeds the pure time value of money plus the inflation rate to provide a risk premium to cover the investment risk. How Do We Measure The Rate Of Return On An Investment ?Defining an InvestmentA current commitment of $ for a period of time in ord

7、er to derive future payments that will compensate for:the time the funds are committedthe expected rate of inflationuncertainty of future flow of funds.Measures of Historical Rates of ReturnHolding Period Return1.1Measures of Historical Rates of ReturnHolding Period YieldHPY = HPR - 11.10 - 1 = 0.10

8、 = 10%1.2Annual Holding Period ReturnAnnual HPR = HPR 1/nwhere n = number of years investment is heldAnnual Holding Period YieldAnnual HPY = Annual HPR - 1Measures of Historical Rates of ReturnMeasures of Historical Rates of ReturnArithmetic Mean1.4Measures of Historical Rates of ReturnGeometric Mea

9、n1.5A Portfolio of InvestmentsThe mean historical rate of return for a portfolio of investments is measured as the weighted average of the HPYs for the individual investments in the portfolio.Computation of HoldingPeriod Yield for a PortfolioExhibit 1.1Expected Rates of ReturnRisk is uncertainty tha

10、t an investment will earn its expected rate of returnProbability is the likelihood of an outcomeExpected Rates of Return1.6Risk AversionThe assumption that most investors will choose the least risky alternative, all else being equal and that they will not accept additional risk unless they are compe

11、nsated in the form of higher return Probability DistributionsRisk-free InvestmentExhibit 1.2 Probability DistributionsRisky Investment with 3 Possible ReturnsExhibit 1.3 Probability DistributionsRisky investment with ten possible rates of returnExhibit 1.4Measuring the Risk of Expected Rates of Retu

12、rn1.7Measuring the Risk of Expected Rates of ReturnStandard Deviation is the square root of the variance1.8Measuring the Risk of Expected Rates of ReturnCoefficient of variation (CV) a measure of relative variability that indicates risk per unit of return Standard Deviation of ReturnsExpected Rate o

13、f Returns1.9Measuring the Risk of Historical Rates of Returnvariance of the seriesholding period yield during period Iexpected value of the HPY that is equal to the arithmetic mean of the seriesthe number of observations1.10Determinants of Required Rates of ReturnTime value of moneyExpected rate of

14、inflationRisk involvedThe Real Risk Free Rate (RRFR)Assumes no inflation.Assumes no uncertainty about future cash flows.Influenced by time preference for consumption of income and investment opportunities in the economyAdjusting For InflationReal RFR = 1.12Nominal Risk-Free RateDependent uponConditi

15、ons in the Capital MarketsExpected Rate of InflationAdjusting For InflationNominal RFR = (1+Real RFR) x (1+Expected Rate of Inflation) - 11.11Facets of Fundamental RiskBusiness riskFinancial riskLiquidity riskExchange rate riskCountry riskBusiness RiskUncertainty of income flows caused by the nature

16、 of a firms business Sales volatility and operating leverage determine the level of business risk.Financial RiskUncertainty caused by the use of debt financing.Borrowing requires fixed payments which must be paid ahead of payments to stockholders.The use of debt increases uncertainty of stockholder

17、income and causes an increase in the stocks risk premium.Liquidity RiskUncertainty is introduced by the secondary market for an investment.How long will it take to convert an investment into cash?How certain is the price that will be received?Exchange Rate RiskUncertainty of return is introduced by

18、acquiring securities denominated in a currency different from that of the investor.Changes in exchange rates affect the investors return when converting an investment back into the “home” currency.Country RiskPolitical risk is the uncertainty of returns caused by the possibility of a major change in

19、 the political or economic environment in a country.Individuals who invest in countries that have unstable political-economic systems must include a country risk-premium when determining their required rate of returnRisk Premiumf (Business Risk, Financial Risk, Liquidity Risk, Exchange Rate Risk, Co

20、untry Risk)orf (Systematic Market Risk)Risk Premium and Portfolio TheoryThe relevant risk measure for an individual asset is its co-movement with the market portfolio Systematic risk relates the variance of the investment to the variance of the marketBeta measures this systematic risk of an assetFun

21、damental Risk versus Systematic RiskFundamental risk comprises business risk, financial risk, liquidity risk, exchange rate risk, and country riskSystematic risk refers to the portion of an individual assets total variance attributable to the variability of the total market portfolio Relationship Be

22、tweenRisk and ReturnExhibit 1.7(Expected)Changes in the Required Rate of Return Due to Movements Along the SMLExhibit 1.8Changes in the Slope of the SMLRPi = E(Ri) - NRFRwhere:RPi = risk premium for asset iE(Ri) = the expected return for asset iNRFR = the nominal return on a risk-free asset1.13Marke

23、t Portfolio RiskThe market risk premium for the market portfolio (contains all the risky assets in the market) can be computed:RPm = E(Rm)- NRFR where:RPm = risk premium on the market portfolioE(Rm) = expected return on the market portfolioNRFR = expected return on a risk-free asset1.14 Change in Ma

24、rket Risk PremiumExhibit 1.10NRFRExpected ReturnRmRmCapital Market Conditions, Expected Inflation, and the SMLExhibit 1.11NRFRNRFRExpected ReturnThe InternetInvestments Online/dept/fin/osudata.htmFuture TopicsChapter 2 The asset allocation decisionThe individual investor life cycleRisk tolerancePort

25、folio managementLecture Presentation Software to accompanyInvestment Analysis and Portfolio ManagementSeventh Editionby Frank K. Reilly & Keith C. BrownChapter 2Chapter 2The Asset Allocation DecisionQuestions to be answered:What is asset allocation?What are the four steps in the portfolio management

26、 process?What is the role of asset allocation in investment planning?Why is a policy statement important to the planning process?Chapter 2The Asset Allocation DecisionWhat objectives and constraints should be detailed in a policy statement?How and why do investment goals change over a persons lifeti

27、me and circumstances?Why do asset allocation strategies differ across national boundaries?Financial Plan PreliminariesInsuranceLife insuranceTerm life insurance - Provides death benefit only. Premium could change every renewal period Universal and variable life insurance provide cash value plus deat

28、h benefit Financial Plan PreliminariesInsuranceHealth insuranceDisability insuranceAutomobile insuranceHome/rental insuranceLiability insuranceFinancial Plan PreliminariesCash reserveTo meet emergency needsIncludes cash equivalents (liquid investments)Equal to six months living expenses recommended

29、by expertsIndividual InvestorLife CycleAccumulation phase early to middle years of working careerConsolidation phase past midpoint of careers. Earnings greater than expensesSpending/Gifting phase begins after retirementIndividual Investor Life CycleNet WorthAgeAccumulation PhaseLong-term: Retirement

30、 Childrens college Short-term: House CarConsolidation PhaseLong-term: RetirementShort-term:VacationsChildrens CollegeSpending Phase Gifting PhaseLong-term: Estate PlanningShort-term: Lifestyle Needs Gifts Exhibit 2.1Life Cycle Investment GoalsNear-term, high-priority goalsLong-term, high-priority go

31、alsLower-priority goalsThe Portfolio Management Process1. Policy statement - Focus: Investors short-term and long-term needs, familiarity with capital market history, and expectations2. Examine current and project financial, economic, political, and social conditions - Focus: Short-term and intermed

32、iate-term expected conditions to use in constructing a specific portfolio3. Implement the plan by constructing the portfolio - Focus: Meet the investors needs at the minimum risk levels4. Feedback loop: Monitor and update investor needs, environmental conditions, portfolio performanceExhibit 2.2The

33、Portfolio Management Process 1. Policy statementspecifies investment goals and acceptable risk levelsshould be reviewed periodicallyguides all investment decisionsThe Portfolio Management Process 2. Study current financial and economic conditions and forecast future trendsdetermine strategies to mee

34、t goalsrequires monitoring and updatingThe Portfolio Management Process 3. Construct the portfolioallocate available funds to minimize investors risks and meet investment goals The Portfolio Management Process 4. Monitor and updateevaluate portfolio performanceMonitor investors needs and market cond

35、itionsrevise policy statement as neededmodify investment strategy accordinglyThe Need For A Policy StatementHelps investors understand their own needs, objectives, and investment constraintsSets standards for evaluating portfolio performanceReduces the possibility of inappropriate behavior on the pa

36、rt of the portfolio manager Constructing A Policy StatementQuestions to be answered:What are the real risks of an adverse financial outcome, especially in the short run?What probable emotional reactions will I have to an adverse financial outcome?How knowledgeable am I about investments and the fina

37、ncial markets?Constructing A Policy StatementWhat other capital or income sources do I have? How important is this particular portfolio to my overall financial position?What, if any, legal restrictions may affect my investment needs?What, if any, unanticipated consequences of interim fluctuations in

38、 portfolio value might affect my investment policy?Investment ObjectivesRisk ToleranceAbsolute or relative percentage returnGeneral goalsInvestment ObjectivesGeneral GoalsCapital preservationminimize risk of real lossCapital appreciationGrowth of the portfolio in real terms to meet future needCurren

39、t incomeFocus is in generating income rather than capital gainsInvestment ObjectivesGeneral GoalsTotal returnIncrease portfolio value by capital gains and by reinvesting current incomeMaintain moderate risk exposureInvestment ConstraintsLiquidity needsVary between investors depending upon age, emplo

40、yment, tax status, etc.Time horizonInfluences liquidity needs and risk toleranceInvestment ConstraintsTax concernsCapital gains or losses taxed differently from incomeUnrealized capital gain reflect price appreciation of currently held assets that have not yet been soldRealized capital gain when the

41、 asset has been sold at a profitTrade-off between taxes and diversification tax consequences of selling company stock for diversification purposesInvestment ConstraintsTax concerns (continued)interest on municipal bonds exempt from federal income tax and from state of issueinterest on federal securi

42、ties exempt from state income taxcontributions to an IRA may qualify as deductible from taxable incometax deferral considerations - compoundingEquivalent Taxable YieldEffect of Tax Deferral on Investor Wealth over Time$1,000Investment ValueTime$10,062.66$5,365.91Exhibit 2.6Methods of Tax DeferralReg

43、ular IRA - tax deductibleTax on returns deferred until withdrawal Roth IRA - not tax deductibletax-free withdrawals possibleCash value life insurance funds accumulate tax-free until they are withdrawnTax Sheltered AnnuitiesEmployers 401(k) and 403(b) plans tax-deferred investmentsLegal and Regulator

44、y FactorsLimitations or penalties on withdrawalsFiduciary responsibilities - “prudent man” ruleInvestment laws prohibit insider tradingUnique Needs and PreferencesPersonal preferences such as socially conscious investments could influence investment choiceTime constraints or lack of expertise for ma

45、naging the portfolio may require professional managementLarge investment in employers stock may require consideration of diversification needs Institutional investors needsConstructing the Policy StatementObjectives - risk and returnConstraints - liquidity, time horizon, tax factors, legal and regul

46、atory constraints, and unique needs and preferencesDeveloping a plan depends on understanding the relationship between risk and return and the the importance of diversificationThe Importance of Asset AllocationAn investment strategy is based on four decisionsWhat asset classes to consider for invest

47、mentWhat normal or policy weights to assign to each eligible classDetermining the allowable allocation ranges based on policy weightsWhat specific securities to purchase for the portfolioThe Importance of Asset AllocationAccording to research studies, most (85% to 95%) of the overall investment retu

48、rn is due to the first two decisions, not the selection of individual investmentsReturns and Risk of Different Asset ClassesHistorically, small company stocks have generated the highest returns. But the volatility of returns have been the highest tooInflation and taxes have a major impact on returns

49、Returns on Treasury Bills have barely kept pace with inflationReturns and Risk of Different Asset ClassesMeasuring risk by probability of not meeting your investment return objective indicates risk of equities is small and that of T-bills is large because of their differences in expected returnsFocu

50、sing only on return variability as a measure of risk ignores reinvestment riskAsset Allocation SummaryPolicy statement determines types of assets to include in portfolioAsset allocation determines portfolio return more than stock selectionOver long time periods, sizable allocation to equity will imp

51、rove resultsRisk of a strategy depends on the investors goals and time horizonAsset Allocation and Cultural DifferencesSocial, political, and tax environments influence the asset allocation decisionEquity allocations of U.S. pension funds average 58%In the United Kingdom, equities make up 78% of ass

52、etsIn Germany, equity allocation averages 8%In Japan, equities are 37% of assetsSummaryIdentify investment needs, risk tolerance, and familiarity with capital marketsIdentify objectives and constraintsEnhance investment plans by accurate formulation of a policy statementFocus on asset allocation as

53、it determines long-term returns and riskThe InternetInvestments Online/planidx.html/home.htmlAppendix Objectives and Constraints of Institutional InvestorsMutual Funds pool investors funds and invests them in financial assets as per its investment objectivePension FundsReceive contributions from the

54、 firm, its employees, or both and invests those fundsDefined Benefit promise to pay retirees a specific income stream after retirementDefined Contribution do not promise a set of benefits. Employees retirement income is not an obligation of the firm Endowment FundsThey represent contributions made t

55、o charitable or educational institutions Insurance CompaniesLife Insurance Companiesearn rate in excess of actuarial rategrowing surplus if the spread is positivefiduciary principles limit the risk toleranceliquidity needs have increased tax rule changesInsurance CompaniesNonlife Insurance Companies

56、cash flows less predictablefiduciary responsibility to claimantsRisk exposure low to moderateliquidity concerns due to uncertain claim patternsregulation more permissiveBanksMust attract funds in a competitive interest rate environmentTry to maintain a positive difference between their cost of funds

57、 and their return on assetsNeed substantial liquidity to meet withdrawals and loan demandsFace regulatory constraintsFuture topicsChapter 3 Investment choicesIncluding global assets in asset allocation decisionsLecture Presentation Software to accompanyInvestment Analysis and Portfolio ManagementSev

58、enth Editionby Frank K. Reilly & Keith C. BrownChapter 3Chapter 3 - Selecting Investments in a Global MarketQuestions to be answered:Why should investors have a global perspective regarding their investments?Chapter 3 - Selecting Investments in a Global MarketQuestions to be answered:What has happen

59、ed to the relative size of U.S. and foreign stock and bond markets?Chapter 3 - Selecting Investments in a Global MarketQuestions to be answered:What are the differences in the rates of return on U.S. and foreign securities markets?Chapter 3 - Selecting Investments in a Global MarketQuestions to be a

60、nswered:How can changes in currency exchange rates affect the returns that U.S. investors experience on foreign securities?Chapter 3 - Selecting Investments in a Global MarketQuestions to be answered:Is there an additional advantage of diversifying in international markets beyond the benefits of dom