投資學(xué)英文版課件Ch 4 Risk and Portfolio Management

Maincontents:SourceofReturn

Sourceofrisk

TheMeasurementofriskRiskReductionthroughDiversification:anIllustrationPortfolioTheoryTheCapitalAssetPricingModelChapter5RiskandPortfolioManagement

Section1

SourcesofReturnMajorContentsThreetypesofreturnExpectedReturnexpressedasaprobabilitySourcesofreturninclude

IncomepluscapitalappreciationInterest,dividendThreetypesofreturnTheExpectedReturnTheRequiredReturnTheRealizedReturna)TheExpectedReturnTheexpectedreturnistheanticipatedflowofincomeand/orpriceappreciation.

TwosourcesofreturnincomePriceappreciationIt’stheincentiveforacceptingrisk.Theequationis:EquationAssetpriceisthebuyingpriceExpectedpriceappreciationisthepercentageofpricechangeExampleInvestorsBuyastockfor$10;Expecttoearnadividendof$0.60;Expecttosellitfor$12.Theexpectedreturnis:b)TheRequiredReturnRequiredreturnThereturnnecessarytoinducetheinvestortopurchaseanasset.Includingtwoparts:12Earnonalternativeinvestments(noriskreturn);Apremiumforbearingrisk;資本資產(chǎn)定價(jià)模型

資本資產(chǎn)定價(jià)模型按照CAPM的規(guī)定，Beta系數(shù)是用以度量一項(xiàng)資產(chǎn)系統(tǒng)風(fēng)險(xiǎn)的指針，是用來(lái)衡量一種證券或一個(gè)投資組合相對(duì)總體市場(chǎng)的波動(dòng)性（volatility）的一種風(fēng)險(xiǎn)評(píng)估工具。也就是說(shuō)，如果

一個(gè)股票的價(jià)格和市場(chǎng)的價(jià)格波動(dòng)性是一致的，那么這個(gè)股票的Beta值就是1。如果一個(gè)股票的Beta是1.5，就意味著當(dāng)市場(chǎng)上升10%時(shí)，該股票價(jià)格則上升15%；而市場(chǎng)下降10%時(shí)，股票的價(jià)格亦會(huì)下降15%如果一個(gè)股票的Beta值是2.0，無(wú)風(fēng)險(xiǎn)回報(bào)率是3%，市場(chǎng)回報(bào)率(MarketReturn)是7%，那么市場(chǎng)溢價(jià)(EquityMarketPremium)就是4%（7%-3%），股票風(fēng)險(xiǎn)溢價(jià)(RiskPremium)為8%（2X4%，用Beta值乘市場(chǎng)溢價(jià)），那么股票的預(yù)期回報(bào)率則為11%（8%+3%，即股票的風(fēng)險(xiǎn)溢價(jià)加上無(wú)風(fēng)險(xiǎn)回報(bào)率）c)TheRealizedReturnDefinitionThesumofincomeandcapitalgainsearnedonaninvestment.EquationExampleInvestorsBuysastockfor$10;Collects$0.60individends;Thestockappreciatesby20%;Therealizedreturnis:B.ExpectedReturnexpressedasaprobabilityProbabilityExpectedReturna)ProbabilityThelikelihoodofsomethingoccurringProbability100%Becertainthatsomethingwillhappen;sumThesumofalltheprobabilitiesofthepossibleoutcomesis100%.b)ExpectedReturncalculationThesumofeachoutcomemultipliedbytheprobabilityofoccurrence.Example1oftheexpectedvalueReturnProbability3%10%12%20%10%45%40%5%Sum=100%E(r)=10%×3%+45%×10%+40%×12%+5%×20%=10.6%Attention:Eachoftheexpectedreturnsisweightedbytheprobabilityofoccurrence.It’spossiblethatthereturncouldbeloworhigh,andtheirweightsarerelativelysmall.Theycontributeonlymodestlytotheresult.Theexpectedreturnisaweightedaverageinwhicheachoutcomeisweightedbytheprobabilityoftheoutcomeoccurring.Example2-expectedvalueReturnProbability3%10%12%20%20%35%40%5%E(r)=20%×3%+35%×10%+40%×12%+5%×20%=9.9%Attention:thegreaterweightisnowassignedtothelowestreturn,thelowerexpectedreturnyoucanget.10.6%9.9%c)Cumulativeprobability

Itincludesalltheprobabilitiesthatthereturnwillsatisfytherequirement.ExampleWhatistheprobabilitythatthereturnwillbeatleast10%?Answeris:45%+40%+5%=90%ReturnProbability3%10%12%20%10%45%40%5%Section2

SourcesofRiskRiskistheuncertaintyassociatedwithearningtheexpectedreturnPortfoliotheoryisconcernedwithriskandreturn.Itspurposeistodeterminethecombinationofriskandreturnthatallowsyoutoachievethehighestreturnforagivenlevelofrisk.Majorcontents12NondiversifiableRisk-systematicriskDiversifiableRisk-unsystematicriskTotalRisk-portfolioriskDefinitionDiversifiableriskTheriskassociatedwiththespecificassetandisreducedthroughtheconstructionofadiversifiedportfolio.NondiversifiableRiskTheriskassociatedwith(1)fluctuatingsecuritypricesingeneral(2)fluctuatinginterestrates(3)reinvestmentrates(4)thelossofpurchasingpowerthroughinflation(5)lossfromchangesinthevalueofexchangerates.Theyarenotaffectedbytheconstructionofadiversifiedportfolio.A.NondiversifiableRisk12345FluctuatingsecuritypricesingeneralFluctuatinginterestratesReinvestmentsratesThelossofpurchasingpowerThelossfromchangesinthevalueofexchangerates1-Fluctuatingsecuritypricesingeneral

Assetreturnstendtomovetogether.GeneralsecuritypricesAspecificsecurityGeneralsecuritypricesAspecificsecurity2-Fluctuatinginterestrates

Asystematicnegativerelationshipexistsbetweenthepricesoffixed-incomesecuritiesandchangesininterestrates.InterestratesPricesoffixed-incomesecurities

Thesamerelationshipexistsbetweencommonstockandinterestrates.reasonsFuturecashflowsfromcommonstocksarebeingdiscountedathigherrates,sotheirpresentvaluesarelower.Themovementfromstocktohigher-payingdebtinstrumentstendstodepressstockprices.SubstituteeffectDDM的總公式及評(píng)價(jià)公式特點(diǎn)：只包含股利這一個(gè)因素。DMM最重要的性質(zhì)：任意一期的預(yù)期收益率都等于市場(chǎng)資本報(bào)酬率k。3-ReinvestmentsratesWhenreinvestmentrateschange,theamountreceivedonthesereinvestedfundsalsochanges.

early1980s-relativelyhighinterestrates-highreinvestedyields2000s-lowestinterestrates—earnedlossonreinvestedfunds

2examples4-Thelossofpurchasingpower

Investorsmustalsoendurethelossofpurchasingpowerthroughinflation.

Risingpricesofgoods&servicesReducingpurchasingpowerDecliningincomeandassetvaluesInvestorsshouldearnareturnthatexceedstherateofinflation.5-Thelossfromchangesinthevalueofexchangerates

Ifinvestorsacquireforeigninvestments,theproceedsofthesaleoftheforeignassetmustbeconvertedfromtheforeigncurrencyintothedomesticcurrencybeforetheymaybespent.ValueofforeigncurrencyValueofforeigninvestment(inhomecurrency)DomesticinvestorgainsYoucanavoidexchange-rateriskbynotacquiringforeignassets.Otherrisks—politicalrisksB.DiversifiableRisk

SourcesofunsystematicriskBusinessriskFinancialrisk1-businessrisk

definitionThenatureofthefirm’soperations.e.g.forairlines—costoffuel,legalandregulatoryenvironment,capacityofplanes,seasonalchangesindemand…2-financialrisk

definitionHowthefirmfinancesitsassets.Whetherthefirmusesasubstantialormodestamountofdebtfinancing.(choicesamongissuingbonds,preferredstock,commonstock,leasing,borrowing…)Attention:Unsystematicriskappliestoallclassesofinvestments.Youcannotanticipatealltheeventsthatwillaffectaparticularfirmorgovernment.ExampleofamunicipalsecuritiesBusinessrisk:Thesafetyprotectionorordermaintenance;Financialrisk:Taxes(relyingonpropertytaxesorincometaxes);DecliningpropertyvaluesIncreasingunemploymentC.TotalRiskThecombinationofsystematicandunsystematicriskisdefinedasthetotalriskorportfoliorisk.Unsystematicriskmaybesignificantlyreducedthroughdiversification.Topurchasethesecuritiesoffirmsofdifferentindustries.

DiversificationDiversifiedindustriesDiversifiedassetsTwoproblemstobesolvedHowdoesdiversificationreducerisk?ItisillustratedinFigure3.1.Howmanysecuritiesarenecessarytoachieveadiversifiedportfoliothatreducesandalmosteliminatesunsystematicrisk?ItisillustratedinFigure3.2Figure6.1Themeasurementofriskandreturnfall--rise----fallrise-fall-riserise-fall-rise-fallFigure6.1StockA:fall-rise-fall;StockB:rise-fall-rise;StockC:rise-fall-rise-fall;Composite:Investorbuysanequaldollaramountofeachstock;Thefluctuationinthevalueoftheportfolioislessthanthoseofindividualsecurityprices;Reducetheriskofloss;Giveupthepossiblelargegains;Figure6.2Portfoliorisk:thesumofsystematicandunsystematicriskTotalRiskFigure6.2Twoaxis:Vertical—unitsofrisk;Horizontal—numberofsecurities;Twokindsofrisks:Systematic—LineABIndependentfromthenumberofsecuritiesintheportfolio;Paralleltothehorizontalaxis;Unsystematic—differencebetweenLineABandLineCDTheamountofunsystematicriskdependsonthenumberofsecuritiesheld;WherelineCDapproacheslineAB—asthenumberincreases,unsystematicriskdiminishes;Forportfoliosconsistingof10ormoresecurities,theriskinvolvedisprimarilysystematic.Total—sumofthetworisks—LineCDComparison

Choice-1

Choice-2Investing$20000in10stocks;Investing$20000in2stocks;Moreincommissions;Lessincommissions;Lessriskoflossinaspecificsecurity;highriskoflossinaspecificsecurity;Systematicrisk;Section3

theMeasurementofRisk---February,2013MajorContentsDispersionaroundaninvestment’sreturnStandarddeviationasameasureofrisk:OneAssetThemeasurementofriskplacesemphasison:Theextenttowhichthereturnvariesfromtheaveragereturn;Thevolatilityofreturnrelativetothereturnonthemarket;StandarddeviationA.Dispersionaroundaninvestment’sreturnOnemeasureofriskmeasuresthevariabilityordispersionaroundacentralvalue(e.g.anaverage);NotmuchdifferencebetweentheaverageandtheindividualobservationsSmalldispersionMuchdifferencebetweentheaverageandtheindividualobservationsLargedispersionThelargerthedispersion,thegreater

istheriskwhenthisconceptisappliedtoinvestments.ExampleonP87StockAStockB13.5%14.0%14.25%14.5%15.0%15.5%15.75%16.0%16.5%11.0%11.5%12.0%12.5%15.0%17.5%18.0%18.5%19.0%StockA:ThereturnsofstockAclusteraroundtheaveragereturn;Becausethereislessvariabilityinreturns,itisthelessriskyofthetwosecurities;Figure6.3Distributionofthereturnsof2stocksHigher&narrowerSmalldispersionSmallriskLower&widerLargerdispersionHighriskFigure6.3Twoaxes:Horizontal—returns;Vertical—frequencyoftheiroccurrence;StockA:Mostreturnsareclosetotheaveragereturn;Thefrequencydistributionishigherandnarrower;StockB:Agreaterdispersioninreturns;Thefrequencydistributionislowerandwider;B.Standarddeviationasameasureofrisk:OneAssetThedispersionaroundthemeanvalueismeasuredbythestandarddeviation.

Standarddeviationmeasuresthetendencyfortheindividualreturnstoclusteraroundtheaveragereturn;isameasureofthevariabilityofthereturn;

Thelargerthedispersion,

thegreaterthestandarddeviation,andthelargertheriskassociatedwiththeparticularsecurity.EquationforthecomputationThesquarerootofthesumofthesquareddifferencesbetweentheindividualobservation(rn)andtheaverage(r),dividedbythenumberofobservations(n)minus1.Exhibit3.1-historicalreturnsStockA:Thestandarddeviationis1.01;±1.01hasbeenshowntoencompass68%ofallobservations;Two-thirdsofthereturnsfallbetween13.99%-16.01%;StockB:Thestandarddeviationis3.30;Approximately68%ofthereturnsfallbetween11.7%-18.3%;Hasawiderdispersion