投资分析与组合管理英文版.pptx

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 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 general?Why Do Individuals Invest?Bysavingmoney(insteadofspendingit),individualstradeoffpresentconsumptionforalargerfutureconsumption.How Do We Measure The Rate Of Return On An Investment?Thepurerateofinterestistheexchangeratebetweenfutureconsumptionandpresentconsumption.Marketforcesdeterminethisrate.Peopleswillingnesstopaythedifferenceforborrowingtodayandtheirdesiretoreceiveasurplusontheirsavingsgiverisetoaninterestratereferredtoasthepuretimevalueofmoney.How Do We Measure The Rate Of Return On An Investment?Ifthefuturepaymentwillbediminishedinvaluebecauseofinflation,thentheinvestorwilldemandaninterestratehigherthanthepuretimevalueofmoneytoalsocovertheexpectedinflationexpense.How Do We Measure The Rate Of Return On An Investment?Ifthefuturepaymentfromtheinvestmentisnotcertain,theinvestorwilldemandaninterestratethatexceedsthepuretimevalueofmoneyplustheinflationratetoprovideariskpremiumtocovertheinvestmentrisk.How Do We Measure The Rate Of Return On An Investment?Defining an InvestmentAcurrentcommitmentof$foraperiodoftimeinordertoderivefuturepaymentsthatwillcompensatefor:the time the funds are committedthe expected rate of inflationuncertainty of future flow of funds.MeasuresofHistoricalRatesofReturnHoldingPeriodReturn1.1MeasuresofHistoricalRatesofReturnHoldingPeriodYieldHPY=HPR-11.10-1=0.10=10%1.2AnnualHoldingPeriodReturnAnnualHPR=HPR1/nwheren=numberofyearsinvestmentisheldAnnualHoldingPeriodYieldAnnualHPY=AnnualHPR-1MeasuresofHistoricalRatesofReturnMeasuresofHistoricalRatesofReturnArithmeticMean1.4MeasuresofHistoricalRatesofReturnGeometricMean1.5APortfolioofInvestmentsThemeanhistoricalrateofreturnfor a portfolio of investments ismeasuredastheweightedaverageof the HPYs for the individualinvestmentsintheportfolio.ComputationofHoldingPeriodYieldforaPortfolioExhibit 1.1ExpectedRatesofReturnRiskisuncertaintythataninvestmentwillearnitsexpectedrateofreturnProbabilityisthelikelihoodofanoutcomeExpectedRatesofReturn1.6RiskAversionTheassumptionthatmostinvestorswillchoosetheleastriskyalternative,allelsebeingequalandthattheywillnotacceptadditionalriskunlesstheyarecompensatedintheformofhigherreturnProbabilityDistributionsRisk-freeInvestmentExhibit 1.2ProbabilityDistributionsRiskyInvestmentwith3PossibleReturnsExhibit 1.3ProbabilityDistributionsRisky investment with ten possible rates of returnExhibit 1.4MeasuringtheRiskofExpectedRatesofReturn1.7MeasuringtheRiskofExpectedRatesofReturnStandardDeviationisthesquarerootofthevariance1.8MeasuringtheRiskofExpectedRatesofReturnCoefficientofvariation(CV)ameasureofrelativevariabilitythatindicatesriskperunitofreturnStandard Deviation of ReturnsExpected Rate of Returns1.9MeasuringtheRiskofHistoricalRatesofReturnvarianceoftheseriesholdingperiodyieldduringperiodIexpectedvalueoftheHPYthatisequaltothearithmeticmeanoftheseriesthenumberofobservations1.10DeterminantsofRequiredRatesofReturnTimevalueofmoneyExpectedrateofinflationRiskinvolvedTheRealRiskFreeRate(RRFR)Assumesnoinflation.Assumesnouncertaintyaboutfuturecashflows.InfluencedbytimepreferenceforconsumptionofincomeandinvestmentopportunitiesintheeconomyAdjustingForInflationReal RFR=1.12NominalRisk-FreeRateDependentuponConditionsintheCapitalMarketsExpectedRateofInflationAdjustingForInflationNominal RFR=(1+RealRFR)x(1+ExpectedRateofInflation)-11.11FacetsofFundamentalRiskBusinessriskFinancialriskLiquidityriskExchangerateriskCountryriskBusinessRiskUncertaintyofincomeflowscausedbythenatureofafirmsbusinessSalesvolatilityandoperatingleveragedeterminethelevelofbusinessrisk.FinancialRiskUncertaintycausedbytheuseofdebtfinancing.Borrowingrequiresfixedpaymentswhichmustbepaidaheadofpaymentstostockholders.Theuseofdebtincreasesuncertaintyofstockholderincomeandcausesanincreaseinthestocksriskpremium.LiquidityRiskUncertaintyisintroducedbythesecondarymarketforaninvestment.Howlongwillittaketoconvertaninvestmentintocash?Howcertainisthepricethatwillbereceived?ExchangeRateRiskUncertaintyofreturnisintroducedbyacquiringsecuritiesdenominatedinacurrencydifferentfromthatoftheinvestor.Changesinexchangeratesaffecttheinvestorsreturnwhenconvertinganinvestmentbackintothe“home”currency.CountryRiskPoliticalriskistheuncertaintyofreturnscausedbythepossibilityofamajorchangeinthepoliticaloreconomicenvironmentinacountry.Individualswhoinvestincountriesthathaveunstablepolitical-economicsystemsmustincludeacountryrisk-premiumwhendeterminingtheirrequiredrateofreturnRiskPremiumf(BusinessRisk,FinancialRisk,LiquidityRisk,ExchangeRateRisk,CountryRisk)orf(SystematicMarketRisk)RiskPremiumandPortfolioTheoryTherelevantriskmeasureforanindividualassetisitsco-movementwiththemarketportfolioSystematicriskrelatesthevarianceoftheinvestmenttothevarianceofthemarketBetameasuresthissystematicriskofanassetFundamentalRiskversusSystematicRiskFundamentalriskcomprisesbusinessrisk,financialrisk,liquidityrisk,exchangeraterisk,andcountryriskSystematicriskreferstotheportionofanindividualassetstotalvarianceattributabletothevariabilityofthetotalmarketportfolioRelationshipBetweenRiskandReturnExhibit 1.7(Expected)ChangesintheRequiredRateofReturnDuetoMovementsAlongtheSMLExhibit 1.8ChangesintheSlopeoftheSMLRPi=E(Ri)-NRFRwhere:RPi=riskpremiumforassetiE(Ri)=theexpectedreturnforasset iNRFR=thenominalreturnonarisk-freeasset1.13MarketPortfolioRiskThemarketriskpremiumforthemarketportfolio(containsalltheriskyassetsinthemarket)canbecomputed:RPm=E(Rm)-NRFRwhere:RPm=riskpremiumonthemarketportfolioE(Rm)=expectedreturnonthemarketportfolioNRFR=expectedreturnonarisk-freeasset1.14ChangeinMarketRiskPremiumExhibit 1.10NRFRExpected ReturnRmRmCapitalMarketConditions,ExpectedInflation,andtheSMLExhibit 1.11NRFRNRFRExpected ReturnTheInternetInvestments Owww.cob.ohio-state.edu/dept/fin/FutureTopicsChapter2TheassetallocationdecisionTheindividualinvestorlifecycleRisktolerancePortfoliomanagementLecture 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 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 lifetime and circumstances?Why do asset allocation strategies differ across national boundaries?Financial Plan PreliminariesInsuranceLifeinsuranceTermlifeinsurance-Providesdeathbenefitonly.PremiumcouldchangeeveryrenewalperiodUniversalandvariablelifeinsuranceprovidecashvalueplusdeathbenefitFinancial Plan PreliminariesInsuranceHealthinsuranceDisabilityinsuranceAutomobileinsuranceHome/rentalinsuranceLiabilityinsuranceFinancial Plan PreliminariesCashreserveTomeetemergencyneedsIncludescashequivalents(liquidinvestments)EqualtosixmonthslivingexpensesrecommendedbyexpertsIndividual InvestorLife CycleAccumulationphaseearlytomiddleyearsofworkingcareerConsolidationphasepastmidpointofcareers.EarningsgreaterthanexpensesSpending/GiftingphasebeginsafterretirementIndividual Investor Life CycleNet WorthAgeAccumulation PhaseLong-term:Retirement 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-prioritygoalsLong-term,high-prioritygoalsLower-prioritygoalsThe Portfolio Management Process1.Policystatement-Focus:Investorsshort-termandlong-termneeds,familiaritywithcapitalmarkethistory,andexpectations2.Examinecurrentandprojectfinancial,economic,political,andsocialconditions-Focus:Short-termandintermediate-termexpectedconditionstouseinconstructingaspecificportfolio3.Implementtheplanbyconstructingtheportfolio-Focus:Meettheinvestorsneedsattheminimumrisklevels4.Feedbackloop:Monitorandupdateinvestorneeds,environmentalconditions,portfolioperformanceExhibit 2.2The Portfolio Management Process1.PolicystatementspecifiesinvestmentgoalsandacceptablerisklevelsshouldbereviewedperiodicallyguidesallinvestmentdecisionsThe Portfolio Management Process2.StudycurrentfinancialandeconomicconditionsandforecastfuturetrendsdeterminestrategiestomeetgoalsrequiresmonitoringandupdatingThe Portfolio Management Process3.ConstructtheportfolioallocateavailablefundstominimizeinvestorsrisksandmeetinvestmentgoalsThe Portfolio Management Process4.MonitorandupdateevaluateportfolioperformanceMonitorinvestorsneedsandmarketconditionsrevisepolicystatementasneededmodifyinvestmentstrategyaccordinglyThe Need For A Policy StatementHelps investors understand their ownneeds,objectives,andinvestmentconstraintsSetsstandardsforevaluatingportfolioperformanceReducesthepossibilityofinappropriatebehavioronthepartoftheportfoliomanagerConstructing A Policy StatementQuestions to be answered:Whataretherealrisksofanadversefinancialoutcome,especiallyintheshortrun?WhatprobableemotionalreactionswillIhavetoanadversefinancialoutcome?HowknowledgeableamIaboutinvestmentsandthefinancialmarkets?Constructing A Policy StatementWhatothercapitalorincomesourcesdoIhave?Howimportantisthisparticularportfoliotomyoverallfinancialposition?What,ifany,legalrestrictionsmayaffectmyinvestmentneeds?What,ifany,unanticipatedconsequencesofinterimfluctuationsinportfoliovaluemightaffectmyinvestmentpolicy?Investment ObjectivesRiskToleranceAbsoluteorrelativepercentagereturnGeneralgoalsInvestment ObjectivesGeneral GoalsCapitalpreservationminimizeriskofreallossCapitalappreciationGrowthoftheportfolioinrealtermstomeetfutureneedCurrentincomeFocusisingeneratingincomeratherthancapitalgainsInvestment ObjectivesGeneral GoalsTotalreturnIncreaseportfoliovaluebycapitalgainsandbyreinvestingcurrentincomeMaintainmoderateriskexposureInvestment ConstraintsLiquidityneedsVarybetweeninvestorsdependinguponage,employment,taxstatus,etc.TimehorizonInfluencesliquidityneedsandrisktoleranceInvestment ConstraintsTax concernsCapitalgainsorlossestaxeddifferentlyfromincomeUnrealizedcapitalgainreflectpriceappreciationofcurrentlyheldassetsthathavenotyetbeensoldRealizedcapitalgainwhentheassethasbeensoldataprofitTrade-offbetweentaxesanddiversificationtaxconsequencesofsellingcompanystockfordiversificationpurposesInvestment ConstraintsTaxconcerns(continued)interestonmunicipalbondsexemptfromfederalincometaxandfromstateofissueinterestonfederalsecuritiesexemptfromstateincometaxcontributionstoanIRAmayqualifyasdeductiblefromtaxableincometaxdeferralconsiderations-compoundingEquivalent Taxable YieldEffect of Tax Deferral on Investor Wealth over Time$1,000Investment ValueTime$10,062.66$5,365.91Exhibit 2.6Methods of Tax DeferralRegularIRA-taxdeductibleTaxonreturnsdeferreduntilwithdrawalRothIRA-nottaxdeductibletax-freewithdrawalspossibleCashvaluelifeinsurancefundsaccumulatetax-freeuntiltheyarewithdrawnTaxShelteredAnnuitiesEmployers401(k)and403(b)planstax-deferredinvestmentsLegal and Regulatory FactorsLimitationsorpenaltiesonwithdrawalsFiduciaryresponsibilities-“prudentman”ruleInvestmentlawsprohibitinsidertradingUnique Needs and PreferencesPersonalpreferencessuchassociallyconsciousinvestmentscouldinfluenceinvestmentchoiceTimeconstraintsorlackofexpertiseformanagingtheportfoliomayrequireprofessionalmanagementLargeinvestmentinemployersstockmayrequireconsiderationofdiversificationneedsInstitutionalinvestorsneedsConstructing the Policy StatementObjectives-riskandreturnConstraints-liquidity,timehorizon,taxfactors,legalandregulatoryconstraints,anduniqueneedsandpreferencesDevelopingaplandependsonunderstandingtherelationshipbetweenriskandreturnandthetheimportanceofdiversificationThe Importance of Asset AllocationAninvestmentstrategyisbasedonfourdecisionsWhatassetclassestoconsiderforinvestmentWhatnormalorpolicyweightstoassigntoeacheligibleclassDeterminingtheallowableallocationrangesbasedonpolicyweightsWhatspecificsecuritiestopurchasefortheportfolioThe Importance of Asset AllocationAccordingtoresearchstudies,most(85%to95%)oftheoverallinvestmentreturnisduetothefirsttwodecisions,nottheselectionofindividualinvestmentsReturns and Risk of Different Asset ClassesHistorically,smallcompanystockshavegeneratedthehighestreturns.ButthevolatilityofreturnshavebeenthehighesttooInflationandtaxeshaveamajorimpactonreturnsReturnsonTreasuryBillshavebarelykeptpacewithinflationReturns and Risk of Different Asset ClassesMeasuringriskbyprobabilityofnotmeetingyourinvestmentreturnobjectiveindicatesriskofequitiesissmallandthatofT-billsislargebecauseoftheirdifferencesinexpectedreturnsFocusingonlyonreturnvariabilityasameasureofriskignoresreinvestmentriskAsset Allocation SummaryPolicystatementdeterminestypesofassetstoincludeinportfolioAssetallocationdeterminesportfolioreturnmorethanstockselectionOverlongtimeperiods,sizableallocationtoequitywillimproveresultsRiskofastrategydependsontheinvestorsgoalsandtimehorizonAsset Allocation and Cultural DifferencesSocial,political,andtaxenvironmentsinfluencetheassetallocationdecisionEquityallocationsofU.S.pensionfundsaverage58%IntheUnitedKingdom,equitiesmakeup78%ofassetsInGermany,equityallocationaverages8%InJapan,equitiesare37%ofassetsSummaryIdentifyinvestmentneeds,risktolerance,andfamiliaritywithcapitalmarketsIdentifyobjectivesandconstraintsEnhanceinvestmentplansbyaccurateformulationofapolicystatementFocusonassetallocationasitdetermineslong-termreturnsandriskTheInternetInvestments O and Constraints of Institutional InvestorsMutual Fundspoolinvestorsfundsandinvests them in financial assets as per itsinvestmentobjectivePensionFundsReceive contributions from the firm,itsemployees,orbothandinveststhosefundsDefined BenefitpromisetopayretireesaspecificincomestreamafterretirementDefined Contributiondonotpromiseaset of benefits.Employees retirementincomeisnotanobligationofthefirmEndowmentFundsThey represent contributions made tocharitableoreducationalinstitutionsInsuranceCompaniesLife Insurance CompaniesearnrateinexcessofactuarialrategrowingsurplusifthespreadispositivefiduciaryprincipleslimittherisktoleranceliquidityneedshaveincreasedtaxrulechangesInsuranceCompaniesNonlife Insurance CompaniescashflowslesspredictablefiduciaryresponsibilitytoclaimantsRiskexposurelowtomoderateliquidityconcernsduetouncertainclaimpatternsregulationmorepermissiveBanksMustattractfundsinacompetitiveinterestrateenvironmentTrytomaintainapositivedifferencebetweentheircostoffundsandtheirreturnonassetsNeedsubsta