Chap008-Index-Models--博迪投资学课件.ppt

Investments,8th editionBodie,Kane and MarcusSlides by Susan HineSlides by Susan HineMcGraw-Hill/IrwinCopyright 2009 by The McGraw-Hill Companies,Inc.All rights reserved.CHAPTER 8Index ModelsIndex Models8-2Reduces the number of inputs for diversificationEasier for security analysts to specializeAdvantages of the Single Index Model8-3 i=index of a securities particular return to the factor m=Unanticipated movement related to security returns ei=Assumption:a broad market index like the S&P 500 is the common factor.Single Factor Model8-4Single-Index ModelRegression Equation:Expected return-beta relationship:8-58-6Index Model and DiversificationPortfolios variance:Variance of the equally weighted portfolio of firm-specific components:When n gets large,becomes negligible 8-7Figure 8.1 The Variance of an Equally Weighted Portfolio with Risk Coefficient p in the Single-Factor Economy8-8Figure 8.2 Excess Returns on HP and S&P 500 April 2001 March 20068-98-10Table 8.1 Excel Output:Regression Statistics for the SCL of Hewlett-Packard8-11Figure 8.4 Excess Returns on Portfolio Assets8-128-13Alpha and Security Analysis ContinuedThe market-driven expected return is conditional on information common to all securitiesSecurity-specific expected return forecasts are derived from various security-valuation models The alpha value distills the incremental risk premium attributable to private informationHelps determine whether security is a good or bad buy8-148-15Optimal Risky Portfolio of the Single-Index ModelMaximize the Sharpe ratioExpected return,SD,and Sharpe ratio:8-16Optimal Risky Portfolio of the Single-Index Model ContinuedCombination of:Active portfolio denoted by AMarket-index portfolio,the(n+1)th asset which we call the passive portfolio and denote by MModification of active portfolio position:When 8-178-18Figure 8.5 Efficient Frontiers with the Index Model and Full-Covariance Matrix8-19Table 8.2 Comparison of Portfolios from the Single-Index and Full-Covariance Models8-20Table 8.3 Merrill Lynch,Pierce,Fenner&Smith,Inc.:Market Sensitivity Statistics8-21Table 8.4 Industry Betas and Adjustment Factors