国际投资英文版.ppt

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1、国际投资英文版 Still waters run deep.流静水深流静水深,人静心深人静心深 Where there is life,there is hope。有生命必有希望。有生命必有希望Francis&IbbotsonChapter 1:The Investment Setting2 2What is Investing?Criteria used to determine whether an investment of money is investing or something else,including:Is it short-term or long-term?Is it

2、 productive or unproductive?Is it legal or illegal?Is it rational or irrational?Francis&IbbotsonChapter 1:The Investment Setting3 3Gambling vs.SpeculatingGambling occurs whenOutcome is determined very quickly(a roll of the dice,for instance)A source of entertainmentOutcome is not based on an economi

3、c endeavor,but,rather,random outcomesCreates risk without expectation of economic benefitSpeculation occurs whenAn asset is purchased with hope that price will rise rapidly,leading to quick profitNot based on random outcomesExample:Buying an IPO of a stock on the first day hoping to sell it in sever

4、al days at a higher priceFrancis&IbbotsonChapter 1:The Investment Setting4 4Assets of ChoiceMajor asset classes includePrimary securities such as common and preferred stock,government bonds,corporate bonds,Treasury bills,commercial paperDerived instruments such as mutual funds,put and call options,f

5、orward and futures contractsPhysical assets such as houses,land,buildings,diamonds,goldFrancis&IbbotsonChapter 1:The Investment Setting5 5Other IssuesLarge international corporations have their securities traded somewhere in the world 24 hours a dayWhile other areassuch as China and Africa have a la

6、rger population than the U.S.,the U.S.has the highest Gross National Product(GNP)a measure of a nations incomeHowever,when allocating a countrys GNP across the countrys population,the U.S.ranks 6thBut after adjusting for each countrys cost of living,the U.S.ranks 2nd behind LuxembourgFrancis&Ibbotso

7、nChapter 1:The Investment Setting6 6The Worlds Equity CapitalWorlds equity capital is concentrated in North America,western and central Europe and the Pacific Rim(mostly Japan)Because market prices are rather volatile,this situation can change rapidly.For instance,from 1989-1990 Japans stock market

8、was worth more than the U.S.stock market.Francis&IbbotsonChapter 1:The Investment Setting7 7The Worlds Bond MarketFrancis&IbbotsonChapter 1:The Investment Setting8 8The Worlds Bond MarketFrancis&IbbotsonChapter 1:The Investment Setting9 9Worlds Real&Human CapitalValue of worlds real assets financial

9、 assetsWorlds human capital greatly exceeds combined worlds real and financial capitalIncome from human capital is 80%of the worlds incomeHuman capital represents the stock of ideas and information possessed by humansFor instance,the capital contained within a tool doesnt come from the tool itself,b

10、ut from the knowledge of how to build and use the toolFrancis&IbbotsonChapter 1:The Investment Setting1010The U.S.Financial MarketsResidential real estate is one of the larger investments made by U.S.citizens.However,this may change in the future.Francis&IbbotsonChapter 1:The Investment Setting1111U

11、.S.Equity InvestorsIndividual investorsOver 50 million in the U.S.Typically own only a few stocks with aggregate value of$15,000Have a small impact on U.S.equities marketMostly amateurs who play the marketInstitutional investorsInclude pension funds,mutual funds,life insurance companies,commercial b

12、ank trust departments,etc.In 1998 controlled 60%of market value of U.S.equities with individual investors controlling remainderHouseholds own much of the money managed by institutional investorsFrequently buy shares in blocks of 10,000 or moreBlock trades account for 51%of volume on NYSEFrancis&Ibbo

13、tsonChapter 1:The Investment Setting1212U.S.Market for BondsFrancis&IbbotsonChapter 1:The Investment Setting1313The Bottom LineIn determining whether a gamble,a speculation or an investment has occurred,it is useful to examine the length of the holding periodEven though there are millions of individ

14、ual investors,their impact on the U.S.equities market is smallInstitutional investors(such as pension funds,insurance companies,mutual funds)have a much greater impact on the U.S.marketsFrancis&IbbotsonChapter 1:The Investment Setting1414Appendix:Opportunities and Salaries in InvestmentsInvestment C

15、ounsel.FirmBankSecurity Broker/DealerInsurance CompanyMutual Fund Mgmt.Co.Plan Sponsor/Endow./Foundat.Pension Consult.Firm1999 Median Salary$113,150$90,000$90,000$107,000$110,000$92,750$80,0001999 Median Bonus$50,000$30,000$85,000$35,000$70,000$11,000$12,5001998 Median Non-Cash Compensation$9,000$10

16、,000$8,000$5,000$20,000$200$2,000Median Total Compensation$185,000$128,000$185,000$150,000$196,000$104,200$95,00090th Percentile$682,265$365,111$757,108$430,769$814,603$294,412$256,250Francis&IbbotsonChapter 2:Rates of Return1515Chapter 2Rates of ReturnFrancis&IbbotsonChapter 2:Rates of Return1616Ba

17、ckgroundInvestors want to maximize their returns(or wealth)Chapter discussesThe calculation of a returnHistorical returns offered by different types of investmentsFrancis&IbbotsonChapter 2:Rates of Return1717The Investors GoalGoal is to maximize what is earned relative to the amount put into an inve

18、stmentMaximize either theRate of returnInvestments terminal valueEquivalentFrancis&IbbotsonChapter 2:Rates of Return1818The Investors GoalSome claim wealth-maximizing investors are performing harmful greedy activitiesLaw abiding wealth maximization is beneficial to both investor and general populati

19、onSeek out securities issued by firms producing high quality goods and servicesCapital is used to benefit general populationInvestors can request management actions at stockholder meetingsHelps nation compete internationallyCreates new job opportunitiesFrancis&IbbotsonChapter 2:Rates of Return1919Et

20、hics Box:The Need for Ethics in InvestmentSome level of ethics is necessaryEthics concerned with standards of right and wrongConcepts of trust and fairness are relevant to investmentsInvestors trust investment firms to act in their best interest and to safeguard their assetsFairness means a level pl

21、aying field and the absence of fraudDecreasing information asymmetry increases efficiency and fairnessAn investment professional shouldBe loyalAct with due careKeep information confidentialAvoid conflicts of interestFrancis&IbbotsonChapter 2:Rates of Return2020The One-Period Rate of ReturnRate of re

22、turn measures change in an investors wealth over timeMeasures the success or failure of the investmentMeasures holding period returnDefined asFrancis&IbbotsonChapter 2:Rates of Return2121Examples:One Period ReturnYou purchased one share of Coca-Cola one year ago for$54.You sold it today for$64,and y

23、ou received dividends of$0.80 during the yearYour income from dividends=80Your capital gain is$10($64-$54)Your return is$10.80$54=20%Francis&IbbotsonChapter 2:Rates of Return2222Examples:One Period ReturnYou purchased a U.S.T-bond for$900.One year later you sold the bond for$910.You received$35 in i

24、nterest during the year.Your rate of return isYou bought a six-month T-bill for$9,800 with a maturity value of$10,000.After the bond matures your six-month return is-Since there are two six-month periods in one year,your annual return is1.02042 1=1.0412 1=4.12%Francis&IbbotsonChapter 2:Rates of Retu

25、rn2323Figure 2-1:Figure 2-1:Wealth Indices for Average U.S.Investments in Different Asset Classes Wealth Indices for Average U.S.Investments in Different Asset Classes Compared to Inflation,1926-99Compared to Inflation,1926-99If you had invested$1 on December 31,1925 in each of the following,you wou

26、ld haveIn some years inflation exceeds T-bill returnsleading to a drop in purchasing power for T-bill investors.Small company stocks are the most risky,but offer the highest return.T-bills are the least riskysmoothest growth path,but lowest return.Francis&IbbotsonChapter 2:Rates of Return2424Table 2

27、-1:Table 2-1:Average Annual Rate of Return and Risk Statistics for Asset Classes and Average Annual Rate of Return and Risk Statistics for Asset Classes and Inflation in the U.S.,1926-99Inflation in the U.S.,1926-99Noticeable tendency for higher risk assets to offer the higher return.Francis&Ibbotso

28、nChapter 2:Rates of Return2525Realized One-Period Rates of ReturnWe can calculate one period rates of change for the indexes Includes dividends,coupon interest on bondsFrancis&IbbotsonChapter 2:Rates of Return2626Average Rates of ReturnArithmetic mean return(AMR)measures average historical one-perio

29、d rates of returnCompound average rate of return,or geometric mean return(GMR)isAMR GMR because compound interest grows more rapidly than simple interestFrancis&IbbotsonChapter 2:Rates of Return2727Example:Average Rates of ReturnA three-year investment earned the following annual returns:YearRt120%2

30、-10%35%If you placed$100 in this investment at the beginning of year 1,at the end of the third year it would be worth-$100(1.0428)3=$113.40Francis&IbbotsonChapter 2:Rates of Return2828Assessing RiskAn asset is riskier ifIts one-period rates of return fluctuate over a wide rangeSuch as small company

31、stocksMeasures of risk includeVariancethe average of squared deviations from AMR-Standard deviationsquare root of varianceBoth measure total riskFrancis&IbbotsonChapter 2:Rates of Return2929Example:Variance&SDCalculate the variance and standard deviation of the previous exampleFrancis&IbbotsonChapte

32、r 2:Rates of Return3030Risk RankingsBoth standard deviation and variance result in the same risk rankingsAdvantages of standard deviationConsiders every outcomeUnlike range which only considers high and low valuesWell known by statisticiansProgrammed into calculators and softwareMeasures the widenes

33、s of probability distributionsMeasure of dispersion around arithmetic meanAlso widely used in mathematics,econometrics,etc.Francis&IbbotsonChapter 2:Rates of Return3131Interpreting Historical Return and RiskExamining the historical returns and risk leads to the following observations:Large company c

34、ommon stocksEarn higher returns than bondsIf a firm is declared bankrupt,all creditors are paid in full before common stockholders receive any proceedsCommon stockholders usually receive nothing which makes it more risky than debtStockholders demand a higher average rate of returnFrancis&IbbotsonCha

35、pter 2:Rates of Return3232Interpreting Historical Return and RiskSmall company stocksEarned highest returns of all other investmentsBut,riskier than any of the other investmentsThe percentage of small firms declared bankrupt is greater than the percentage of large firmsInvestors require a higher rat

36、e of return for investing in a small firmLong-term corporate bondsBonds issued by the U.S.Treasury are unlikely to be defaultedHowever,bonds issued by corporations are more likely to be defaultedFrancis&IbbotsonChapter 2:Rates of Return3333Interpreting Historical Return and RiskLong-term U.S.Treasur

37、y bondsMature about 20 years from initial offering dateInvolve no default riskIntermediate-term U.S.Treasury BondsMature about 5 years after issue dateExperience smaller price fluctuations than long-term U.S.Treasury bondsU.S.Treasury billsMature in less than one yearNo horizon premium necessaryU.S.

38、Treasury is unlikely to defaultNo default premium neededAKA risk-free assetsProbably no other security in world with less riskFrancis&IbbotsonChapter 2:Rates of Return3434Interpreting Historical Return and RiskOpportunity costWhat it could earn in its highest paying alternative useExample:The opport

39、unity cost of attending college includes foregone wagesLess obvious expenses than out-of-pocket expensesExample:The opportunity cost of holding cash rather than investing in large company stocks was 13.3%a yearFrancis&IbbotsonChapter 2:Rates of Return3535Required Rate of ReturnShould only invest if

40、you expect to earn a return greater than your cost of capitalInterest expense paid for borrowed fundsCash dividend payment paid to stockholdersOpportunity costsAKA required rate of returnMinimum rate of return an investment must earn to increase investors wealthRRR r leads to a wealth decreaseFranci

41、s&IbbotsonChapter 2:Rates of Return3636Combining Risk Premiums To Compute Required Rate of ReturnRequired Rate of Return(k)Sum of appropriate risk premiumsFor T-bills,k=4.5%4.5%=Risk-free rate(RFR)For T-notes,k=5.5%4.5%=+1.0%=5.5%=Risk-free rate(RFR)+Intermediate Horizon PremiumTotal=Required rate o

42、f returnFor T-bonds,k=5.9%4.5%=+1.4%=5.9%=Risk-free rate(RFR)+Long Horizon premiumTotal=Required rate of returnFor Corporate bonds,k=6.3%4.5%=+1.4%=+0.4%=6.3%=Risk-free rate(RFR)+Long Horizon Premium+Default PremiumTotal=Required rate of returnFrancis&IbbotsonChapter 2:Rates of Return3737Combining R

43、isk Premiums To Compute Required Rate of ReturnRequired Rate of Return(k)Sum of appropriate risk premiumsFor Large Cap Stocks,k=13.0%4.5%=+1.4%=+7.1%=13.0%=Risk-free rate(RFR)+Long Horizon Premium+Equity Risk PremiumTotal=Required rate of returnFor Small Cap Stocks,k=14.5%4.5%=+1.4%=+7.1%=+1.5%=14.5

44、%=Risk-free rate(RFR)+Long Horizon Premium+Equity Risk Premium+Size PremiumTotal=Required rate of returnFrancis&IbbotsonChapter 2:Rates of Return3838The Largest Investors in the WorldU.S.pension funds are the largest investors in the worldHire professional money managersOwners/sponsors of largest pe

45、nsionsU.S.Pension Fund SponsorAssets(in billions)California Public Employees Retirement System$155.82New York Common111.40California State Teachers98.40Florida State Board93.20General Motors91.00Francis&IbbotsonChapter 2:Rates of Return3939The Largest Investors in the WorldFirms hired to manage pens

46、ion assets includeInvestment Management FirmTax-exempt assets managed(in billions)State Street Global103Capital Guardian85Barclays Global Investors62.6Morgan Stanley Dean Witter56.4Putnam Investments33.5Janus31.6J.P.Morgan28.8UBS Asset Management25.4Francis&IbbotsonChapter 2:Rates of Return4040Ethic

47、s and Pension FundsManagers of defined benefit plans(guarantee fixed income in retirement)Have duty to maintain sufficient funds for future obligationsSome funds become overfundedShould these funds be allowed to divest excess funds?Managers of defined contribution plans(employee and employer contrib

48、utions accumulate in individual accounts)Must offer at least three different fundsMust seek to maximize risk-adjusted returnHave a fiduciary duty to vote funds stock solely in beneficiaries interestsFrancis&IbbotsonChapter 2:Rates of Return4141The Bottom LineInvestors wish to maximize their wealth(r

49、eturn)over the long-runArithmetic mean is not a compounded return like the geometric meanAMR GMRRealized returns represent historical dataInvestors desire investments with an expected return greater than their required rate of return or hurdle rateFrancis&IbbotsonChapter 3:Introduction to Valuation4

50、242Introduction to ValuationChapter 3Francis&IbbotsonChapter 3:Introduction to Valuation4343BackgroundDetermining current price of a security is easyAsk the sellerLook in newspaper,television,InternetMuch more difficult to determine the value of an investmentHow much is an investment worth?Need to k