现代投资学讲义（英文版）hsid.pptx

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1、InvestmentsReading materialsn Modern Portfolio Theory and Investment Analysis by Elton and Gruber,5th(or 6th)Edition,John Wiley&Sons,Inc.n Others:n Newspaper,magazinesIntroductionn An intermediate investment coursen Emphasizes portfoliosn Security Marketsn Investment analysis and managementQuiz Q1n

2、假设你正在考虑投资于两只股票。通过一定的分析之后，你认为未来一年的经济会呈现健康或者不健康两种可能的状态。这两种情况发生的可能性相同（50%）。而两只股票在两种经济状态下的回报率见下表：n(a).请问每只股票的期望回报率和回报率的标准差是多少？n(b).两只股票回报率的协方差和相关系数是多少？n(c).画图说明投资于这两只股票能够提供什么样的风险与回报的组合？n(d).假设现在有无风险资产可以投资（无风险回报率为5%）。请问这对于你是否意味着一个获利机会？为什么？经济状态 股票1回报 股票2回报健康 30%5%不健康 10%10%Quiz Q2n 你在为一个小型对冲基金设计一个债券组合，目的是

3、为了对冲基金四年后的一笔10 亿的债务来提供资金。基金经理希望用一个两年期的零息债券和一个八年期的零息债券来构成组合。假设利率曲线为水平线，这样对于所有不同到期日的零息债券的到期收益率都为5%。n(a).设计由上诉两种债券构成的组合来保护对冲基金，使得基金不受到利率变化的影响n(b).假设在你设计完成这一组合后，利率曲线对于所有到期日都平移到6%。请问这种情况下你设计的组合4 年后的未来价值是多少？是否还能为债务提供足够的资金保障？Quiz Q3n Compare to the day before yesterday,was the change of Shanghai Composite

4、index in green or in red?Requirementsn Attituden Skilln Practicen Evaluation:?My Objectives for the Classn Create a learning atmospheren Encourage independent thinkingn Contributing and helping you achieving a high level of academic excellenceHow Can We Define Investments?n Investment can be defined

5、 as the sacrifice of present consumption for some future value.n This future value is possibly uncertainInvestment Environment and Investment Processn Investment Environment refers to the different types of marketable securities available for investors;n Investment Process is about the way investors

6、 should decide on the marketable instruments they will invest in,when to invest,etc.Financial SecuritiesMoney Market SecuritiesRates of Returns Capital Market Securitiesn Fixed income securitiesn Equity marketn Preferred stockDerivativesn Futuresn Optionsn Exotic optionsn Structured instruments:FX,e

7、tcRatesofreturnsversustimeformajorsecuritytypesInvestments Over the Long-Termn What is the current value of$1 invested between 1926-2002 inn Portfolio of large U.S.stocks(Standard and Poors Composite Index)n Portfolio of long-term Treasury bonds?n Assume that the dividends and the interest payments

8、are reinvested in the assetWealth Accumulation of Stocks and Bonds(1926-2002)What About Investment Expenses?n The previous performance ignores investment expensesn How much would investors have accumulated with a 1 percent annual expense ratio?Wealth Accumulation after ExpensesWhat About Taxes?n The

9、 government taxes interest,dividend income,and realized capital gainsn How much do taxes affect our wealth accumulations?n I assumed that dividends and interest income is taxed at the marginal tax rate of the average stock and bond holder and that capital gains are not taxedWealth Accumulation after

10、 Expenses and TaxesWhat About Inflation?n$1 in 1926 could buy much more than$1 in 2002n Consumer prices increased over this period about ten-foldn How much does inflation affect our wealth accumulations?Real Wealth Accumulation after Expenses and TaxesStock and Bond Returns Between 1926 and 2002Geom

11、etric Mean Arith.Mean Std.Dev.Nominal Return 10.20%12.76%22.09%Real Return 6.94%9.44%22.37%Real Net Return 4.75%7.19%21.96%Large StocksGeometric Mean Arith.Mean Std.Dev.Nominal Return 5.43%5.70%8.99%Real Return 2.31%2.66%10.12%Real Net Return-0.13%0.20%9.87%Long-term Treasury BondsRiskFounding Dates

12、 for World Equity MarketHow are securities tradedn Primary Marketn Market for new issues of securitiesn Initial Public Offerings(IPO)n Seasoned Public Offerings n Private Placementsn Secondary Marketn Existing securities are tradedBuying and Selling Securitiesn Investors purchase securities through

13、brokers for a commissionn Investor must specifyn Obvious things:n Name of firmn Buy or sell ordern Size of ordern Other characteristics:n Type of ordern How long order is to be outstandingOrder Specificationn Order typen Market ordern Buy or sell immediatelyn Limit ordern Limit price specifies lowes

14、t selling price(or highest purchase price)n Stop ordern Stop price specifies highest selling price(or lowest purchase price)Sell OrdersbidaskLimitSellStop-lossMarketSell 25.00 25203025.25Order Specificationn Time limitn Day ordersn If order is not filled by end of day,order expires.n Good through or

15、dersn Valid for a specified number of days and automatically expires if it has not been executed by expiry daten Open orders(good-till-cancelled)n Valid until either filled or cancelled by investor.n All or none orders n Must be fully executed or not accepted(as opposed to any part order)n Discretio

16、nary ordern Broker decides on specificationsMarginn A brokerage firm may allow customers to purchase securities on margin.n You put up the margin in cash and borrow the remainder(the debit balance)from the broker.Buying on Marginn Securities law mandates limitations on borrowing,e.g.:n Initial margi

17、n must exceed 50%n Maintenance margin must exceed 30%n The margin is defined as:Margin Purchasesn Margin is marked to market dailyn Margin shortfalls result in margin calls.n Purchasing on margin levers up returns:n e.g.purchase 100 shares for$50/share and sell in one year for$65n Return is 30%n Wit

18、h 60%margin purchase and an 8%borrowing rate the return is 44.7%(15x100-.08x$2000)/$3000)Risks of Margin Purchasesn Broker gives you a margin call if the maintenance margin is not metn Broker can sell your securities without asking for your permissionn The potential losses can exceed your initial in

19、vestmentShort Salesn Can use a short sale to sell a stock you dont own.n Broker effectively arranges to borrow the shares you want to sell from another investor.n Some detailsn Uptick rule stock price must rise before you can short.n Must put up some margin that depends on stock price.Short Sale Exa

20、mpleXYZ Broker,Inc.Mr.OriginalXYZ Broker,Inc.Mr.OriginalMr.JonesMr.JonesMs.ShortMs.ShortXYZ Broker,Inc.Mr.OriginalDividends,annualreportsandvotingrightsForwardseverythingNotifiedthatJonesownsstockAllowsstocktobelentPayspurchasepriceReceivesstockcertificateProvidesinitialmarginAnnualReportDividendsAn

21、nualReportVoting RightsProvidescashtomakeupfordividendsAnnualreportanddividends融资融券n 试点n 维持担保比例：例如130%n 融资保证金比例：如0.5n 融资融券可充抵保证金证券范围和折算率：如成分指数股不超过70%例子n 假设:客户拥有资金100 万元;融资保证金比例为0.5。那么客户可以先普通买入股票100 万元,再将普通买入的股票作为担保物向证券公司融资买入股票n 融资买入金额保证金/融资保证金比例担保物市值 折算率/融资保证金比例=140 万n 维持担保比例担保物/负债（现金+担保证券市值）/(融资买入金

22、额+融券卖出证券数量市价利息及费用）=？n 对应Margin 是多少？Homework 1n Please draw the cumulative return of the Shanghai Composite index from 1997 to 2009 and the density function of the return.(I want very nice pictures!Monthly return)Homework 2(exercise)n Suppose you have$10,000 and you are very bullish in Microsoft.You

23、can borrow$10,000 from your broker at a 10%interest rate.Buy$20,000 worth of MSFT stockn What are the returns of this trading strategy if Microsoft stock increases or falls by 25%during the next year?Homework 3(exercise)n Short sell 1,000 GM stocks in October 2004 and close position in January 2005:

24、Date Action Cash FlowsOct 2004 Short-sell 1000 GM for$45 45,000Jan 2005 GM pays$0.50 dividendJan 2005 Sale proceeds pay 1%interest Jan 2005 Close position at$55 Profit/Loss n Your broker requires an initial margin of 50%and a maintenance margin of 30%n How much initial margin do you need to add to y

25、our account in October to short-sell 1,000 GM stock?n At which stock price will you receive your first margin call?Institutional InvestorsType of Investor Risk ToleranceIndividual and personal trustsLife cycle Mutual funds VariablePension funds Depends on proximity of payoutsEndowment funds Generall

26、y conservativeInsurance companies ConservativeBanks Variable趋势在延续，我将在下一个调整巩固点买入啊！在涨，等我继续观察下市场再说幸好我买了，没再等机会来了加仓哦，正常调整，等待嘿，我套了，再一涨上来我准备卖出 机会错过了，不能再等了，买进！准备获大利见底了，我不信你还跌你再跌我就准备长线投资，不信你没底咳！国家在干什么，证监会怎么不管受够了，我再也不玩了。辛苦赚来的钱全泡汤了，以后再也不玩了不好，又跌了，准备卖了算了卖！我怕你了，再也不看你了，ok!?嘿，老子卖了你涨了哦，还是卖对了，幸亏卖的好。OK怎么了？嗨，我是说做长线的，这可

27、糟了疯狂！可能还要涨，这次我有经验了还是要把本扭转回来这次判断完全正确，水平高了，准备买进！哈哈，这次一定赚钱，而且比上次买的便宜，国家政策也好了，股市是国家的晴雨表，我们的股市要涨到10000 点！坚决看好！OK!Ok!我是老手了，大赚！注：非原创。取材网上，作者不详Constraints in Portfolio Managementn Liquidityn Investment horizonn Regulatory constraints(institutional investors)n The prudent person lawn Limits on foreign holdin

28、gsn Limits on individual firm holdingsServices of Investment Companiesn Administration&record keepingn Diversification&divisibilityn Professional managementn Reduced transaction costsn Increased investment opportunitiesTypes of Investment Companiesn Mutual fundsn Closed-endn Open-endn Load fundsn Co

29、mmingled fundsn Real estate fundsn Real estate limited partnershipsn Mortgage fundsTypes of Mutual Funds(Investment Policies)n Money market fundsn Equity funds(income,growth)n Fixed-income fundsn Balanced and income fundsn Asset allocation fundsn Index fundsn Specialized sector fundsNet Asset Value

30、Usedasabasisforvaluationofinvestmentcompanyshares Sellingnewshares Redeemingexistingshares Calculation:Open-End and Closed-End Funds:Key DifferencesShares Outstandingn Closed-end:no change unless new stock is offeredn Open-end:changes when new shares are sold or old shares are redeemedPricingn Open-

31、end:Net Asset Value(NAV)n Closed-end:Premium or discount to NAVCosts of Investing in Mutual Fundsn Fee Structuren Front-end loadn Back-end loadn Operating expensesn Other charges(called 12b-1 in US)n Distribution costs paid by the fundn Alternative to a loadn Fees and performanceA First Look at Fund

32、 Performancen Benchmark:Wilshire 5000n Resultsn Most funds underperformn Not fair comparison because of costsn Adjusted Benchmark:Wilshire 5000 with passive management costs consideredn The majority of funds still underperformConsistency of Fund Performancen Do some mutual funds consistently outperf

33、orm?n Evidence suggests that some funds show consistent stronger performancen Depends on measurement intervaln Depends on time periodn Evidence shows consistent poor performanceSources of Information on Mutual Fundsn Wiesenbergers Investment Companiesn Morningstar(PalTrak)n Investment Company Instit

34、uten Popular pressn Investment servicesExchange-Traded Fundsn Passive vs Active investingn Low feesn Exchange index fundsn Specialized ETFs(bonds,sub-indices and sectors)n International index fundsHomework 4n List two close-end funds in China and draw the graphic of their historical performancesn List two open-end funds in China and describe their asset allocation