现代投资学讲义（英文版）.pptx

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1、InvestmentsReading materialsnModern Portfolio Theory and Investment Analysis by Elton and Gruber, 5th (or 6th) Edition, John Wiley & Sons, Inc. nOthers:nNewspaper, magazinesIntroductionnAn intermediate investment coursenEmphasizes portfoliosnSecurity MarketsnInvestment analysis and managementQuiz Q1

2、n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时机？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，目的是为了对冲

3、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 Q3nCompare to the day before yesterday, was the change of Shanghai Composite ind

4、ex in green or in red? RequirementsnAttitudenSkillnPracticenEvaluation:?My Objectives for the ClassnCreate a learning atmospherenEncourage independent thinkingnContributing and helping you achieving a high level of academic excellenceHow Can We Define Investments?nInvestment can be defined as the sa

5、crifice of present consumption for some future value.nThis future value is possibly uncertainInvestment Environment and Investment ProcessnInvestment Environment refers to the different types of marketable securities available for investors;nInvestment Process is about the way investors should decid

6、e on the marketable instruments they will invest in, when to invest, etc.Financial SecuritiesMoney Market SecuritiesRates of Returns Capital Market SecuritiesnFixed income securitiesnEquity marketnPreferred stockDerivativesnFuturesnOptionsnExotic optionsnStructured instruments: FX, etcRatesofreturns

7、versustimeformajorsecuritytypesInvestments Over the Long-TermnWhat is the current value of $1 invested between 1926- innPortfolio of large U.S. stocks (Standard and Poors Composite Index) nPortfolio of long-term Treasury bonds?nAssume that the dividends and the interest payments are reinvested in th

8、e assetWealth Accumulation of Stocks and Bonds (1926- )$0.10$1.00$10.00$100.00$1,000.00$10,000.0019261930193419381942194619501954195819621966197019741978198219861990199419982002StocksBonds$1774.47$59.71What About Investment Expenses?nThe previous performance ignores investment expensesnHow much woul

9、d investors have accumulated with a 1 percent annual expense ratio?Wealth Accumulation after Expenses$0.10$1.00$10.00$100.00$1,000.00$10,000.0019261930193419381942194619501954195819621966197019741978198219861990199419982002StocksBonds$825.45$27.26What About Taxes?nThe government taxes interest, divi

10、dend income, and realized capital gainsnHow much do taxes affect our wealth accumulations?nI 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 Expenses and Taxes$0.10$1.00$10

11、.00$100.00$1,000.00$10,000.0019261930193419381942194619501954195819621966197019741978198219861990199419982002StocksBonds$359.47$9.11What About Inflation?n$1 in 1926 could buy much more than $1 in nConsumer prices increased over this period about ten-foldnHow much does inflation affect our wealth acc

12、umulations?Real Wealth Accumulation after Expenses and Taxes$0.10$1.00$10.00$100.00$1,000.00$10,000.0019261930193419381942194619501954195819621966197019741978198219861990199419982002StocksBonds$35.60$0.90Stock and Bond Returns Between 1926 and Geometric Mean Arith. MeanStd. Dev.Nominal Return10.20%1

13、2.76%22.09%Real Return6.94%9.44%22.37%Real Net Return4.75%7.19%21.96%Large StocksGeometric Mean Arith. MeanStd. Dev.Nominal Return5.43%5.70%8.99%Real Return2.31%2.66%10.12%Real Net Return-0.13%0.20%9.87%Long-term Treasury BondsRisk160016501700175018001850190019502000NetherlandsFranceBelgiumAustriaUK

14、USAIrelandItalyDenmarkPolandRussiaSwitzerlandSpainPeruCubaSwedenHungaryTurkeyCzechAustraliaNew ZealandArgentinaCanadaBrazilJapan (1)NorwayEgypt (1)South AfricaSingaporeHong KongGreece (1)ChileVenezuela MexicoYugoslavian statesZimbabweSri LankaPortugalChinaKoreaIndonesiaFinlandLebanonSloveniaUruguayP

15、hilippinesMoroccoRoumaniaLuxembourgColombiaMalaysiaPakistanIsraelKenyaTaiwanNigeriaKuwaitIranTunisiaThailandJamaicaJordanTrinidad-TobagoIcelandBahrainMauritiusBotswanaGhanaSwazilandChinaSlovakNamibiaEgyptZambiaMalawiMaltaTanzaniaFounding Dates for World Equity MarketHow are securities tradednPrimary

16、 MarketnMarket for new issues of securitiesnInitial Public Offerings (IPO)nSeasoned Public Offerings nPrivate PlacementsnSecondary MarketnExisting securities are tradedBuying and Selling SecuritiesnInvestors purchase securities through brokers for a commissionnInvestor must specifynObvious things:nN

17、ame of firmnBuy or sell ordernSize of ordernOther characteristics:nType of ordernHow long order is to be outstandingOrder SpecificationnOrder typenMarket ordernBuy or sell immediatelynLimit ordernLimit price specifies lowest selling price (or highest purchase price)nStop ordernStop price specifies h

18、ighest selling price (or lowest purchase price)Sell OrdersbidaskLimitSellStop-lossMarketSell25.0025203025.25Order SpecificationnTime limitnDay ordersnIf order is not filled by end of day, order expires.nGood through ordersnValid for a specified number of days and automatically expires if it has not

19、been executed by expiry datenOpen orders (good-till-cancelled)nValid until either filled or cancelled by investor.nAll or none orders nMust be fully executed or not accepted (as opposed to any part order)nDiscretionary ordernBroker decides on specificationsMarginnA brokerage firm may allow customers

20、 to purchase securities on margin.nYou put up the margin in cash and borrow the remainder (the debit balance) from the broker.Buying on MarginnSecurities law mandates limitations on borrowing, e.g.:nInitial margin must exceed 50%nMaintenance margin must exceed 30%nThe margin is defined as:Securityof

21、ValueLoanSecurityofValueSecurityofValueEquityMargin-Margin PurchasesnMargin is marked to market dailynMargin shortfalls result in margin calls.nPurchasing on margin levers up returns:ne.g. purchase 100 shares for $50/share and sell in one year for $65nReturn is 30%nWith 60% margin purchase and an 8%

22、 borrowing rate the return is 44.7% (15x100-.08x$ )/$3000)Risks of Margin PurchasesnBroker gives you a margin call if the maintenance margin is not metnBroker can sell your securities without asking for your permissionnThe potential losses can exceed your initial investmentShort SalesnCan use a shor

23、t sale to sell a stock you dont own.nBroker effectively arranges to borrow the shares you want to sell from another investor.nSome detailsnUptick rule stock price must rise before you can short.nMust put up some margin that depends on stock price.Short Sale ExampleXYZBroker,Inc.Mr.OriginalXYZBroker,

24、Inc.Mr.OriginalMr.JonesMr.JonesMs.ShortMs.ShortXYZBroker,Inc.Mr.OriginalDividends,annualreportsandvotingrightsForwardseverythingNotifiedthatJonesownsstockAllowsstocktobelentPayspurchasepriceReceivesstockcertificateProvidesinitialmarginAnnualReportDividendsAnnualReportVoting RightsProvidescashtomakeu

25、pfordividendsAnnualreportanddividends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/(融资买入金额+融券卖出证券数量市价利息及费用 =？n对应Margin是多少？Homework 1nPlease dra

26、w the cumulative return of the Shanghai Composite index from 1997 to and the density function of the return. (I want very nice pictures! Monthly return)Homework 2 (exercise)nSuppose you have $10,000 and you are very bullish in Microsoft. You can borrow $10,000 from your broker at a 10% interest rate

27、. Buy $20,000 worth of MSFT stocknWhat are the returns of this trading strategy if Microsoft stock increases or falls by 25% during the next year?Homework 3 (exercise)nShort sell 1,000 GM stocks in October and close position in January :DateActionCash FlowsOct 2004Short-sell 1000 GM for $4545,000Jan

28、 2005GM pays $0.50 dividendJan 2005Sale proceeds pay 1% interest Jan 2005Close position at $55 Profit/Loss nYour broker requires an initial margin of 50% and a maintenance margin of 30%nHow much initial margin do you need to add to your account in October to short-sell 1,000 GM stock?nAt which stock

29、 price will you receive your first margin call?Institutional InvestorsType of InvestorRisk ToleranceIndividual and personal trustsLife cycle Mutual fundsVariablePension fundsDepends on proximity of payoutsEndowment fundsGenerally conservativeInsurance companiesConservativeBanksVariable趋势在延续，我将在下一个调整

30、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

31、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 ManagementnLiquiditynInvestment horizonnRegulatory constraints (institutional investors)nThe prudent person lawnLimits on foreign holdingsnLimits on individual firm holdingsServices of Investment CompaniesnAdmini

32、stration & record keepingnDiversification & divisibilitynProfessional managementnReduced transaction costsnIncreased investment opportunitiesTypes of Investment CompaniesnMutual fundsnClosed-endnOpen-endnLoad fundsnCommingled fundsnReal estate fundsnReal estate limited partnershipsnMortgage fundsTyp

33、es of Mutual Funds (Investment Policies)nMoney market fundsnEquity funds (income, growth)nFixed-income fundsnBalanced and income fundsnAsset allocation fundsnIndex fundsnSpecialized sector fundsNet Asset Value Usedasabasisforvaluationofinvestmentcompanyshares Sellingnewshares Redeemingexistingshares

34、 Calculation:dingtanOutsSharessLiabilitieAssetsofValueMarketNAVOpen-End and Closed-End Funds: Key DifferencesShares OutstandingnClosed-end: no change unless new stock is offerednOpen-end: changes when new shares are sold or old shares are redeemedPricingnOpen-end: Net Asset Value(NAV)nClosed-end: Pr

35、emium or discount to NAVCosts of Investing in Mutual FundsnFee StructurenFront-end loadnBack-end loadnOperating expensesnOther charges (called 12b-1 in US)nDistribution costs paid by the fundnAlternative to a loadnFees and performanceA First Look at Fund PerformancenBenchmark: Wilshire 5000nResultsn

36、Most funds underperformnNot fair comparison because of costsnAdjusted Benchmark: Wilshire 5000 with passive management costs considerednThe majority of funds still underperformConsistency of Fund PerformancenDo some mutual funds consistently outperform?nEvidence suggests that some funds show consist

37、ent stronger performancenDepends on measurement intervalnDepends on time periodnEvidence shows consistent poor performanceSources of Information on Mutual FundsnWiesenbergers Investment CompaniesnMorningstar (PalTrak)nInvestment Company InstitutenPopular pressnInvestment servicesExchange-Traded Fund

38、snPassive vs Active investingnLow feesnExchange index fundsnSpecialized ETFs (bonds, sub-indices and sectors)nInternational index fundsHomework 4nList two close-end funds in China and draw the graphic of their historical performancesnList two open-end funds in China and describe their asset allocation