《投资基础》原版英文标配课件ppt：现代投资组合的概念 modern portfolio concepts

Chapter 5,Modern Portfolio Concepts,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-2,Modern Portfolio Concepts,Learning GoalsUnderstand portfolio management objectives and calculate the return and standard deviation of a portfolio.Discuss the concepts of correlation and diversification, and the effectiveness, methods, and benefits of international diversification.Describe the two components of risk, beta, and the capital asset pricing model (CAPM).,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-3,Modern Portfolio Concepts,Learning Goals (contd)Review traditional and modern approaches to portfolio management and reconcile them.Describe the role of investor characteristics and objectives and of portfolio objectives and policies in constructing an investment portfolio.Summarize why and how investors use an asset allocation scheme to construct an investment portfolio.,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-4,What is a Portfolio?,Portfolio is a collection of investment vehicles assembled to meet one or more investment goals.Growth-Oriented Portfolio: primary objective is long-term price appreciationIncome-Oriented Portfolio: primary objective is current dividend and interest income,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-5,The Ultimate Goal: An Efficient Portfolio,Efficient portfolio A portfolio that provides the highest return for a given level of riskGiven the choice between two equally risky investments, an investor will chose the one with the highest potential return.Given the choice between two investments offering the same return, an investor will choice the one that has the least risk.,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-6,Portfolio Return and Risk Measures,Return on a Portfolio is the weighted average of returns on the individual assets in the portfolio.Standard Deviation of a portfolios returns is calculated using all of the individual assets in the portfolio.,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-7,Return on Portfolio,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-8,Correlation: Why Diversification Works!,Correlation is a statistical measure of the relationship between two series of numbers representing data.Positively Correlated items move in the same direction.Negatively Correlated items move in opposite directions.Correlation Coefficient is a measure of the degree of correlation between two series of numbers representing data.,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-9,Correlation Coefficients,Perfectly Positively Correlated describes two positively correlated series having a correlation coefficient of +1Perfectly Negatively Correlated describes two negatively correlated series having a correlation coefficient of -1Uncorrelated describes two series that lack any relationship and have a correlation coefficient of nearly zero,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-10,Figure 5.1 The Correlation Between Series M, N, and P,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-11,Correlation: Why Diversification Works!,To reduce overall risk in a portfolio, it is best to combine assets that have a negative (or low-positive) correlation.Uncorrelated assets reduce risk somewhat, but not as effectively as combining negatively correlated assets.Investing in different investments with high positive correlation will not provide sufficient diversification.,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-12,Figure 5.2 Combining Negatively Correlated Assets to Diversify Risk,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-13,Table 5.3 Correlation, Return, and Risk for Various Two-Asset Portfolio Combinations,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-14,Figure 5.3 Range of Portfolio Return and Risk for Combinations of Assets A and B for Various Correlation Coefficients,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-15,Why Use International Diversification?,Offers more diverse investment alternatives than U.S.-only based investingForeign economic cycles may move independently from U.S. economic cycleForeign markets may not be as “efficient” as U.S. markets, allowing true gains from superior researchStudy done between 1984 and 1994 suggests that portfolio 70% S&P 500 and 30% EAFE would reduce risk 5% and increase return 7% over a 100% S&P 500 portfolio,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-16,International Diversification,Advantages of International DiversificationBroader investment choicesPotentially greater returns than in U.S.Reduction of overall portfolio riskDisadvantages of International DiversificationCurrency exchange riskLess convenient to invest than U.S. stocksMore expensive to investRiskier than investing in U.S.,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-17,Methods of International Diversification,Foreign company stocks listed on U.S. stock exchangesYankee BondsAmerican Depository Receipts (ADRs)Mutual funds investing in foreign stocksU.S. multinational companies (typically not considered a true international investment for diversification purposes),Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-18,Components of Risk,Diversifiable (Unsystematic) RiskResults from uncontrollable or random events that are firm-specificCan be eliminated through diversificationExamples: labor strikes, lawsuitsNondiversifiable (Systematic) RiskAttributable to forces that affect all similar investmentsCannot be eliminated through diversification Examples: war, inflation, political events,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-19,Components of Risk,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-20,Beta: A Popular Measure of Risk,A measure of nondiversifiable riskIndicates how the price of a security responds to market forcesCompares historical return of an investment to the market return (the S&P 500 Index)The beta for the market is 1.00Stocks may have positive or negative betas. Nearly all are positive.Stocks with betas greater than 1.00 are more risky than the overall market.Stocks with betas less than 1.00 are less risky than the overall market.,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-21,Figure 5.5 Graphical Derivation of Beta for Securities C and D,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-22,Beta: A Popular Measure of Risk,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-23,Interpreting Beta,Higher stock betas should result in higher expected returns due to greater riskIf the market is expected to increase 10%, a stock with a beta of 1.50 is expected to increase 15%If the market went down 8%, then a stock with a beta of 0.50 should only decrease by about 4%Beta values for specific stocks can be obtained from Value Line reports or online websites such as ,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-24,Interpreting Beta,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-25,Capital Asset Pricing Model (CAPM),Model that links the notions of risk and returnHelps investors define the required return on an investmentAs beta increases, the required return for a given investment increases,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-26,Capital Asset Pricing Model (CAPM) (contd),Uses beta, the risk-free rate and the market return to define the required return onan investment,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-27,Capital Asset Pricing Model (CAPM) (contd),CAPM can also be shown as a graphSecurity Market Line (SML) is the “picture” of the CAPMFind the SML by calculating the required return for a number of betas, then plotting them on a graph,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-28,Figure 5.5 The Security Market Line (SML),Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-29,Two Approaches to Constructing Portfolios,Traditional ApproachversusModern Portfolio Theory,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-30,Traditional Approach,Emphasizes “balancing” the portfolio using a wide variety of stocks and/or bondsUses a broad range of industries to diversify theportfolioTends to focus on well-known companiesPerceived as less riskyStocks are more more liquid and availableFamiliarity provides higher “comfort” levels for investors,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-31,Modern Portfolio Theory (MPT),Emphasizes statistical measures to develop a portfolio planFocus is on:Expected returnsStandard deviation of returnsCorrelation between returnsCombines securities that have negative (or low-positive) correlations between each others rates of return,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-32,Key Aspects of MPT: Efficient Frontier,Efficient Frontier The leftmost boundary of the feasible set of portfolios that include all efficient portfolios: those providing the best attainable tradeoff between risk and returnPortfolios that fall to the right of the efficient frontier are not desirable because their risk return tradeoffs are inferiorPortfolios that fall to the left of the efficient frontier are not available for investments,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-33,Figure 5.7 The Feasible or Attainable Set and the Efficient Frontier,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-34,Key Aspects of MPT: Portfolio Betas,Portfolio BetaThe beta of a portfolio; calculated as the weighted average of the betas of the individual assets the portfolio includesTo earn more return, one must bear more riskOnly nondiversifiable risk (relevant risk) provides a positive risk-return relationship,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-35,Key Aspects of MPT: Portfolio Betas,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-36,Figure 5.8 Portfolio Risk and Diversification,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-37,Interpreting Portfolio Betas,Portfolio betas are interpreted exactly same way as individual stock betas.Portfolio beta of 1.00 will experience a 10% increase when the market increase is 10%Portfolio beta of 0.75 will experience a 7.5% increase when the market increase is 10%Portfolio beta of 1.25 will experience a 12.5% increase when the market increase is 10%Low-beta portfolios are less responsive and less risky than high-beta portfolios.A portfolio containing low-beta assets will have a low beta, and vice versa.,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-38,Interpreting Portfolio Betas,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-39,Reconciling the Traditional Approach and MPT,Recommended portfolio management policy uses aspects of both approaches:Determine how much risk you are willing to bearSeek diversification between different types of securities and industry linesPay attention to correlation of return between securitiesUse beta to keep portfolio at acceptable level of riskEvaluate alternative portfolios to select highest return for the given level of acceptable risk,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-40,Figure 5.9 The Portfolio Risk-Return Tradeoff,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-41,Constructing a Portfolio Using Asset Allocation,Asset Allocation is the process of dividing an investment portfolio into various asset classes to preserve capital by protecting against negative developments while taking advantage of positive ones.In other words, dont put all of your eggs in one basket, and choose your baskets carefully.,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-42,Constructing a Portfolio Using Asset Allocation (contd),Individual investor characteristics and objectives determine relative income needs and ability to bear riskInvestor characteristics to consider:Level and stability of income, net worthAge and family factorsInvestment experience and ability to handle riskTax considerationsInvestor objectives to consider:High level of current incomeSignificant capital appreciation,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-43,Portfolio Objectives and Policies,Capital Preservation ObjectiveLow-risk, conservative investment strategyEmphasis on current income and capital preservationNormally contains low-beta securitiesCapital Growth ObjectiveHigher-risk investment strategyEmphasis on more speculative investmentsNormally contains higher-beta securitiesTax Efficient ObjectiveEmphasis on capital gains and longer holding periods to defer income taxes,Copyright 2005 Pearson Addison-Wesley. All rights reserved.,5-44,Approaches to Asset Allocation,Fixed-Weightings Approach: asset allocation plan in which a fixed percentage of the portfolio is allocated to each asset categoryFlexible-Weightings Approach: asset allocation plan in which weights for each asset category are adjusted periodically based on market analysisTactical Approach: asset allocation plan that uses stock-index futures an