TheInvestmentSetting(投资分析与投资组合管理).ppt

,LecturePresentationSoftwaretoaccompanyInvestmentAnalysisandPortfolioManagementSeventhEditionbyFrankK.Reilly&KeithC.Brown,Chapter1TheInvestmentSetting,Questionstobeanswered:Whydoindividualsinvest?Whatisaninvestment?Howdowemeasuretherateofreturnonaninvestment?Howdoinvestorsmeasureriskrelatedtoalternativeinvestments?,Chapter1TheInvestmentSetting,Whatfactorscontributetotheratesofreturnthatinvestorsrequireonalternativeinvestments?Whatmacroeconomicandmicroeconomicfactorscontributetochangesintherequiredrateofreturnforindividualinvestmentsandinvestmentsingeneral?,WhyDoIndividualsInvest?,Bysavingmoney(insteadofspendingit),individualstradeoffpresentconsumptionforalargerfutureconsumption.,HowDoWeMeasureTheRateOfReturnOnAnInvestment?,Thepurerateofinterestistheexchangeratebetweenfutureconsumptionandpresentconsumption.Marketforcesdeterminethisrate.,Peopleswillingnesstopaythedifferenceforborrowingtodayandtheirdesiretoreceiveasurplusontheirsavingsgiverisetoaninterestratereferredtoasthepuretimevalueofmoney.,HowDoWeMeasureTheRateOfReturnOnAnInvestment?,Ifthefuturepaymentwillbediminishedinvaluebecauseofinflation,thentheinvestorwilldemandaninterestratehigherthanthepuretimevalueofmoneytoalsocovertheexpectedinflationexpense.,HowDoWeMeasureTheRateOfReturnOnAnInvestment?,Ifthefuturepaymentfromtheinvestmentisnotcertain,theinvestorwilldemandaninterestratethatexceedsthepuretimevalueofmoneyplustheinflationratetoprovideariskpremiumtocovertheinvestmentrisk.,HowDoWeMeasureTheRateOfReturnOnAnInvestment?,DefininganInvestment,Acurrentcommitmentof$foraperiodoftimeinordertoderivefuturepaymentsthatwillcompensatefor:thetimethefundsarecommittedtheexpectedrateofinflationuncertaintyoffutureflowoffunds.,MeasuresofHistoricalRatesofReturn,HoldingPeriodReturn,1.1,MeasuresofHistoricalRatesofReturn,HoldingPeriodYieldHPY=HPR-11.10-1=0.10=10%,1.2,AnnualHoldingPeriodReturnAnnualHPR=HPR1/nwheren=numberofyearsinvestmentisheldAnnualHoldingPeriodYieldAnnualHPY=AnnualHPR-1,MeasuresofHistoricalRatesofReturn,MeasuresofHistoricalRatesofReturn,ArithmeticMean,1.4,MeasuresofHistoricalRatesofReturn,GeometricMean,1.5,APortfolioofInvestments,ThemeanhistoricalrateofreturnforaportfolioofinvestmentsismeasuredastheweightedaverageoftheHPYsfortheindividualinvestmentsintheportfolio.,ComputationofHoldingPeriodYieldforaPortfolio,Exhibit1.1,ExpectedRatesofReturn,RiskisuncertaintythataninvestmentwillearnitsexpectedrateofreturnProbabilityisthelikelihoodofanoutcome,ExpectedRatesofReturn,1.6,RiskAversion,Theassumptionthatmostinvestorswillchoosetheleastriskyalternative,allelsebeingequalandthattheywillnotacceptadditionalriskunlesstheyarecompensatedintheformofhigherreturn,ProbabilityDistributions,Risk-freeInvestment,Exhibit1.2,ProbabilityDistributions,RiskyInvestmentwith3PossibleReturns,Exhibit1.3,ProbabilityDistributions,Riskyinvestmentwithtenpossibleratesofreturn,Exhibit1.4,MeasuringtheRiskofExpectedRatesofReturn,1.7,MeasuringtheRiskofExpectedRatesofReturn,StandardDeviationisthesquarerootofthevariance,1.8,MeasuringtheRiskofExpectedRatesofReturn,Coefficientofvariation(CV)ameasureofrelativevariabilitythatindicatesriskperunitofreturnStandardDeviationofReturnsExpectedRateofReturns,1.9,MeasuringtheRiskofHistoricalRatesofReturn,varianceoftheseriesholdingperiodyieldduringperiodIexpectedvalueoftheHPYthatisequaltothearithmeticmeanoftheseriesthenumberofobservations,1.10,DeterminantsofRequiredRatesofReturn,TimevalueofmoneyExpectedrateofinflationRiskinvolved,TheRealRiskFreeRate(RRFR),Assumesnoinflation.Assumesnouncertaintyaboutfuturecashflows.Influencedbytimepreferenceforconsumptionofincomeandinvestmentopportunitiesintheeconomy,AdjustingForInflation,RealRFR=,1.12,NominalRisk-FreeRate,DependentuponConditionsintheCapitalMarketsExpectedRateofInflation,AdjustingForInflation,NominalRFR=(1+RealRFR)x(1+ExpectedRateofInflation)-1,1.11,FacetsofFundamentalRisk,BusinessriskFinancialriskLiquidityriskExchangerateriskCountryrisk,BusinessRisk,UncertaintyofincomeflowscausedbythenatureofafirmsbusinessSalesvolatilityandoperatingleveragedeterminethelevelofbusinessrisk.,FinancialRisk,Uncertaintycausedbytheuseofdebtfinancing.Borrowingrequiresfixedpaymentswhichmustbepaidaheadofpaymentstostockholders.Theuseofdebtincreasesuncertaintyofstockholderincomeandcausesanincreaseinthestocksriskpremium.,LiquidityRisk,Uncertaintyisintroducedbythesecondarymarketforaninvestment.Howlongwillittaketoconvertaninvestmentintocash?Howcertainisthepricethatwillbereceived?,ExchangeRateRisk,Uncertaintyofreturnisintroducedbyacquiringsecuritiesdenominatedinacurrencydifferentfromthatoftheinvestor.Changesinexchangeratesaffecttheinvestorsreturnwhenconvertinganinvestmentbackintothe“home”currency.,CountryRisk,Politicalriskistheuncertaintyofreturnscausedbythepossibilityofamajorchangeinthepoliticaloreconomicenvironmentinacountry.Individualswhoinvestincountriesthathaveunstablepolitical-economicsystemsmustincludeacountryrisk-premiumwhendeterminingtheirrequiredrateofreturn,RiskPremium,f(BusinessRisk,FinancialRisk,LiquidityRisk,ExchangeRateRisk,CountryRisk)orf(SystematicMarketRisk),RiskPremiumandPortfolioTheory,Therelevantriskmeasureforanindividualassetisitsco-movementwiththemarketportfolioSystematicriskrelatesthevarianceoftheinvestmenttothevarianceofthemarketBetameasuresthissystematicriskofanasset,FundamentalRiskversusSystematicRisk,Fundamentalriskcomprisesbusinessrisk,financialrisk,liquidityrisk,exchangeraterisk,andcountryriskSystematicriskreferstotheportionofanindividualassetstotalvarianceattributabletothevariabilityofthetotalmarketportfolio,RelationshipBetweenRiskandReturn,Exhibit1.7,(Expected),ChangesintheRequiredRateofReturnDuetoMovementsAlongtheSML,Exhibit1.8,ChangesintheSlopeoftheSML,RPi=E(Ri)-NRFRwhere:RPi=riskpremiumforassetiE(Ri