投资分析与组合管理第三章ppt课件.ppt

LecturePresentationSoftwaretoaccompanyInvestmentAnalysisandPortfolioManagementSeventhEditionbyFrankK Reilly KeithC Brown Chapter3 Chapter3 SelectingInvestmentsinaGlobalMarket Questionstobeanswered Whyshouldinvestorshaveaglobalperspectiveregardingtheirinvestments Chapter3 SelectingInvestmentsinaGlobalMarket Questionstobeanswered WhathashappenedtotherelativesizeofU S andforeignstockandbondmarkets Chapter3 SelectingInvestmentsinaGlobalMarket Questionstobeanswered WhatarethedifferencesintheratesofreturnonU S andforeignsecuritiesmarkets Chapter3 SelectingInvestmentsinaGlobalMarket Questionstobeanswered HowcanchangesincurrencyexchangeratesaffectthereturnsthatU S investorsexperienceonforeignsecurities Chapter3 SelectingInvestmentsinaGlobalMarket Questionstobeanswered Isthereanadditionaladvantageofdiversifyingininternationalmarketsbeyondthebenefitsofdomesticdiversification Chapter3 SelectingInvestmentsinaGlobalMarket Questionstobeanswered Whatalternativesecuritiesareavailable Whataretheircashflowandriskproperties Chapter3 SelectingInvestmentsinaGlobalMarket Questionstobeanswered Whatisthehistoricalreturnandriskcharacteristicsofthemajorinvestmentinstruments Chapter3 SelectingInvestmentsinaGlobalMarket Questionstobeanswered Whatistherelationshipamongreturnsforforeignanddomesticinvestmentinstruments Whatistheimplicationoftheserelationshipsforportfoliodiversification Reasonsfortheexpansionofinvestmentopportunities Growthanddevelopmentofforeignfinancialmarkets2 Advancesintelecommunicationstechnology3 Mergersoffirmsandsecurityexchanges TheCaseforConstructingGlobalInvestmentPortfolios IgnoringforeignmarketscansubstantiallyreducetheinvestmentchoicesforU S investorsTheratesofreturnonnon U S securitiesoftenhavesubstantiallyexceededthoseforU S onlysecuritiesThelowcorrelationbetweenU S stockmarketsandmanyforeignmarketscanhelptosubstantiallyreduceportfoliorisk RelativeSizeofU S FinancialMarkets TheshareoftheU S inworldcapitalmarketshasdroppedfromabout65percentofthetotalin1969toabout48percentin2000Thegrowingimportanceofforeignsecuritiesinworldcapitalmarketsislikelytocontinue RelativeSizeofU S FinancialMarkets Overallvalueofthetotalinvestablecapitalmarkethasincreasedfrom 2 3Trillionin1969to 63 8Trillionin2000andtheU S portionhasdeclinedtolessthanhalf Thistrendislikelytocontinue TheCaseforGlobalInvestments Ratesofreturnavailableonnon U S securitiesoftenexceedU S Securitiesduetohighergrowthratesinforeigncountries especiallytheemergingmarkets TheCaseforGlobalInvestments DiversificationwithforeignsecuritiescanhelpreduceportfolioriskbecauseforeignmarketshavelowcorrelationwithU S capitalmarkets GlobalBondPortfolioRisk MacroeconomicdifferencescausethecorrelationofbondreturnsbetweentheUnitedStatesandforeigncountriestodifferThecorrelationofreturnsbetweenasinglepairofcountrieschangesovertimebecausethefactorsinfluencingthecorrelationchangeovertime GlobalBondPortfolioRisk LowpositivecorrelationOpportunitiesforU S investorstoreduceriskCorrelationchangesovertimeAddingnon correlatedforeignbondstoaportfolioofU S bondsincreasestherateofreturnandreducestheriskoftheportfolio GlobalEquityPortfolioRisk LowpositivecorrelationOpportunitiestoreduceriskofstockportfoliobyincludingforeignstocks SummaryonGlobalInvesting RelativelyhighratesofreturncombinedwithlowcorrelationcoefficientsindicatethataddingforeignstocksandbondstoaU S portfoliowillreduceriskandmayincreaseitsaveragereturn GlobalInvestmentChoices Fixed incomeinvestmentsbondsandpreferredstocksEquityinvestmentsSpecialequityinstrumentswarrantsandoptionsFuturescontractsInvestmentcompaniesRealassets Fixed IncomeInvestments ContractualpaymentscheduleRecoursevariesbyinstrumentBondsinvestorsarelendersexpectinterestpaymentandreturnofprincipalPreferredstocksdividendsrequireboardofdirectorsapproval SavingsAccounts FixedearningsConvenientLiquidLowriskLowratesCertificatesofDeposit CDs instrumentsthatrequireminimumdepositsforspecifiedterms andpayhigherratesofinterestthansavingsaccounts Penaltyimposedforearlywithdrawal MoneyMarketCertificates CompeteagainstTreasurybills T bills Minimum 10 000MinimummaturityofsixmonthsRedeemableonlyatbankofissuePenaltyifwithdrawnbeforematurity CapitalMarketInstruments FixedincomeobligationsthattradeinsecondarymarketU S TreasurysecuritiesU S GovernmentagencysecuritiesMunicipalbondsCorporatebonds U S TreasurySecurities Bills notes orbonds dependingonmaturityBillsmatureinlessthan1yearNotesmaturein1 10yearsBondsmatureinover10yearsHighlyliquidBackedbythefullfaithandcreditoftheU S Government U S GovernmentAgencySecurities SoldbygovernmentagenciesFederalNationalMortgageAssociation FNMAorFannieMae FederalHomeLoanBank FHLB GovernmentNationalMortgageAssociation GNMAorGinnieMae FederalHousingAdministration FHA NotdirectobligationsoftheTreasuryStillconsidereddefault freeandfairlyliquid MunicipalBonds Issuedbystateandlocalgovernmentsusuallytofinanceinfrastructuralprojects Exemptfromtaxationbythefederalgovernmentandbythestatethatissuedthebond providedtheinvestorisaresidentofthatstateTwotypes Generalobligationbonds GOs Revenuebonds CorporateBonds IssuedbyacorporationFixedincomeCreditqualitymeasuredbyratingsMaturityFeaturesIndentureCallprovisionSinkingfund CorporateBonds SeniorsecuredbondsmostseniorbondsincapitalstructureandhavethelowestriskofdefaultMortgagebondssecuredbyliensonspecificassetsCollateraltrustbondssecuredbyfinancialassetsEquipmenttrustcertificatessecuredbytransportationequipment CorporateBonds DebenturesUnsecuredpromisestopayinterestandprincipalIncaseofdefault debentureownercanforcebankruptcyandclaimanyunpledgedassetstopayoffthebondsSubordinatedbondsUnsecuredlikedebentures butholdersofthesebondsmayclaimassetsafterseniorsecuredanddebentureholdersclaimshavebeensatisfied CorporateBonds IncomebondsInterestpaymentcontingentuponearningsufficientincomeConvertiblebondsOffertheupsidepotentialofcommonstockandthedownsideprotectionofabondUsuallyhavelowerinterestrates CorporateBonds WarrantsAllowsbondholdertopurchasethefirm scommonstockatafixedpriceforagiventimeperiodInterestratesusuallyloweronbondswithwarrantsattachedZerocouponbondOfferedatadeepdiscountfromthefacevalueNointerestduringthelifeofthebond onlytheprincipalpaymentatmaturity PreferredStock HybridsecurityFixeddividendsDividendobligationsarenotlegallybinding butmustbevotedonbytheboardofdirectorstobepaidMostpreferredstockiscumulativeCreditimplicationsofmissingdividendsCorporationsmayexclude70 ofdividendincomefromtaxableincome InternationalBondInvesting InvestorsshouldbeawarethatthereisaverysubstantialfixedincomemarketoutsidetheUnitedStatesthatoffersadditionalopportunityfordiversification InternationalBondInvesting BondidentificationcharacteristicsCountryoforiginLocationofprimarytradingmarketHomecountryofthemajorbuyersCurrencyofthesecuritydenominationEurobondAninternationalbonddenominatedinacurrencynotnativetothecountrywhereitisissued InternationalBondInvesting YankeebondsSoldintheUnitedStatesanddenominatedisU S dollars butissuedbyforeigncorporationsorgovernmentsEliminatesexchangerisktoU S investorsInternationaldomesticbondsSoldbyissuerwithinitsowncountryinthatcountry scurrency EquityInvestments Returnsarenotcontractualandmaybebetterorworsethanonabond EquityInvestments CommonStockRepresentsownershipofafirmInvestor sreturntiedtoperformanceofthecompanyandmayresultinlossorgain ClassificationofCommonStockCategorizedByGeneralBusinessLine Industrial manufacturersofautomobiles machinery chemicals beveragesUtilities electricalpowercompanies gassuppliers waterindustryTransportation airlines trucklines railroadsFinancial banks savingsandloans creditunions AcquiringForeignEquities 1 PurchaseofAmericanDepositoryReceipts ADRs 2 PurchaseofAmericanshares3 DirectpurchaseofforeignshareslistedonaU S orforeignstockexchange4 Purchaseofinternationalmutualfunds AmericanDepositoryReceipts ADRs EasiestwaytodirectlyacquireforeignsharesCertificatesofownershipissuedbyaU S bankthatrepresentsindirectownershipofacertainnumberofsharesofaspecificforeignfirmondepositinaU S bankinthefirm shomecountryBuyandsellinU S dollarsDividendsinU S dollarsMayrepresentmultiplesharesListedonU S exchangesVerypopular PurchaseorSaleofAmericanshares IssuedintheUnitedStatesbytransferagentonbehalfofaforeignfirmHigherexpensesLimitedavailability DirectPurchaseofForeignShares Directinvestmentinforeignequitymarkets difficultandcomplicatedduetoadministrative information taxation andmarketefficiencyproblemsPurchaseforeignstockslistedonaU S exchange limitedchoice PurchaseInternationalMutualFunds Globalfunds investinbothU S andforeignstocksInternationalfunds investmostlyoutsidetheU S FundscanspecializeDiversificationacrossmanycountriesConcentrateinasegmentoftheworldConcentrateinaspecificcountryConcentrateintypesofmarkets SpecialEquityInstruments Equity derivativesecuritieshaveaclaimoncommonstockofafirmOptionsarerightstobuyorsellatastatedpriceforaperiodoftimeWarrantsareoptionstobuyfromthecompanyPutsareoptionstoselltoaninvestorCallsareoptionstobuyfromastockholder FuturesContracts ExchangeofaparticularassetataspecifieddeliverydateforastatedpricepaidatthetimeofdeliveryDeposit 10 margin ismadebybuyeratcontracttoprotectthesellerCommoditiestradingislargelyinfuturescontractsCurrentpricedependsonexpectations FinancialFutures RecentdevelopmentofcontractsonfinancialinstrumentssuchasT bills Treasurybonds andEurobondsTradedmostlyonChicagoMercantileExchange CME andChicagoBoardofTrade CBOT AllowinvestorsandportfoliomanagerstoprotectagainstvolatileinterestratesCurrencyfuturesallowprotectionagainstchangesinexchangerates InvestmentCompanies RatherthanbuyindividualsecuritiesdirectlyfromtheissuertheycanbeacquiredindirectlythroughsharesinaninvestmentcompanyInvestmentcompaniessellsharesinitselfandusesproceedstobuysecuritiesInvestorsownpartoftheportfolioofinvestments InvestmentCompanies MoneymarketfundsAcquirehigh quality short terminvestmentsYieldsarehigherthannormalbankCDsTypicalminimuminvestmentis 1 000NosalescommissionchargesWithdrawalisbycheckwithnopenaltyInvestmentsusuallyarenotinsured InvestmentCompanies BondfundsInvestinlong termgovernment corporate ormunicipalbondsBondfundsvaryinbondqualityselectedforinvestmentExpectedreturnsvarywithriskofbonds InvestmentCompanies CommonstockfundsManydifferentfundswithvaryingstatedinvestmentobjectivesAggressivegrowth income preciousmetals internationalstocksOfferdiversificationtosmallerinvestorsSectorfundsconcentrateinanindustryInternationalfundsinvestoutsidetheUnitedStatesGlobalfundsinvestintheU S andothercountries InvestmentCompanies BalancedfundsInvestinacombinationofstocksandbondsdependingontheirstatedobjectives RealEstateInvestmentTrusts REITs InvestmentfundthatinvestsinavarietyofrealestatepropertiesConstructionanddevelopmenttrustsprovidebuilderswithconstructionfinancingMortgagetrustsprovidelong termfinancingforpropertiesEquitytrustsownvariousincome producingproperties DirectRealEstateInvestment PurchaseofahomeAveragecostofasingle familyhouseexceeds 100 000FinancingbymortgagerequiresdownpaymentHomeownerhopestosellthehouseforcostplusagain DirectRealEstateInvestment PurchaseofrawlandIntentionofsellinginfutureforaprofitOwnershipprovidesanegativecashflowduetomortgagepayments taxes andpropertymaintenanceRiskfromsellingforanuncertainpriceandlowliquidity DirectRealEstateInvestment LandDevelopmentBuyrawlandDivideintoindividuallotsBuildhousesorashoppingmallonitRequirescapital time andexpertiseReturnsfromsuccessfuldevelopmentcanbesignificant Low LiquidityInvestments Someinvestmentsdon ttradeonsecuritiesmarketsLackofliquiditykeepsmanyinvestorsawayAuctionsalescreatewidefluctuationsinpricesWithoutmarkets dealersincurhightransactioncosts Antiques Dealersbuyatestatesales refurbish andsellataprofitSeriouscollectorsmayenjoygoodreturnsIndividualsbuyingafewpiecestodecorateahomemayhavedifficultyovercomingtransactioncoststoeverenjoyaprofit Art InvestmentrequiressubstantialknowledgeofartandtheartworldAcquisitionofworkfromawell knownartistrequireslargecapitalcommitmentsandpatienceHightransactioncostsUncertaintyandilliquidity CoinsandStamps EnjoyedbymanyashobbyandasaninvestmentMarketismorefragmentedthanstockmarket butmoreliquidthanartandantiquesmarketsPricelistsarepublishedweeklyandmonthlyGradingspecificationsaidsalesWidespreadbetweenbidandaskprices Diamonds CanbeilliquidGradingdeterminesvalue butissubjectiveInvestment gradegemsrequiresubstantialinvestmentsNopositivecashflowuntilsoldCostsofinsurance storage andappraisal ReturnsofStocks Bonds andT Bills IbbotsonandSinquefield I S examinednominalandrealratesofreturnforsevenmajorclassesofassetsintheUnitedStates1 Large companycommonstocks2 Small capitalizationcommonstocks3 Long termU S governmentbonds4 Long termcorporatebonds5 Intermediate termU S Treasurybills6 U S Treasurybills7 Consumergoods inflation DerivedSeries HistoricalHighlights 1926 2001 I ScomputedgeometricandarithmeticmeanratesofreturnTheyderivedfourreturnpremiums1 Riskpremium2 Small stockpremium3 Horizonpremium4