INVESTMENTS 投资学 （博迪BODIE, KANE, MARCUS）Chap025 Diversification.ppt

CHAPTER25,InternationalDiversification,2,Background,TheU.S.accountsforonlyaboutathirdofworldstockmarketcapitalization.Emergingmarketsmakeupabout16%oftheworldstockmarket.,OfthesixlargestcountriesU.S.,Japan,U.K.,France,HongKongandCanadamakeupabout62%oftheworldstockmarket.TheweightoftheU.S.withinthisgroupofsixis54%.,3,Background,Clearly,U.S.stocksdonotcompriseafullydiversifiedequityportfolio.Internationalinvestingprovidesgreaterdiversificationopportunities.Italsocarriessomespecialrisks.,4,Figure25.1PerCapitaGDPandMarketCapitalizationasPercentageofGDP,5,Adevelopedstockmarketenrichesthepopulation.Home-countrybias:Investorsfrequentlyoverweighthome-countrystocks.Theymayevencompletelyignoreopportunitiesforinternationaldiversification.,Issues,6,ForeignExchangeRiskVariationinreturnduetochangesintheexchangerate.Foreigninvestmentsmayyieldmoreorlesshomecurrencythanexpected.Aforeigninvestmentissimultaneouslyaninvestmentinanoverseasassetandinaforeigncurrency.,RiskFactorsinInternationalInvesting,7,RiskFactorsinInternationalInvesting,ReturnexpressedinlocalcurrencyReturnobtainedwhenlocalcurrencyisexchangedforhomecurrency.,Twosourcesofvariationorrisk:,8,Supposetherisk-freerateinU.K.is10%andthecurrentexchangerateis$2/1.AU.S.investorwith$20,000canbuy10,000andinvestthemtoobtain11,000inoneyear.Ifthedepreciatesto$1.80,theinvestmentwillyieldonly$19,800,a$200loss.TheinvestmentwasnotriskfreetoaU.S.investor!,Example25.1ExchangeRateRisk,9,TheequationshowsthatthereturntotheU.S.investoris:Thepound-denominatedreturnMultipliedbyTheexchangerate“return”,Example25.1ExchangeRateRisk,10,Figure25.2StockMarketReturnsinU.S.DollarsandLocalCurrenciesfor2009,11,HedgingExchangeRateRisk,Futuresorforwardmarketsareusedtohedgetherisk.TheU.S.investorcanmakearisklessdollarreturneitherbyinvestinginUKbillsandhedgingexchangerateriskorbyinvestinginrisklessU.S.assets.,12,Inprinciple,securityanalysisatthemacroeconomic,industry,andfirm-specificlevelissimilarinallcountries.Inpractice,gettinggoodinformationaboutforeigninvestmentscanbemoredifficult.PRSGroup(PoliticalRiskServices)assessespoliticalriskbycountry.,PoliticalRisk,13,Table25.5VariablesusedinPRSsPoliticalRiskScore,14,Table25.6CurrentRiskRatingsandCompositeRiskForecasts,15,Table25.7CompositeandPoliticalRiskForecasts,16,Table25.7Interpretation,Thetablecapturescountryriskthroughscenarioanalysis.Riskstabilityisbasedonthedifferenceintheratingbetweenthebest-andworst-casescenarios.,17,Table25.8PoliticalRiskPointsbyComponent,18,ForeignInvestmentAvenues,Purchasesecuritiesdirectlyinthecapitalmarketsofothercountries.Americandepositoryreceipts(ADR)InternationalmutualfundsInternationalETFs,19,AreInvestmentsinEmergingMarketsRiskier?,Fortheoverallportfolio,standarddeviationofexcessreturnsistheappropriatemeasureofrisk.Foranassettobeaddedtothecurrentportfolio,beta(covariancewithU.S.portfolio)istheappropriatemeasureofrisk.,20,Figure25.3MonthlyStdDeviationofExcessReturnsinDeveloped,EmergingMarkets,21,Figure25.4IndexDollarReturnBetaonU.S.Stocks,20002009,22,Figure25.5AverageDollar-DenominatedExcessReturns,23,AverageCountry-IndexReturnsandCapitalAssetPricingTheory,Figure25.5showsaclearadvantagetoinvestinginemergingmarkets.Resultsareconsistentwithriskrankingbystandarddeviation,butnotwithrankingbybeta.Betarankingsmayfailbecauseofhome-countrybias,whichdominatesinternationalinvesting.,24,Correlationsbetweencountriessuggestinternationaldiversificationisbeneficial,especiallyforactiveinvestors.Globalizationmayhavecausedhighercross-countrycorrelations.Itspossibletoexpandtheefficientfrontiersome.Itspossibletoreducethesystematicrisklevelbelowthedomesticonlylevel.,BenefitsfromInternationalDiversification,25,Figure25.6InternationalDiversification,26,Figure25.8EfficientFrontierofCountryPortfolios,27,AreBenefitsPreservedinBearMarkets?,Correlationsbetweencountriesmayincreaseinacrisis.Rollsmodelsuggestsacommonfactorunderlyingthemovementofstocksaroundtheworld.,Prediction:Diversificationonlyprotectsagainstcountry-specificevents.Whathappenedin1987?In2008?,28,Figure25.9RegionalIndexesaroundtheCrash,October14October26,1987,29,Figure25.10BetaandSDofPortfolios,30,ThreeRulesofThumb,Topassivelydiversifyyourportfolio,includecountryindexesinorderof:Marketcapitalization(fromhightolow)BetaagainsttheU.S.(fromlowtohigh)Countryindexstandarddeviation(fromhightolow),31,Figure25.11Risksandrewardsofinternationalportfolios,20002009,32,Perf