ManagementStrategies投资分析与投资组合管理.ppt

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MarketsandSecurities投资分析与投资组合管理.ppt

• Value is depends directly on, or is derived from, the value of another security or commodity, called the underlying asset
• Forward and Futures contracts are agreements between two parties - the buyer agrees to purchase an asset from the seller at a specific date at a price agreed to now
terms, and are not liquid • Subject to credit risk or default risk • No payments until expiration • Agreement may be illiquid
Futures Contracts
• Standardized terms • Central market (futures exchange) • More liquidity • Less liquidity risk - initial margin • Settlement price - daily “marking to market”
Questions to be answered:
• What distinguishes a derivative security such as a forward, futures, or option contract, from more fundamental securities, such as stocks and bonds?

Chapter14IndustryAnalysis投资分析与投资组合管理.ppt

Lecture Presentation Software
to accompany
Investment Analysis and Portfolio Management
Seventh Edition by
Frank K. Reilly & Keith C. Brown
Chapter 14
Chapter 14 Industry Analysis
• Is the performance for firms within an industry consistent? What is the implication of these results for industry and company analysis?
• Is there a difference in risk among industries? What are the implications of these results for industry analysis?
Questions to be answered:
• Is there a difference between the returns for alternative industries during specific time periods? What is the implication of these results?
Chapter 14 Industry Analysis
• What is involved in a macroanalysis of the industry earnings multiplier?
• What are the steps in the microanalysis of an industry earnings multiplier?

投资组合管理PPT课件

买的其它资产时，就没打算再把它换回现金资产。 • 而投资，至少从目的上来讲，是希望转化的资产能产生更多的现金资产 • 比如，我们用钱买食品饮料，买来的食品饮料吃完喝完后不会再变回钱，这就是
消费。 • 如果花钱买万达影业的股票，等股票涨了或分红之后卖掉，得到更多的钱，就是
投资。
授课：XXX
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相关理论发展脉络
• 效用函数可分为三类：凹性效用函数、凸性效用函数和线性效用函数，分别表示投资者对风险持回避态度、喜好态度和中性态度。
2021/3/29
授课：XXX
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风险态度的测定－赌徒心态
设一赌局，G(a,b,)，其中 a 和 b 为结果，为结果 a 发
生的概率。
对于一给定赌局 G($100, 0, 40%)，终盘的期望值 = $100 0.4 + 0 0.6 = $40 赌徒的问题是：拿走$40，还是“开赌”？赌徒的选择：
•从前，某地闹起了水灾，洪水吞没了土地和房屋。人们纷纷爬上了山顶和大树，想要逃脱这场灾难。
•在一棵大树上，地主和长工聚集到一起。地主紧紧地抱着一盒金子，警惕地注视着长工的一举一动，害怕长工会趁机把金子抢走。长工则提着一篮玉米面饼，呆呆地看着滔滔大水。除了这篮面饼，长工已一无所有了。
•几天过去了，四处仍旧是白茫茫一片。长工饿了就吃几口饼，地主饿了却只有看着金子发呆。地主舍不得用金子去换饼，长工也不愿白白地把饼送给地主。
• 之后，在Fama等人的努力下，现代金融学的理论出发点与归宿——有效市场假说正式确立，而对该假说的质疑则导致了行为金融理论的产生。
授课：XXX
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几个相关概念——效用、风险态度
效用（Utility）
• 效用：表示消费者从消费物品中得到的主观享受或满足。满足程度高，效用大；满足程度低，效用小。

andValuationofBonds投资分析与投资组合管理63页PPT

Pm = market price of the bond
AYC
Ct
Pc
Pm nc
Ct = annual coupon payment
PcБайду номын сангаас Pm
nc = the number of years to first call date
2
Promised Yield to Call
Present-Value Method
Ci (1 i
2 2)t
(1
Pp i 2)
2
n
Where:
i = the discount rate that will discount the cash flows to equal the current market price of the bond
Computing Bond Yields
• What is modified duration and what is the relationship between a bond’s modified duration and its volatility?
Chapter 19 - The Analysis and Valuation of Bonds
Yield Measure
Nominal Yield
Purpose
Measures the coupon rate
Current yield
Measures current income rate
Promised yield to maturity
Measures expected rate of return for bond held to maturity

AllocationDecision(投资分析与投资组合管理).pptx

Lecture Presentation Software
to accompany
Investment Analysis and Portfolio Management
Seventh Edition by
Frank K. Reilly & Keith C. Brown
Chapter 2
Chapter 2 The Asset Allocation Decision
Short-term: House Car
Consolidation Phase Spending Phase
Long-term:
Gifting Phase
Retirement
Long-term:
Short-term:
Estate Planning
Vacations
Short-term:
Children’s College
Financial Plan Preliminaries
Insurance
– Life insurance
• Term life insurance - Provides death benefit only. Premium could change every renewal period
• Universal and variable life insurance – provide cash value plus death benefit
Lifestyle
Needs Gifts
Age
25 35 45 55 65 75
Life Cycle Investment Goals
• Near-term, high-priority goals • Long-term, high-priority goals • Lower-priority goals

MarketAnalysis(投资分析与投资组合管理).pptx

Questions to be answered:
• How do we apply the basic reduced form dividend discount model (DDM) to the valuation of the aggregate stock market?
• What would be the prevailing value of the market as presented by the S&P DM?
• What are some differences between stock market statistics for the U.S. versus other countries?
Applying the DDM Valuation Model to the Market
• The stream of expected returns
• What would be the prevailing value of the market (S&P 400) based upon the value of free cash flow to equity (FCFE) model?
Chapter 13 Stock Market Analysis
– Return on equity (ROE) – rate of return earned on investment
An increase in either or both of these variables causes an increase in the expected growth rate (g) and an increase in the earnings multiplier

投资者投资组合策略ppt课件

16.5万亿元接着，统计过去三年中国股市的流通市值和总市
值，取其每季度报告之总市值的平均值。以股票市场流通市值为目的，总计6.1万亿以股票市场总市值为目的，总计20.8万亿
2021年9月债券托管量〔亿元〕
资料来源：中国债券网
ห้องสมุดไป่ตู้国股市总量统计〔亿元RMB〕
时间 2009-09 2009-06 2009-03 2008-12 2008-09 2008-06 2008-03 2007-12 2007-09 2007-06 2007-03 2006-12 2006-09 平均值
综合组合绩效衡量方法
对一个资产组合经理，主要的要求有两方面
可以获得在一个给定的风险程度上超出平均报答的才干
充分分散组合来消除一切的非系统风险的才干。
综合组合业绩衡量方法就是被设计来度量这种获得风险调整后收益的才干
综合组合绩效衡量方法
在60年代之前，投资者评价组合表现几乎完全的基于绝对报答率的数据，投资者虽然知道风险的概念，但不知道如何将它定量化，所以不能很完美的了解它。60年代的组合实际的开展显示给投资者如何来定量化的丈量风险〔动摇〕，从此以后，人们开展出一系列丈量风险调整收益的方法。
谢谢！
2021.12
资产配置操作战略简介
资产组合经理必需思索资产组合中股票和债券之间比重问题
经理也必需决议整个资产组合中资产比例的合理配置的调整战略。大约来说，有如下四种决议资产组合的混合战略：
整合型配置战略战略型配置战略〔稳定混合型〕组合保险型战略战术型配置战略
资产配置战略的适用者
当市场行情上涨时，投资组合的财富也会添加。人们容易忘记的是，财富的添加伴随着预期收益的减少。对于财富变化，不同的投资者会表现出不同的反响。在最近的市场动摇之后，不同投资者对适当资产配置的反响也不同。

RiskandReturn投资分析与投资组合管理.ppt

= reaction in asset i’s returns to movements in a common bik factor
= a common factor with a zero mean that influences the k returns on all assets
= a unique effect on asset i’s return that, by assumption, is i completely diversifiable in large portfolios and has a mean of zero
Assumptions of CAPM That Were Not Required by APT
APT does not assume • A market portfolio that contains all risky
assets, and is mean-variance efficient • Normally distributed security returns • Quadratic utility function
Arbitrage Pricing Theory (APT)
Rt Et bi1i bi2i ... bik k i
For i = 1 to N where:
Ri = return on asset i during a specified time period
Arbitrage Pricing Theory (APT) Rt Et bi1i bi2i ... bik k i
Lecture Presentation Software
to accompany

投资组合管理ppt课件

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存在无风险证券时的风险厌恶者的最优投资策略：分离性质分离性质：无论投资者的风险厌恶如何，他们选择相同的风
险资产投资组合
最优资产组合选择过程可以分成两步：
决定最优风险资产组合依据风险厌恶的程度在无风险资产和风险资产之间配置资本。
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a limited number of portfolios may be sufficient to serve the demands of a wide range of investors, this is the theoretical basis of the mutual fund industry.
假设投资者有一笔资金在现时进行投资，这笔资金要投资一段特定的时期，即所谓投资者的持有期。在持有期的期末，投资者将卖掉在期初购买的所有证券，然后将所得收入用于消费或者再投资。
投资者仅仅根据预期收益率和标准差来进行他们的组合的决策。这就是说，投资者将估计出每一组合的预期收益率和标准差，并基于这两个参数的相对大小来选择“最好的”一个。
风险厌恶也指投资者不会选择fair game，fair game指预期回报率为0的赌博
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A 资产组合选择问题 3. 效用
Markowitz的资产组合选择问题表述为最大化投资者末期财富的期望效用
效用财富函数
非满足性=》边际效用为正
U (W ) 0
风险厌恶=》边际效用递减

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A 资产组合选择问题 2. 不满足与风险厌恶(NONSATIATION AND RISK AVERSION)

RiskandReturn(投资分析与投资组合管理).pptx

• What are multifactor models and how are related to the APT?
• What are the steps necessary in developing a usable multifactor model?
• What are the multifactor models in practice?
• An alternative pricing theory with fewer assumptions was developed:
• Arbitrage Pricing Theory
Arbitrage Pricing Theory - APT
Three major assumptions: 1. Capital markets are perfectly competitive 2. Investors always prefer more wealth to less wealth with certainty 3. The stochastic process generating asset returns can be expressed as a linear function of a set of K factors or indexes
• How is risk estimated in a multifactor setting?
Arbitrage Pricing Theory (APT)
• CAPM is criticized because of the difficulties in selecting a proxy for the market portfolio as a benchmark

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• Fewer stocks means lower commissions • Reinvestment of dividends is less difficult • Will not track the index as closely, so there will
be some tracking error
• Full replication • Sampling • Quadratic optimization or
programming
Full Replication
• All securities in the index are purchased in proportion to weights in the index
• Replicate the performance of an index • May slightly underperform the target index
due to fees and commissions • Costs of active management (1 to 2 percent)
• This helps ensure close tracking • Increases transaction costs, particularly
with dividend reinvestment
Sampling
• Buys a representative sample of stocks in the benchmark index according to their weights in the index
Questions to be answered:
• What are the two generic equity portfolio management styles?
• What are three techniques for constructing a passive index portfolio?
Technical Strategies
• Contrarian investment strategy • Price momentum strategy • Earnings momentum strategy
Value versus Growth
• Growth stocks will outperform value stocks for a time and then the opposite occurs
1.0
500 400 300 200 100 0
Number of Stocks
Quadratic Optimization (or programming techniques)
• Historical information on price changes and correlations between securities are input into a computer program that determines the composition of a portfolio that will minimize tracking error with the benchmark
• This relies on historical correlations, which may change over time, leading to failure to track the index
Methods of Index Portfolio Investing
• Index Funds
Expected Tracking Error Between the S&P 500 Index and Portfolio Samples of Less Than 500 Stocks
Expected Tracking Error (Percent)
4.0
Exhibit Leabharlann 7.23.02.0
Lecture Presentation Software
to accompany
Investment Analysis and Portfolio Management
Seventh Edition by
Frank K. Reilly & Keith C. Brown
Chapter 17
Chapter 17 - Equity Portfolio Management Strategies
• How does the goal of a passive equity portfolio manager differ from the goal of an active manager?
• What is a portfolio’s tracking error and how is it useful in the construction of a passive equity investment?
• How can futures and options be useful in managing an equity portfolio?
Passive versus Active Management
• Passive equity portfolio management
– Long-term buy-and-hold strategy – Usually tracks an index over time – Designed to match market performance – Manager is judged on how well they track the
• What stock characteristics differentiate valueoriented and growth-oriented investment styles?
• What is style analysis and what does it indicate about a manager’s investment performance?
Sector Rotation
• Position a portfolio to take advantage of the market’s next move
• Screening can be based on various stock characteristics:
– Value – Growth – P/E – Capitalization – Sensitivity to economic variables
• Practical difficulties of active manager
– Transactions costs must be offset – Risk can exceed passive benchmark
Fundamental Strategies
• Top-down versus bottom-up approaches • Asset and sector rotation strategies
• Over time value stocks have offered somewhat higher returns than growth stocks
Value versus Growth
• Growth-oriented investor will:
– focus on EPS and its economic determinants
– Attempt to replicate a benchmark index
• Exchange-Traded Funds
– EFTs are depository receipts that give investors a pro rata claim on the capital gains and cash flows of the securities that are held in deposit by a financial institution that issued the certificates
level
Style
• Construct a portfolio to capture one or more of the characteristics of equity securities
• Small-capitalization stocks, low-P/E stocks, etc…
target index
• Active equity portfolio management
– Attempts to outperform a passive benchmark portfolio on a risk-adjusted basis
An Overview of Passive Equity Portfolio Management Strategies
Chapter 17 - Equity Portfolio Management Strategies
• What techniques are used by active managers in an attempt to outperform their benchmark?
• What are differences between the integrated, strategic, tactical, and insured approaches to asset allocation?
Chapter 17 - Equity Portfolio Management Strategies