《投资学博迪Cha》PPT课件 (2)

INVESTMENTS | BODIE, KANE,MARCUS
5
Money Market Securities
• Treasury b i l l s : Short-term debt of U.S. government
– Bid and asked price – Bank discount method
INVESTMENTS | BODIE, KANE,MARCUS
11
The Bond Market
• I n f l a t i o n - Protected Treasury Bonds
– TIPS: Provide inflation protection
• Federal Agency Debt
• Both t h e premium on bank CDs and the TED spread have often become g r e a t e r during periods of financial crisis
• During the credit c r i s i s of 2008, the fede government offered insurance t o money market mutual funds a f t e r some funds experienced losses
• Money market mutual funds allow i n d i v i d u a l s t o access t h e money market.
INVESTMENTS | BODIE, KANE,MARCUS
4
Table 2.1 Major Components of t h e Money Market

2-9
2.2 债券市场
1、中长期国债
① 期限： – 中期国债 – 期限最长是10年 – 长期国债 – 期限从10年到30年不等 ② 面值 – 1000美元； ③ 利息支付期—半年； ④ 行情– 以面值的百分比；1/32
INVESTMENTS | BODIE, KANE, MARCUS
2-10
2.2 债券市场
2.3 权益证券
• 1、普通股：代表所有权 – 剩余索取权最后 – 有限责任 • 2、优先股： 永续性 – 固定收益； – 求偿权优先于普通股，次于债券； – 税务处理：股利部分免税； • 美国存托凭证ADR：在美国市场上ODIE, KANE, MARCUS
INVESTMENTS | BODIE, KANE, MARCUS
2-21
标准普尔指数
• 标准普尔500指数：
– 涵盖500家公司的指数
– 市值加权指数
• 投资者可以购买指数投资组合:
– 购买与各种指数相对应的共同基金；
– 购买交易所交易基金 (ETFs)；
INVESTMENTS | BODIE, KANE, MARCUS
INVESTMENTS | BODIE, KANE, MARCUS
2-8
2.2 债券市场
• 1、中期国债和长期国债 • 2、通胀保值债券 • 3、联邦机构债券 • 4、国际债券 • 5、市政债券 • 6、公司债券 • 7、抵押贷款和抵押担保证券
INVESTMENTS | BODIE, KANE, MARCUS
第二章
资产类别与金融工具
INVESTMENTS | BODIE, KANE, MARCUS
McGraw-Hill/Irwin Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.

INVESTMENTS | BODIE, KANE, MARCUS
23-3
Foreign Exchange Futures
• Foreign exchange risk: You may get more or less home currency than you expected from a foreign currency denominated transaction.
• Results: – Cheaper and more flexible – Synthetic position; instead of holding or shorting all of the actual stocks in the index, you are long or short the index futures
23-13
Table 23.2 Correlations among Major U.S. Stock Market Indexes
INVESTMENTS | BODIE, KANE, MARCUS
23-14
Creating Synthetic Positions with Futures
• Index futures let investors participate in broad market movements without actually buying or selling large amounts of stock.
INVESTMENTS | BODIE, KANE, MARCUS
23-15
Creating Synthetic Positions with Futures
• Speculators on broad market moves are major players in the index futures market. – Strategy: Buy and hold T-bills and vary the position in market-index futures contracts. – If bullish, then long futures – If bearish, then short futures

投资者为什么喜欢凸性?
• 曲率大的债券价格在收益下降时的价格上升大于在收益上涨时的价格下降。 • 收益率越不稳定，这种不对称性的吸引力就越大。 • 对于凸性较大的债券而言，投资者必须付出更高的价格并接受更低的到期收
益率。
16-21
可赎回债券
• 当利率下降时，债券的市场价格有一个上限，债券价格不会超过其赎 回价格。
$1,000/1.053.7704 = $831.6717。价格下降 了0.0359%。
16-12
久期法则
法则 1 零息债券的久期等于它的到期时间。 法债则券2 久到期期较时短间。不变时，当息票率较高时， 法限则增3 加票而面增利加率。不变时，债券久期会随期
16-13
久期法则
法收则益4 率保较持低其时他，因息素票都债不券变的，久当期债会券较到长期。
5. 利率风险与债券票面利率成反比。 6. 债券价格对其收益变化的敏感性与当期
出售债券的到期收益率成反比。
16-3
图 16.1 作为到期收益率变化的函数的债券 价格变化
16-4
表 16.1 票面利率为8%的债券价格(半年付 息一次)
16-5
表 16.2 零息债券的价格(半年计一次复利)
16-6
16-37
积极债券管理：互换策略
• 替代互换 • 市场价差价互换 • 利率预期互换 • 纯收益获得互换 • 税收互换
16-38
水平分析
• 选择特定的持有期并预测该期末的收益 率曲线。
• 给定持有到期时债券的到期时间， – 它的收益可以从预测的收益率曲线和 计算的期末价格中得出
16-39
感谢下 载
• 负凸性 • 使用有效久期:
有效久期 P / P r

p
24-11
Risk Adjusted Performance: Treynor
2) Treynor Measure
(rP rf )
P
rp = Average return on the portfolio
rf = Average risk free rate ßp = Weighted average beta for portfolio
24-2
Introduction
• Two common ways to measure average portfolio return: 1. Time-weighted returns 2. Dollar-weighted returns • Returns must be adjusted for risk.
24-7
Time-Weighted Return
53 50 2 r1 10% 50 54 53 2 r2 5.66% 53
rG = [ (1.1) (1.0566) ]1/2 – 1 = 7.81% The dollar-weighted average is less than the time-weighted average in this example because more money is invested in year two, when the return was lower.
INVESTMENTS | BODIE, KANE, MARCUS
24-14
M Measure
• Developed by Modigliani and Modigliani • Create an adjusted portfolio (P*)that has the same standard deviation as the market index. • Because the market index and P* have the same standard deviation, their returns are comparable:

Security D and Security E
INVESTMENTS | BODIE, KANE, MARCUS
7-9
Two-Security Portfolio: Risk
• Another way to express variance of the portfolio:
2 P wD wDCov(rD , rD ) wE wE Cov(rE , rE ) 2wD wE Cov(rD , rE )
INVESTMENTS | BODIE, KANE, MARCUS
7-20
Figure 7.6 The Opportunity Set of the Debt and Equity Funds and Two Feasible CALs
INVESTMENTS | BODIE, KANE, MARCUS
7-15
Figure 7.3 Portfolio Expected Return as a Function of Investment Proportions
INVESTMENTS | BODIE, KANE, MARCUS
7-16
Figure 7.4 Portfolio Standard Deviation as a Function of Investment Proportions
INVESTMENTS | BODIE, KANE, MARCUS
7-5
Figure 7.2 Portfolio Diversification
INVESTMENTS | BODIE, KANE, MARCUS
7-6
Covariance and Correlation
• Portfolio risk depends on the correlation between the returns of the assets in the portfolio

《性健康教育学》配套光盘
人民卫生电子音像出版社
25-14
表25.6 综合评分与单项评分
《性健康教育学》配套光盘
人民卫生电子音像出版社
25-15
表 25.7 综合风险与政治风险预测
《性健康教育学》配套光盘
人民卫生电子音像出版社
25-16
表25.7 的解释
该表通过情景分析了解国家风险。 风险稳定度就是最好情况的风险值减去最
人民卫生电子音像出版社
25-27
熊市中国际分散化投资还会带来好处吗?
在资本市场动荡时 期，国家组合投资 收益之间的相关性 将增大。
罗尔模型揭示了全 球股价变动背后一 个广泛的因素。
预测：
分散化只能减轻各 国特殊事件的影响。
在1987年发生了什 么? 2008年呢?
《性健康教育学》配套光盘
人民卫生电子音像出版社
和外币。
《性健康教育学》配套光盘
人民卫生电子音像出版社
25-7
国际化投资的风险因素
风险变化的两 个来源:
1. 以当地货币计量的收益 率
2. 当地货币调整为本国货 币后的收益率
《性健康教育学》配套光盘
人民卫生电子音像出版社7
25-8
例 25.1 汇率风险
假设英国无风险利率为10% 现在的汇率是 1英镑兑2美元 。
一个投资者有20,000 美元，即可以购买 10,000 英镑，一年后投资可得11,000英镑。
如果汇率下跌为1英镑兑1.80美元那么最终 只能得到19, 800美元, 损失了200美元。
对美国投资者而言，这项投资并不是无风 险的。
《性健康教育学》配套光盘
人民卫生电子音像出版社
25-9

Rule 3 Holding the coupon rate constant, a bond’s duration generally increases with its time to maturity
INVESTMENTS | BODIE, KANE, MARCUS
16-14
Rules for Duration
Rule 4 Holding other factors constant, the duration of a coupon bond is higher when the bond’s yield to maturity is lower
Rules 5 The duration of a level perpetuity is equal to: (1+y) / y
• Bonds with greater curvature gain more in price when yields fall than they lose when yields rise.
• The more volatile interest rates, the more attractive this asymmetry.

(y)2
]
INVESTMENTS | BODIE, KANE, MARCUS
16-20
Figure 16.4 Convexity of Two Bonds
INVESTMENTS | BODIE, KANE, MARCUS
16-21
Why do Investors Like Convexity?
• Bonds with greater convexity have more curvature in the price-yield relationship.

– Semi strong form efficiency and fundamental analysis
INVESTMENTS | BODIE, KANE,MARCUS
1 1 - 11
Active or Passive Management
• Active Management
– An expensive strategy – Suitable only for very large portfolios
INVESTMENTS | BODIE, KANE,MARCUS
1 1 - 13
Resource Allocation
• I f markets were i n e f f i c i e n t , resources would be s y s t e m a t i c a l l y misallocated.
INVESTMENTS | BODIE, KANE,MARCUS
1 1 - 10
Types of Stock Analysis
• Fundamental Analysis - using economic and accounting information to predict stock prices
• How do we explain random stock p r i c e changes?
INVESTMENTS | BODIE, KANE,MARCUS
11-3
E f f i c i e n t Market Hypothesis (EMH)
• EMHsays stock p r i c e s already r e f l e c t a l l available information

is 54%.
INVESTMENTS | BODIE, KANE, MA2R5C-U2S
Background
• Clearly, U.S. stocks do not comprise a fully diversified equity portfolio.
• International investing provides greater diversification opportunities.
INVESTMENTS | BODIE, KANE, M2A5R-C1U4S
Table 25.7 Composite and Political Risk Forecasts
INVESTMENTS | BODIE, KANE, M2A5R-C1U5S
Table 25.7 Interpretation
Figure 25.4 Index Dollar Return Beta on U.S. Stocks, 2000–2009
INVESTMENTS | BODIE, KANE, M2A5R-C2U1S
Figure 25.5 Average Dollar-Denominated Excess Returns
INVESTMENTS | BODIE, KANE, M2A5R-C2U2S
Average Country-Index Returns and Capital Asset Pricing Theory
• Figure 25.5 shows a clear advantage to investing in emerging markets.
return either by investing in UK bills and