Chap022 Futures Markets 博迪投资学课件
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兹维博迪-投资学-第九版-中文PPT课件
1-31
1-25
-
系统性风险的上升
银行资产和负债的到期日和流动性之间并不匹配。
负债是短期的、流动的 资产是长期的、非流动的 需要不断再融资改善资产组合
高杠杆比率使得银行几乎没有保证金来确保其安全。
1-26
-
系统性风险的上升
投资者过分依赖结构化产品，如信用违约掉期来实现信 用升级。
信用违约掉期合约通常是场外交易，缺少公开披露，没 有要求保证金。
为什么会低估信用风险?
没有人会预料到房地产市场的价格会一直下跌 跨地区来分散风险的愿望并未实现 代理问题和评级机构 信用违约掉期并未像预计那样降低风险
1-22
-
信用违约掉期 (CDS)
信用违约掉期实质上是一种针对借款者违约的保险合同。 投资者购买次级贷款使用信用违约掉期来保证其安全性。
投资银行
• 同意买下新发行的股票 和债券
• 在一级市场上向公众销 售新证券
• 投资者在二级市场上买 卖一级市场发行的证券
商业银行
• 吸收存款、发放贷款
1-14
-
-
2008年的金融危机
金融危机的前情:
“大稳健”: 美国经历了一个低利率和经济稳定的时期，只有一 些温和的经济衰退，经济周期似乎已被驯服。
第一章
1
投资环境
McGraw-Hill/Irwin
Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
-
-
实物资产与金融资产
实物资产 取决于该社会经济的生产能力，为经济创 造净利润。 如土地、建筑物、机器以及可用于生产产 品和提供服务的知识。
1-25
-
系统性风险的上升
银行资产和负债的到期日和流动性之间并不匹配。
负债是短期的、流动的 资产是长期的、非流动的 需要不断再融资改善资产组合
高杠杆比率使得银行几乎没有保证金来确保其安全。
1-26
-
系统性风险的上升
投资者过分依赖结构化产品，如信用违约掉期来实现信 用升级。
信用违约掉期合约通常是场外交易，缺少公开披露，没 有要求保证金。
为什么会低估信用风险?
没有人会预料到房地产市场的价格会一直下跌 跨地区来分散风险的愿望并未实现 代理问题和评级机构 信用违约掉期并未像预计那样降低风险
1-22
-
信用违约掉期 (CDS)
信用违约掉期实质上是一种针对借款者违约的保险合同。 投资者购买次级贷款使用信用违约掉期来保证其安全性。
投资银行
• 同意买下新发行的股票 和债券
• 在一级市场上向公众销 售新证券
• 投资者在二级市场上买 卖一级市场发行的证券
商业银行
• 吸收存款、发放贷款
1-14
-
-
2008年的金融危机
金融危机的前情:
“大稳健”: 美国经历了一个低利率和经济稳定的时期，只有一 些温和的经济衰退，经济周期似乎已被驯服。
第一章
1
投资环境
McGraw-Hill/Irwin
Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
-
-
实物资产与金融资产
实物资产 取决于该社会经济的生产能力，为经济创 造净利润。 如土地、建筑物、机器以及可用于生产产 品和提供服务的知识。
Chap002 资产类别与金融工具兹维 博迪 《投资学 》第九版课件PPT
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
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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
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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)；
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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 投资学 (博迪BODIE, KANE, MARUS)Chap022 Futures Markets
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22-17
Futures Pricing
Spot-futures parity theorem - two ways to acquire an asset for some date in the future:
1. Purchase it now and store it 2. Take a long position in futures
INVESTMENTS | BODIE, KANE, MARCUS
22-19
Hedge Example: Section 22.4
• Investor holds $1000 in a mutual fund indexed to the S&P 500. • Assume dividends of $20 will be paid on the index fund at the end of the year. • A futures contract with delivery in one year is available for $1,010. • The investor hedges by selling or shorting one contract .
Futures and Forwards
• Forward – a deferred-delivery sale of an
asset with the sales price agreed on now.
• Futures - similar to forward but feature formalized and standardized contracts. • Key difference in futures – Standardized contracts create liquidity – Marked to market – Exchange mitigates credit risk
22-17
Futures Pricing
Spot-futures parity theorem - two ways to acquire an asset for some date in the future:
1. Purchase it now and store it 2. Take a long position in futures
INVESTMENTS | BODIE, KANE, MARCUS
22-19
Hedge Example: Section 22.4
• Investor holds $1000 in a mutual fund indexed to the S&P 500. • Assume dividends of $20 will be paid on the index fund at the end of the year. • A futures contract with delivery in one year is available for $1,010. • The investor hedges by selling or shorting one contract .
Futures and Forwards
• Forward – a deferred-delivery sale of an
asset with the sales price agreed on now.
• Futures - similar to forward but feature formalized and standardized contracts. • Key difference in futures – Standardized contracts create liquidity – Marked to market – Exchange mitigates credit risk
滋维博迪投资学Chap02.ppt
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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
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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.
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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
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
《投资学博迪Cha》PPT课件
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
《投资学》(博迪)ppt课件
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表25.6 综合评分与单项评分
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表 25.7 综合风险与政治风险预测
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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
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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?
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和外币。
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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
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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。
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博迪投资学第九版课件
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18-8
Intrinsic Value and Market Price
• The intrinsic value (IV) is the “true” value, according to a model. • The market value (MV) is the consensus value of all market participants Trading Signal: IV > MV Buy IV < MV Sell or Short Sell IV = MV Hold or Fairly Priced
2013
kg
kg
0.111 0.077
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18-22
Honda Example
18-18
Example 18.4 Growth Opportunities
• Firm reinvests 60% of its earnings in projects with ROE of 10%, capitalization rate is 15%. Expected year-end dividend is $2/share, paid out of earnings of $5/share. • g=ROE x b = 10% x .6 = 6%
$5 PVGO $22.22 $11.11 .15
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18-20
Life Cycles and Multistage Growth Models • Expected dividends for Honda: 2010 $.50 2012 $ .83 2011 $.66 2013 $1.00 • Since the dividend payout ratio is 30% and ROE is 11%, the “steadystate” growth rate is 7.7%.
18-8
Intrinsic Value and Market Price
• The intrinsic value (IV) is the “true” value, according to a model. • The market value (MV) is the consensus value of all market participants Trading Signal: IV > MV Buy IV < MV Sell or Short Sell IV = MV Hold or Fairly Priced
2013
kg
kg
0.111 0.077
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18-22
Honda Example
18-18
Example 18.4 Growth Opportunities
• Firm reinvests 60% of its earnings in projects with ROE of 10%, capitalization rate is 15%. Expected year-end dividend is $2/share, paid out of earnings of $5/share. • g=ROE x b = 10% x .6 = 6%
$5 PVGO $22.22 $11.11 .15
INVESTMENTS | BODIE, KANE, MARCUS
18-20
Life Cycles and Multistage Growth Models • Expected dividends for Honda: 2010 $.50 2012 $ .83 2011 $.66 2013 $1.00 • Since the dividend payout ratio is 30% and ROE is 11%, the “steadystate” growth rate is 7.7%.
Chap022 Futures Markets 博迪投资学课件
CHAPTER 22 Futures Markets
McGraw-Hill/Irwin
Investments, 8th edition
Bodie, Kane and Marcus
Slides by Susan Hine
Copyright © 2009 by The McGraw-Hill Companies, Inc. All rights reserved.
22-21
Spread Pricing: Parity for Spreads
F(T1 ) S0 (1 rf d)T1 F(T2 ) S0 (1 rf d)T2 F(T2 ) F(T1 )(1 rf dld Futures Prices
• Assume dividends of $25 will be paid on the index at the end of the year
• Assume futures contract that calls for delivery in one year is available for $1,550
Convergence of Price - as maturity approaches the spot and futures price converge
Delivery - Actual commodity of a certain grade with a delivery location or for some contracts cash settlement
actual delivery
• Open Interest
22-7
Figure 22.3 Panel A, Trading without a Clearinghouse. Panel B, Trading with a
McGraw-Hill/Irwin
Investments, 8th edition
Bodie, Kane and Marcus
Slides by Susan Hine
Copyright © 2009 by The McGraw-Hill Companies, Inc. All rights reserved.
22-21
Spread Pricing: Parity for Spreads
F(T1 ) S0 (1 rf d)T1 F(T2 ) S0 (1 rf d)T2 F(T2 ) F(T1 )(1 rf dld Futures Prices
• Assume dividends of $25 will be paid on the index at the end of the year
• Assume futures contract that calls for delivery in one year is available for $1,550
Convergence of Price - as maturity approaches the spot and futures price converge
Delivery - Actual commodity of a certain grade with a delivery location or for some contracts cash settlement
actual delivery
• Open Interest
22-7
Figure 22.3 Panel A, Trading without a Clearinghouse. Panel B, Trading with a
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Cash Settlement – some contracts are settled in cash rather than delivery of the underlying assets
22-10ห้องสมุดไป่ตู้
Trading Strategies
• Speculation -
– short - believe price will fall – long - believe price will rise
• Basis Risk - the variability in the basis that will affect profits and/or hedging performance
22-12
Figure 22.4 Hedging Revenues Using Futures, Example 22.5 (Futures Price = $97.15)
actual delivery
• Open Interest
22-7
Figure 22.3 Panel A, Trading without a Clearinghouse. Panel B, Trading with a
Clearinghouse
22-8
Margin and Trading Arrangements
22-13
Futures Pricing
Spot-futures parity theorem - two ways to acquire an asset for some date in the future
• Purchase it now and store it • Take a long position in futures • These two strategies must have the same
22-6
Trading Mechanics
• Clearinghouse - acts as a party to all buyers and sellers
– Obligated to deliver or supply delivery
• Closing out positions
– Reversing the trade – Take or make delivery – Most trades are reversed and do not involve
market determined costs
22-14
Spot-Futures Parity Theorem
• With a perfect hedge the futures payoff is certain -- there is no risk
• A perfect hedge should return the riskless rate of return
22-2
22-3
Figure 22.1 Futures Listings
22-4
Figure 22.2 Profits to Buyers and Sellers of Futures and Option Contracts
22-5
Table 22.1 Sample of Future Contracts
• Hedging -
– long hedge - protecting against a rise in price – short hedge - protecting against a fall in price
22-11
Basis and Basis Risk
• Basis - the difference between the futures price and the spot price – over time the basis will likely change and will eventually converge
• This relationship can be used to develop futures pricing relationship
22-15
Hedge Example: Section 22.4
Maintenance or variation margin - an established value below which a trader’s margin may not fall
22-9
Margin and Trading Arrangements Continued
Margin call - when the maintenance margin is reached, broker will ask for additional margin funds
Initial Margin - funds deposited to provide capital to absorb losses
Marking to Market - each day the profits or losses from the new futures price are reflected in the account
CHAPTER 22 Futures Markets
McGraw-Hill/Irwin
Investments, 8th edition
Bodie, Kane and Marcus
Slides by Susan Hine
Copyright © 2009 by The McGraw-Hill Companies, Inc. All rights reserved.
Convergence of Price - as maturity approaches the spot and futures price converge
Delivery - Actual commodity of a certain grade with a delivery location or for some contracts cash settlement
22-10ห้องสมุดไป่ตู้
Trading Strategies
• Speculation -
– short - believe price will fall – long - believe price will rise
• Basis Risk - the variability in the basis that will affect profits and/or hedging performance
22-12
Figure 22.4 Hedging Revenues Using Futures, Example 22.5 (Futures Price = $97.15)
actual delivery
• Open Interest
22-7
Figure 22.3 Panel A, Trading without a Clearinghouse. Panel B, Trading with a
Clearinghouse
22-8
Margin and Trading Arrangements
22-13
Futures Pricing
Spot-futures parity theorem - two ways to acquire an asset for some date in the future
• Purchase it now and store it • Take a long position in futures • These two strategies must have the same
22-6
Trading Mechanics
• Clearinghouse - acts as a party to all buyers and sellers
– Obligated to deliver or supply delivery
• Closing out positions
– Reversing the trade – Take or make delivery – Most trades are reversed and do not involve
market determined costs
22-14
Spot-Futures Parity Theorem
• With a perfect hedge the futures payoff is certain -- there is no risk
• A perfect hedge should return the riskless rate of return
22-2
22-3
Figure 22.1 Futures Listings
22-4
Figure 22.2 Profits to Buyers and Sellers of Futures and Option Contracts
22-5
Table 22.1 Sample of Future Contracts
• Hedging -
– long hedge - protecting against a rise in price – short hedge - protecting against a fall in price
22-11
Basis and Basis Risk
• Basis - the difference between the futures price and the spot price – over time the basis will likely change and will eventually converge
• This relationship can be used to develop futures pricing relationship
22-15
Hedge Example: Section 22.4
Maintenance or variation margin - an established value below which a trader’s margin may not fall
22-9
Margin and Trading Arrangements Continued
Margin call - when the maintenance margin is reached, broker will ask for additional margin funds
Initial Margin - funds deposited to provide capital to absorb losses
Marking to Market - each day the profits or losses from the new futures price are reflected in the account
CHAPTER 22 Futures Markets
McGraw-Hill/Irwin
Investments, 8th edition
Bodie, Kane and Marcus
Slides by Susan Hine
Copyright © 2009 by The McGraw-Hill Companies, Inc. All rights reserved.
Convergence of Price - as maturity approaches the spot and futures price converge
Delivery - Actual commodity of a certain grade with a delivery location or for some contracts cash settlement