ch02 risk and returnPPT课件
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RiskandReturn(投资分析与投资组合管理)精品文档
– Inflation
Arbitrage Pricing Theory (APT)
Multiple factors expected to have an impact on all assets:
– Inflation – Growth in GNP
Arbitrage Pricing Theory (APT)
• Why do some authors contend that the APT model is untestable?
• What are the concerns related to the multiple factors of the APT model?
Chapter 9 - Multifactor Models of Risk and Return
Lecture Presentation Software
to accompany
Investment Analysis and Portfolio Management
Seventh Edition by
Frank K. Reilly & Keith C. Brown
Chapter 9
Chapter 9 – Multifactor Models of Risk and Return
• 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?
Arbitrage Pricing Theory (APT)
Multiple factors expected to have an impact on all assets:
– Inflation – Growth in GNP
Arbitrage Pricing Theory (APT)
• Why do some authors contend that the APT model is untestable?
• What are the concerns related to the multiple factors of the APT model?
Chapter 9 - Multifactor Models of Risk and Return
Lecture Presentation Software
to accompany
Investment Analysis and Portfolio Management
Seventh Edition by
Frank K. Reilly & Keith C. Brown
Chapter 9
Chapter 9 – Multifactor Models of Risk and Return
• 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?
--and return(公司金融英文版) ppt课件
8-8 Markowitz Portfolio Theory
% probability
Standard Deviation VS. Expected Return
Investment D
20
18
16
14
12
10
8
6
4
2
0
-50
0
50
% return
McGraw Hill/Irwin
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved
McGraw Hill/Irwin
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved
8-4 Markowitz Portfolio Theory
Proportion of Days
Price changes vs. Normal distribution
Expected Return (%)
McGraw Hill/Irwin
Standard Deviation
Microsoft - Daily % change 1990-2001
0.14 0.12
0.1 0.08 0.06 0.04 0.02
0
-9 -8 -7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7 8 9
McGraw Hill/Irwin
Daily % Change
Copyright © 2003 by The McGraw-Hill Companies, Inc. AHale Waihona Puke l rights reserved
3_Risk and Return 风险与收益
Margin%
equity in account value of stock - loan value of stock value of stock
Risk and Return
-11-
Example 4.2
X Corp 50% 30% 1000 $70 Initial Margin Maintenance Margin Shares Purchased New Position Stock: $60,000 Loan: ($35,000) Equity: $25,000 Margin = 41.67%
Initial Position price falls to $60 Stock : $70,000 Loan: ($35,000) Equity: $35,000 Margin% = 50%
Risk and Return
-12-
Margin Calls
How far can the stock price fall before a margin call?
requirement is met not the maintenance margin
30% both Canada and US US regulator requires 25% but brokers usually require 30% Margin calls: requests to add equity to maintain 30% margin
Geometric mean reflects compound, cumulative returns over more than one period Arithmetic mean return capture typical return in a single period
CF2 Ch 05 Risk and Return 公司财务与金融 课件
Market risk is that part of a security’s stand-alone risk that cannot be eliminated by diversification.
Firm-specific, or diversifiable, risk is that part of a security’s stand-alone risk that can be eliminated by diversification.
21
Alternative Method: Find portfolio return in each economic state
22
Use portfolio outcomes to estimate risk and expected return
r^p = (3.0%)0.10 + (6.4%)0.20 + (10.0%)0.40 + (12.5%)0.20 + (15.0%)0.10 = 9.6%.
By forming well-diversified portfolios, investors can eliminate about half the risk of owning a single stock.
32
Can an investor holding one stock earn a return commensurate with its risk?
The reason is due to negative correlation (r) between Alta and Repo.
24
Bonus Slide: of Two-Stock Portfolio
Firm-specific, or diversifiable, risk is that part of a security’s stand-alone risk that can be eliminated by diversification.
21
Alternative Method: Find portfolio return in each economic state
22
Use portfolio outcomes to estimate risk and expected return
r^p = (3.0%)0.10 + (6.4%)0.20 + (10.0%)0.40 + (12.5%)0.20 + (15.0%)0.10 = 9.6%.
By forming well-diversified portfolios, investors can eliminate about half the risk of owning a single stock.
32
Can an investor holding one stock earn a return commensurate with its risk?
The reason is due to negative correlation (r) between Alta and Repo.
24
Bonus Slide: of Two-Stock Portfolio
《风险与回报》课件
投资中的风险与回报
1
投资的类型
包括股票、债券、房地产、大宗商品等不同类型的投资。
2
投资的风险与回报
不同类型的投资对应着不同的风险和回报水平。
3
如何降低投资风险
通过分散投资、定期评估投资组合和研究投资标的来降低投资风险。
风险与回报的案例分析
ห้องสมุดไป่ตู้
不同投资案例的风险与回报
通过具体的投资案例，探讨不同投资的风险水平和预期 回报。
风险计量
通过风险测度方法对风险进行定量或定性评估，如价值-at-risk(VaR)。
风险管理
风险规避
通过避免潜在风险源或采取行动 以消除或减少风险。
风险转移
将风险转嫁给其他主体，如购买 保险或与合作伙伴建立风险共担 关系。
风险接受
在面临不可避免的风险时，采取 积极措施并承担风险。
什么是回报
1 回报的定义
2 不同类型的回报
回报是投资所带来的收益或利润，可以是金钱、 资本增值、股息等形式。
包括利息收入、股票收益、房地产租金等不同类 型的回报。
风险与回报的关系
风险与回报的权衡
通常，较高的回报伴随着较高的风险，投资者需要权衡风险与回报的关系。
如何平衡风险与回报
通过多元化投资、制定风险管理策略和根据个人风险承受能力来平衡风险与回报。
风险管理对投资的影响
分析风险管理对投资决策和投资组合构建的重要性和影 响。
结论
1 风险和回报的关系是
必须平衡的
2 风险管理是投资成功
的关键
3 投资者需理性看待风
险和回报
投资者需要在追求高回报的 同时，合理控制风险。
有效的风险管理策略和工具 有助于提高投资的成功率。
第二章风险和回报 chapter2 risk and returnPPT课件
2020/7/21
Ch2 Risk and Return
2-1111
Risk measure 1:standard deviation
Stan dd eavria dtion
Varia n 2ce
n
(ki
kˆ)2Pi
i1
2020/7/21
Ch2 Risk and Return
2-1212
Example:some investment alternatives’ returns
Amount invested
For example: if $1,000 is invested and $1,100 is returned after one year, the rate of return for this investment is:
($1,100 - $1,000) / $1,000 = 10%.
2. the probability of earning a low or negative actual return.
2020/7/21
Ch2 Risk and Return
2-9 9
Investment return possibility distribution.
Probability density
Firm X
Firm Y
-70
0
15
Rate of 100 Return (%)
2020/7/21
Expected Rate of Return
Ch2 Risk and Return
2-5 5
Return distribution (dispersed)
Economy Prob.
RiskandReturn
_
r
2
24
Standard Deviation Formulas
• When eliminating the bias, Variance and Standard Deviation become:
^
1 n 1
n j 1
r s
_
r
2
25
The Reward-to-Volatility (Sharpe) Ratio
19
Variance and Standard Deviation
Variance (VAR):
2 p(s)r(s) E(r)2
s
Standard Deviation (STD):
STD 2
20
Scenario VAR and STD
• Example VAR calculation:
σ2 = .25(.31 - 0.0976)2+.45(.14 - .0976)2 + .25(-0.0675 - 0.0976)2 + .05(-.52 - .0976)2 = .038
• Example STD calculation:
.038
.1949
21
Time Series Analysis of Past Rates of Return
• Nominal rate = real rate + inflation forecast
R r E(i)
6
Taxes and the Real Rate of Interest
• Tax liabilities are based on nominal income – Given a tax rate (t) and nominal interest rate (R), the Real after-tax rate is:
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
= 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
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HT – Moves with the economy, and has a positive correlation. This is typical.
Coll. – Is countercyclical with the economy, and has a negative correlation. This is unusual.
20.0% 0.0% 7.0% 15.0%
35.0% -10.0% 45.0% 29.0%
50.0% -20.0% 30.0% 43.0%
5-6 6
Why is the T-bill return independent of the economy? Do T-bills promise a completely risk-free return?
The greater the chance of lower than expected or negative returns, the riskier the investment.
5-3 3
Probability distributions
A listing of all possible outcomes, and the probability of each occurrence.
T-bills will return the promised 8%, regardless of the economy.
No, T-bills do not provide a risk-free return, as they are still exposed to inflation. Although, very little unexpected inflation is likely to occur over such a short period of time.
Can be shown graphically.
US Water
Martin
-70
0
15
Rate of 100 Return (%)
Expected Rate of Return
5-4 4
Selected Realized Returns, 1926 – 2001
Average Standard
Return Deviation
Small-company stocks
17.3% 33.2%
Large-company stocks
12.7
20.2
L-T corporate bonds
6.1
8.6
L-T government bonds 5.7
9.4
U.S. Treasury bills
3.9
3.2
CHAPTER 2 Risk and Rates of Return
Stand-alone risk Portfolio risk Risk & return: CAPM / SML
5-11
Investment returቤተ መጻሕፍቲ ባይዱs
The rate of return on an investment can be calculated as follows:
($1,100 - $1,000) / $1,000 = 10%.
5-2 2
What is investment risk?
Two types of investment risk
Stand-alone risk Portfolio risk
Investment risk is related to the probability of earning a low or negative actual return.
Source: Based on Stocks, Bonds, Bills, and Inflation: (Valuation Edition) 2002 Yearbook (Chicago: Ibbotson Associates, 2002), 28.
5-5 5
Investment alternatives
Economy Prob.
Recession 0.1
Below avg 0.2
Average 0.4
Above avg 0.2
Boom
0.1
T-Bill 8.0% 8.0% 8.0% 8.0% 8.0%
HT
Coll
USR
MP
-22.0% 28.0% 10.0% -13.0%
-2.0% 14.7% -10.0% 1.0%
5-8 8
Return: Calculating the expected return for Martin Product and US Water
^
k expected rate of return
^
n
k k i Pi
i1
^
k M artin (100%) (0.3) (15%) (0.4)
T-bills are also risky in terms of reinvestment rate risk.
T-bills are risk-free in the default sense of the word.
5-7 7
How do the returns of HT and Coll. behave in relation to the market?
(-70%) (0.3) 15%
5-9 9
Summary of expected returns for all alternatives
HT Market USR T-bill Coll.
Exp return 17.4% 15.0% 13.8% 8.0% 1.7%
HT has the highest expected return, and appears to be the best investment alternative, but is it really? Have we failed to account for risk?
Return =
______(A_m_o_u_n_t_re_c_e_iv_ed__–_A_m_o_u_n_t invested)
Amount invested
For example, if $1,000 is invested and $1,100 is returned after one year, the rate of return for this investment is:
Coll. – Is countercyclical with the economy, and has a negative correlation. This is unusual.
20.0% 0.0% 7.0% 15.0%
35.0% -10.0% 45.0% 29.0%
50.0% -20.0% 30.0% 43.0%
5-6 6
Why is the T-bill return independent of the economy? Do T-bills promise a completely risk-free return?
The greater the chance of lower than expected or negative returns, the riskier the investment.
5-3 3
Probability distributions
A listing of all possible outcomes, and the probability of each occurrence.
T-bills will return the promised 8%, regardless of the economy.
No, T-bills do not provide a risk-free return, as they are still exposed to inflation. Although, very little unexpected inflation is likely to occur over such a short period of time.
Can be shown graphically.
US Water
Martin
-70
0
15
Rate of 100 Return (%)
Expected Rate of Return
5-4 4
Selected Realized Returns, 1926 – 2001
Average Standard
Return Deviation
Small-company stocks
17.3% 33.2%
Large-company stocks
12.7
20.2
L-T corporate bonds
6.1
8.6
L-T government bonds 5.7
9.4
U.S. Treasury bills
3.9
3.2
CHAPTER 2 Risk and Rates of Return
Stand-alone risk Portfolio risk Risk & return: CAPM / SML
5-11
Investment returቤተ መጻሕፍቲ ባይዱs
The rate of return on an investment can be calculated as follows:
($1,100 - $1,000) / $1,000 = 10%.
5-2 2
What is investment risk?
Two types of investment risk
Stand-alone risk Portfolio risk
Investment risk is related to the probability of earning a low or negative actual return.
Source: Based on Stocks, Bonds, Bills, and Inflation: (Valuation Edition) 2002 Yearbook (Chicago: Ibbotson Associates, 2002), 28.
5-5 5
Investment alternatives
Economy Prob.
Recession 0.1
Below avg 0.2
Average 0.4
Above avg 0.2
Boom
0.1
T-Bill 8.0% 8.0% 8.0% 8.0% 8.0%
HT
Coll
USR
MP
-22.0% 28.0% 10.0% -13.0%
-2.0% 14.7% -10.0% 1.0%
5-8 8
Return: Calculating the expected return for Martin Product and US Water
^
k expected rate of return
^
n
k k i Pi
i1
^
k M artin (100%) (0.3) (15%) (0.4)
T-bills are also risky in terms of reinvestment rate risk.
T-bills are risk-free in the default sense of the word.
5-7 7
How do the returns of HT and Coll. behave in relation to the market?
(-70%) (0.3) 15%
5-9 9
Summary of expected returns for all alternatives
HT Market USR T-bill Coll.
Exp return 17.4% 15.0% 13.8% 8.0% 1.7%
HT has the highest expected return, and appears to be the best investment alternative, but is it really? Have we failed to account for risk?
Return =
______(A_m_o_u_n_t_re_c_e_iv_ed__–_A_m_o_u_n_t invested)
Amount invested
For example, if $1,000 is invested and $1,100 is returned after one year, the rate of return for this investment is: