ManagementStrategies投资分析与投资组合管理.ppt
合集下载
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?
• 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?
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
4
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
12
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
5
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。
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
4
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
12
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
5
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
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
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
• 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。
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
= 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
- 1、下载文档前请自行甄别文档内容的完整性，平台不提供额外的编辑、内容补充、找答案等附加服务。
- 2、"仅部分预览"的文档,不可在线预览部分如存在完整性等问题,可反馈申请退款(可完整预览的文档不适用该条件!)。
- 3、如文档侵犯您的权益，请联系客服反馈,我们会尽快为您处理(人工客服工作时间：9:00-18:30)。
• 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
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