Investment 4 投资学
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INVESTMENTS 投资学 (博迪BODIE, KANE, MARCUS)Chap023 Futures, Swaps, and Risk Management共40页文档
2% of $30 million = $600,000
Each S&P500 index contract will change $6,250 for a 2.5% change in the index. (The contract multiplier is $250).
INVESTMENTS | BODIE, KANE, M2A3R-C1U9S
Hedge Ratio Example
Change in the portfolio value H=
Profit on one futures contract
= $600,000 $6,250
= 96 contracts short
INVESTMENTS | BODIE, KANE, M2A3R-C2U0S
• 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
Hedge Ratio in contracts Each contract is for 62,500 pounds or $6,250 per a $.10 change
$200,000 / $6,250 = 32 contracts
INVESTMENTS | BODIE, KANE, MA2R3C-U9S
• Futures price too low - long the future and short sell the underlying stocks
第一章 投资概述《投资学》PPT课件
（四）固定收益投资与非固定收益投资
固定收益投资是指预先规定应得的投资收入， 一般用百分比表示，按文期本支付，收益在整个投资 期内不变。多数债券和优先股的收益都是固定文的本。
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非固定收益投资是指投资收益预先不规定， 收入不固定。如普通股的收益是不固定的。一 般来说固定收益投资风险小，文但本收益也低，非 固定收益投资风险大，但收益也高。
• （五）信托投资
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• （六）保险投资
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• （七）BOT投资
第三节 投资与投机
一、投机的概念
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所谓投机，就是指在市场上短期文内本通 过低买高卖方式来获取差价，如炒地皮、 炒楼花、炒权证、炒股票，它是市场上常 见文的本 一种买卖行为。
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二、投机的作用
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平衡市场价格
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文本 增强证券市场上的流动性
（一）广义投资和狭义投资
广义的投资是指各个投资主体为了在未来获得经济效益或 社会效益而预先垫支一定资文本本的各种经济行为。
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狭义的投资则仅指投资于各种有价证券，进行有价证券的 买卖，也可称为证券投资（securities investment），如购买股 票、债券等。文本 来自本（二）直接投资和间接投资
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证券投资（securities investment）是指投资者将货币资 金投资于各种各样的有价证券，如股票、债券、基金等等。这种 行为会使投资者在证券的持有期内获文得本与其承担的风险相称的收 益。
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实物投资和证券投资的联系
➢如果我们以股份制企业作为考虑问题的基础，对资本运动全过程进 行考察，“证券投资”与“文实本物投资”是同一投资运行过程的两个阶 段，而且，“证券投资”是最基本的资本垫付，对于“文实本物投资”具 有决定意义。
INVESTMENTS 投资学 (博迪BODIE, KANE, MARCUS)Chap026 Hedge Funds-34页文档资料
• Global macro funds show negative exposure to a stronger U.S. dollar.
INVESTMENTS | BODIE, KANE, M2A6R-C1U5S
Liquidity and Hedge Fund Performance
• Hedge funds tend to hold more illiquid assets than other institutional investors.
• Directional – Bets that one sector or another will outperform other sectors
• Non-directional – Exploit temporary misalignments in relative valuation across sectors – Buy one type of security and sell another – Strives to be market neutral
investment to isolate its alpha.
3. Establish exposure to desired market sectors by using passive products such as indexed mutual funds or ETFs.
• Transfer alpha from the sector where you
• Araquilibrium liquidity premium rather than a sign of stock-picking ability.
• Hasanhodzic and Lo: Hedge fund returns have serial correlation, a sign of liquidity problems. This biases the Sharpe ratios upward.
INVESTMENTS | BODIE, KANE, M2A6R-C1U5S
Liquidity and Hedge Fund Performance
• Hedge funds tend to hold more illiquid assets than other institutional investors.
• Directional – Bets that one sector or another will outperform other sectors
• Non-directional – Exploit temporary misalignments in relative valuation across sectors – Buy one type of security and sell another – Strives to be market neutral
investment to isolate its alpha.
3. Establish exposure to desired market sectors by using passive products such as indexed mutual funds or ETFs.
• Transfer alpha from the sector where you
• Araquilibrium liquidity premium rather than a sign of stock-picking ability.
• Hasanhodzic and Lo: Hedge fund returns have serial correlation, a sign of liquidity problems. This biases the Sharpe ratios upward.
投资学(第四版)PPTLectureCH01
《投资学》第四版
第一章 投资学基础
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内容概要
1 投资的定义 2 金融市场 3 金融产品
《投资学》第四版
第一章 投资学基础
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远期合约 期货 期权：看涨期权、看跌期权 互换：利率互换、货币互换、商品互换
《投资学》第四版
第一章 投资学基础
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投资过程管理
设定投资政策：建立一个投资计划书来明确投资策略, 投资者应该 在投资计划书中说明自己承担风险的意愿、投资目标和限制条件。
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金融市场三类投资主体
投机者，是指在市场上通过买空卖空、卖空买空, 希望以较小的资金 来博取利润的投资者
对冲者，同时进行两笔行情相关、方向相反、数量相当、盈亏相抵 的交易，借以规避风险, 使市场风险最小化。
套利者，是指利用市场上两个相同或相关资产暂时出现的不合理价 格关系同时进行一买一卖的交易, 当这种不合理的价格关系缩小或 消失时, 再进行相反的买卖, 以获取无风险利润的投资者。
第一章 投资学基础
《投资学》第四版
第一章 投资学基础
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投资学第四章-PPT精选文档92页
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E(RP)
r=4%
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σ(RP)
13
（二）投资于一个无风险资产和一个风险组合 的情形
假设风险资产组合P是由风险资产C和D组成 的。经过前面的分析可知，P一定位于经过 C、D两点的向上凸出的弧线上。如果我们 仍率合然和中用标所R准占1差的和，比σ1用重代X，表1则代风前表险面该资的组产结合组论在合同整的样个预适投期用资收于组益 由无风险和风险资产组合构成的投资组合的 情形。这种投资组合的预期收益率和标准差 一定落在A、P线段上。
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（三）切点组合是最优风险资产投资组合
对个人投资者根据自己的风险偏好选择的 最优资产组合中，切点T这个最优风险资产 组合在其中的投资比例计算
对具有一定风险厌恶程度投资者的投资组
合若的设效风用险值资是产：投资U比E 例r是0y.0，05则A对2具有一定
D
0.75
E
1.00
F
1.25
G
1.50
H
1.75
I
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2.00
X2 1.00 0.75 0.50 0.25 0.00 -0.25 -0.50 -0.75 -1.00
期 望 回 报 标准差
率
4.00% 0.00%
7.05
3.02
10.10 6.04
13.15 9.06
16.10 12.08
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E(RP)
B A
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（二）无风险借入并投资于一个风险 组合的情形
同样，由无风险借款和风险资产组合构 成的投资组合，其预期收益率和风险的关系 与由无风险贷款和一种风险资产构成的投资 组合相似。
投资学(第四版)PPTLectureCH14
《投资学》第四版
第十四章 投资绩效衡量
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年度收益率
在采用月收益率或者季度收益率的情况下, 至少需要 4 年的时间跨 度来评估证券组合业绩。 在实践中, 由于存在组合管理人 (如投资经理) 的更迭, 为了避免考 察另一个投资经理的业绩, 也会缩短时间跨度来对投资绩效进行衡 量。 在实际中, 我们可以根据第 3 章关于多期收益率衡量的方法, 通过相 加或者相乘将季度收益率转换为年度收益率。
为了更准确地描述这种关系,Treynor and Mazuy(1966) 利用传统二 次项回归模型对上述简单的线性关系进行了描述, 下面引入一个二 次项:
rp − rf = a + b × (rm − rf) + c × (rm − rf)2
他们认为具备择时能力的基金经理应能预测市场走势, 在多头时, 通 过提高投资组合的风险水平以获得较高的收益; 在空头时则降低风 险, 因此特征线不再是固定斜率的直线, 而是一条斜率会随市场状况 改变的曲线。
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投资回报的测度
衡量投资业绩的第一步是计算出一段时期内基金投入资产的收益率。
结合第三章中收益度量的知识, 我们先来考察最简单的情况: 在某个 时期内, 客户既不存钱也不取钱, 即投资组合的总规模保持不变; 此 时, 根据证券组合在每个时期期初和期末的市值就可以直接计算出 每一时期的收益率。通常我们会考虑至少 4 年的月收益率或季度收 益率, 这样可以为统计评估提供比较合适的样本数量。 更现实的情景是, 基金在投资期内会发生各项现金流入和流出, 因此 有必要在计算收益率时进行时间加权, 以便对收益率作出调整。
投资学之投资概论(ppt 34页)
2019/12/27 青岛大学经济学院
张宗强
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Figure 1.3 Building Creates a Complex Security
2019/12/27 青岛大学经济学院
张宗强
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1.8 全书大纲
Part One: 简述金融市场、金融工具、证券 交易与基金投资。
Part Two & Three: 现代组合理论的核心内 容。风险与收益的刻画、投资者效用与组 合优化；资本市场均衡(CAPM、index model、APT)。
金融资产（Financial assets）：实物资产的要求 权（ Claims on real assets ），定义实物资产在 投资者之间的配置。
金融资产的价值与其物质形态没有任何关系：股票可 能并不比印制股票的纸张更值钱。
整个社会财富的总量与金融资产数量无关，金融资产 不是社会财富的代表。
2019/12/27 青岛大学经济学院
张宗强
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投资学课程的基本框架
三大内容：金融工具与金融市场、投资理 论、证券投资分析实务。
金融工具与金融市场：基础性金融工具与 衍生工具、交易所、中间商、价格决定过 程以及市场微观结构等。
投资理论：证券的风险与收益、组合投资 理论、CAPM理论、APT、股票理论、债 券理论、期权定价模型等。
Part Four- Six: 证券分析与 估值(债券、股 票、衍生品)。
Part Seven: 积极投资介绍 。
2019/12/27 青岛大学经济学院
张宗强
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1.4 小结
什么是投资 实物资产与金融资产 家庭、企业与政府 金融中介 金融环境的发展趋势
2019/12/27 青岛大学经济学院
国际投资学(investment)
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（4）国际投资中生产要素的流动要受到诸多因素的限制 投资必然是生产要素的投入。国际投资伴随着生产要素在各国 之间的流动。广义的生产要素包括：原材料、设备、资金、劳 动力、技术、土地等。在国内投资中，生产要素易于在各部门、 各地区之间流动。（地方保护主义除外）。商品经济越发达， 则流动渠道越畅通。与国内投资相比，国际投资中生产要素的 流动要困难得多。 解释：材料和设备的流动要受到投资国和东道国外贸政策（如 禁止进出口、进出口关税、产品配额限制等）、产品质量和运 输条件等因素的制约；在各生产要素中，资金的流动性最好但 仍受投资国和东道国对外经济政策、国内货币供求状况和汇率 等因素的影响；劳动力的流动要受其自身素质和许多法律的限 制（例如，澳洲对肥胖的人发放医疗保险金，因此，移民局对 体重超过84公斤的人禁止入境！）；技术的流动要受到输出国 的多外经济政策和技术对东道国适用程度的影响（消化），特 别是对于当代第一流技术，投资者及其政府往往采取各种严厉 措施，限制其输出，以便保持其垄断技术优势；土地则完全没 有流动性。 生产要素流动困难使得国际投资的运动过程要比国内投资的运 动过程复杂得多。
12
国际投资
涉及两类国家
投资国和东道国
分为两个部分
向国外投资（对投资国而言） 向国际筹资，即引进海外资金（对东道国而言）
13
国际资本流动与国际投资
国际资本流动：指资本在国际间的转移、输出或输入， 也就是资本的跨国界流动，即资本从一个国家（或地区） 转移到另一个国家（或地区）。 二者相同之处：
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（3）国际投资具有多元的直接目标 投资目标可以分为直接目标与最终目标。 国内投资与国际投资的最终目标是一致的，即都是为了 追求盈利的最大化，但两者的直接目标有很大的区别。国内 投资的直接目标与最终目标是统一的，而国际投资的直接目 标与最终目标之间则有较大的差异。就国际直接投资而言， 具有多元直接目标，如：开拓和维护出口市场、转移污染、 降低产品成本、分散资产风险、学习国外先进技术，获得东 道国资源、援助东道国经济建设、改善投资国与东道国的双 边经济关系或政治关系为投资者得到其他有利可图的投资机 会做铺垫等；就国际间接投资而言，同样具有多元直接目标， 除获得高于国内投资的利润外，还有分散资产风险，为东道 国提供经济援助，解决国内“资本过剩”等。国际投资目标 多元化是国际投资的重要特点，因而，考察其整体效益要比 考察国内投资的整体效益复杂。
（4）国际投资中生产要素的流动要受到诸多因素的限制 投资必然是生产要素的投入。国际投资伴随着生产要素在各国 之间的流动。广义的生产要素包括：原材料、设备、资金、劳 动力、技术、土地等。在国内投资中，生产要素易于在各部门、 各地区之间流动。（地方保护主义除外）。商品经济越发达， 则流动渠道越畅通。与国内投资相比，国际投资中生产要素的 流动要困难得多。 解释：材料和设备的流动要受到投资国和东道国外贸政策（如 禁止进出口、进出口关税、产品配额限制等）、产品质量和运 输条件等因素的制约；在各生产要素中，资金的流动性最好但 仍受投资国和东道国对外经济政策、国内货币供求状况和汇率 等因素的影响；劳动力的流动要受其自身素质和许多法律的限 制（例如，澳洲对肥胖的人发放医疗保险金，因此，移民局对 体重超过84公斤的人禁止入境！）；技术的流动要受到输出国 的多外经济政策和技术对东道国适用程度的影响（消化），特 别是对于当代第一流技术，投资者及其政府往往采取各种严厉 措施，限制其输出，以便保持其垄断技术优势；土地则完全没 有流动性。 生产要素流动困难使得国际投资的运动过程要比国内投资的运 动过程复杂得多。
12
国际投资
涉及两类国家
投资国和东道国
分为两个部分
向国外投资（对投资国而言） 向国际筹资，即引进海外资金（对东道国而言）
13
国际资本流动与国际投资
国际资本流动：指资本在国际间的转移、输出或输入， 也就是资本的跨国界流动，即资本从一个国家（或地区） 转移到另一个国家（或地区）。 二者相同之处：
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（3）国际投资具有多元的直接目标 投资目标可以分为直接目标与最终目标。 国内投资与国际投资的最终目标是一致的，即都是为了 追求盈利的最大化，但两者的直接目标有很大的区别。国内 投资的直接目标与最终目标是统一的，而国际投资的直接目 标与最终目标之间则有较大的差异。就国际直接投资而言， 具有多元直接目标，如：开拓和维护出口市场、转移污染、 降低产品成本、分散资产风险、学习国外先进技术，获得东 道国资源、援助东道国经济建设、改善投资国与东道国的双 边经济关系或政治关系为投资者得到其他有利可图的投资机 会做铺垫等；就国际间接投资而言，同样具有多元直接目标， 除获得高于国内投资的利润外，还有分散资产风险，为东道 国提供经济援助，解决国内“资本过剩”等。国际投资目标 多元化是国际投资的重要特点，因而，考察其整体效益要比 考察国内投资的整体效益复杂。
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4-9
TYPES OF INVESTMENT COMPANompanies Open-End funds
Fund issues new shares when investors buy and
redeems shares when investors cash out Priced at Net Asset Value (NAV) Do not trade on exchanges Investors buy and liquidate through the investment company at net asset value Mutual Funds are known as Unit Trusts in some countries such as Singapore, Malaysia, and Australia
Provide a mechanism for small investors
to team up to obtain the benefits of largescale investing.
44
INVESTMENT COMPANIES
Services provided:
Administration & record keeping
Reduced transaction costs
---trade large blocks of securities substantial savings on brokerage fees and commissions
4-5
NET ASSET VALUE
Investors buy shares in investment companies. Ownership is proportional to the number of
4-10
TYPES OF INVESTMENT COMPANIES
Managed Investment Companies
Closed-End funds
No change in shares outstanding; old investors
cash out by selling to new investors Can be purchased through broker just like common stock Can be traded on exchanges Therefore, their prices can differ from NAV--priced at premium or discount to NAV
The simulation trading game will start from
Sep.19nd.
Maximum number of students in one group is 5.
Please send the TA your group’s information through email.
4-11
TYPES OF INVESTMENT COMPANIES
Other Investment Organizations
---not formally organized or regulated as investment companies ---but serve similar functions ---three important ones are:
CHAPTER 4
Mutual Funds and Other Investment Companies
McGraw-Hill/Irwin
Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
KIND REMINDERS:
Exchanged-traded funds(ETFs)
4-3
INVESTMENT COMPANIES
Financial intermediaries that collect funds
from individual investors and invest in a wide range of securities or other assets.
Diversification & divisibility
--- investors can hold many kinds of different securities
Professional management
---support full-time staffs of security analysis ---portfolio managers who attempt to achieve superior investment results for the investors
of securities worth $120 million.
Suppose the fund owes $4 million to its
investment advisers and owes another $1 million for rent, wages due, and miscellaneous expenses.
or unit trusts in some countries) closed-end companies
4-8
TYPES OF INVESTMENT COMPANIES
Unit Investment Trusts
unmanaged—the portfolio composition is fixed for the
If you have any course registration problem,
4-2
OUTLINE
Types of investment companies
---Unit investment trust( unmanaged) ---Managed investment companies (open-end, closed-end)
shares purchased. Value” or “ NAV”.
The value of each share is called “ Net Asset Calculation:
4-6
NET ASSET VALUE: EXAMPLE 4.1
Consider a mutual fund that manages a portfolio
4-14
TYPES OF INVESTMENT COMPANIES
Hedge Funds --for private investors to pool assets --typically only open to wealthy and institutional investors --subject to less regulation --many require investors to agree to initial “lock-ups”, periods as long as several years in which investment can not be withdrawn --managers can pursue relatively risky investment strategies such as short sales, derivatives, currency speculation, merger arbitrage and so on --enjoyed great growth over the last several years: assets growing from $50 billion in 1990 to $2 trillion in mid-2008
4-13
TYPES OF INVESTMENT COMPANIES
Real estate investment trusts(REITs)
--similar to a closed-end fund. --invest in real estate or loans secured by real estate. --Equity trusts: invest in real estate directly --Mortgage trusts: invest primarily in mortgage and construction loans --can raise capital by issuing shares, borrowing from banks, and issuing bonds or mortgages.
---issue periodic status reports, keeping track of capital gains distributions, dividends, investments, and redemptions, reinvestment of dividend and interest income for shareholders
--typical partners might be trust or retirement accounts with portfolios much larger than those of most individual investors, but too small to manage on a separate basis. --investors benefit from economies of scale trading costs are reduced. --the management firm that organizes the partnership manage the funds for a fee.
TYPES OF INVESTMENT COMPANompanies Open-End funds
Fund issues new shares when investors buy and
redeems shares when investors cash out Priced at Net Asset Value (NAV) Do not trade on exchanges Investors buy and liquidate through the investment company at net asset value Mutual Funds are known as Unit Trusts in some countries such as Singapore, Malaysia, and Australia
Provide a mechanism for small investors
to team up to obtain the benefits of largescale investing.
44
INVESTMENT COMPANIES
Services provided:
Administration & record keeping
Reduced transaction costs
---trade large blocks of securities substantial savings on brokerage fees and commissions
4-5
NET ASSET VALUE
Investors buy shares in investment companies. Ownership is proportional to the number of
4-10
TYPES OF INVESTMENT COMPANIES
Managed Investment Companies
Closed-End funds
No change in shares outstanding; old investors
cash out by selling to new investors Can be purchased through broker just like common stock Can be traded on exchanges Therefore, their prices can differ from NAV--priced at premium or discount to NAV
The simulation trading game will start from
Sep.19nd.
Maximum number of students in one group is 5.
Please send the TA your group’s information through email.
4-11
TYPES OF INVESTMENT COMPANIES
Other Investment Organizations
---not formally organized or regulated as investment companies ---but serve similar functions ---three important ones are:
CHAPTER 4
Mutual Funds and Other Investment Companies
McGraw-Hill/Irwin
Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
KIND REMINDERS:
Exchanged-traded funds(ETFs)
4-3
INVESTMENT COMPANIES
Financial intermediaries that collect funds
from individual investors and invest in a wide range of securities or other assets.
Diversification & divisibility
--- investors can hold many kinds of different securities
Professional management
---support full-time staffs of security analysis ---portfolio managers who attempt to achieve superior investment results for the investors
of securities worth $120 million.
Suppose the fund owes $4 million to its
investment advisers and owes another $1 million for rent, wages due, and miscellaneous expenses.
or unit trusts in some countries) closed-end companies
4-8
TYPES OF INVESTMENT COMPANIES
Unit Investment Trusts
unmanaged—the portfolio composition is fixed for the
If you have any course registration problem,
4-2
OUTLINE
Types of investment companies
---Unit investment trust( unmanaged) ---Managed investment companies (open-end, closed-end)
shares purchased. Value” or “ NAV”.
The value of each share is called “ Net Asset Calculation:
4-6
NET ASSET VALUE: EXAMPLE 4.1
Consider a mutual fund that manages a portfolio
4-14
TYPES OF INVESTMENT COMPANIES
Hedge Funds --for private investors to pool assets --typically only open to wealthy and institutional investors --subject to less regulation --many require investors to agree to initial “lock-ups”, periods as long as several years in which investment can not be withdrawn --managers can pursue relatively risky investment strategies such as short sales, derivatives, currency speculation, merger arbitrage and so on --enjoyed great growth over the last several years: assets growing from $50 billion in 1990 to $2 trillion in mid-2008
4-13
TYPES OF INVESTMENT COMPANIES
Real estate investment trusts(REITs)
--similar to a closed-end fund. --invest in real estate or loans secured by real estate. --Equity trusts: invest in real estate directly --Mortgage trusts: invest primarily in mortgage and construction loans --can raise capital by issuing shares, borrowing from banks, and issuing bonds or mortgages.
---issue periodic status reports, keeping track of capital gains distributions, dividends, investments, and redemptions, reinvestment of dividend and interest income for shareholders
--typical partners might be trust or retirement accounts with portfolios much larger than those of most individual investors, but too small to manage on a separate basis. --investors benefit from economies of scale trading costs are reduced. --the management firm that organizes the partnership manage the funds for a fee.