投資學講義-MBA課件

1、InvestmentsReading materialsnModern Portfolio Theory and Investment Analysis by Elton and Gruber, 5th (or 6th) Edition, John Wiley & Sons, Inc. nOthers:nNewspaper, magazinesIntroductionnAn intermediate investment coursenEmphasizes portfoliosnSecurity MarketsnInvestment analysis and managementQui

2、z Q1n假設你正在考慮投資于兩只股票。通過一定的分析之后，你認為未來一年的經(jīng)濟會呈現(xiàn)健康或者不健康兩種可能的狀態(tài)。這兩種情況發(fā)生的可能性相同（50%）。而兩只股票在兩種經(jīng)濟狀態(tài)下的回報率見下表：n(a). 請問每只股票的期望回報率和回報率的標準差是多少？n(b). 兩只股票回報率的協(xié)方差和相關(guān)系數(shù)是多少？n(c). 畫圖說明投資于這兩只股票能夠提供什么樣的風險與回報的組合？n(d). 假設現(xiàn)在有無風險資產(chǎn)可以投資（無風險回報率為5%）。請問這對于你是否意味著一個獲利機會？為什么？經(jīng)濟狀態(tài)股票1回報股票2回報健康30%5%不健康10%10%Quiz Q2n你在為一個小型對沖基金設計一個債券組合

3、，目的是為了對沖基金四年后的一筆10億的債務來提供資金。基金經(jīng)理希望用一個兩年期的零息債券和一個八年期的零息債券來構(gòu)成組合。假設利率曲線為水平線，這樣對于所有不同到期日的零息債券的到期收益率都為5% 。n(a). 設計由上訴兩種債券構(gòu)成的組合來保護對沖基金，使得基金不受到利率變化的影響n(b). 假設在你設計完成這一組合后，利率曲線對于所有到期日都平移到6%。請問這種情況下你設計的組合4年后的未來價值是多少？是否還能為債務提供足夠的資金保障？Quiz Q3nCompare to the day before yesterday, was the change of Shanghai Compo

4、site index in green or in red? RequirementsnAttitudenSkillnPracticenEvaluation:?My Objectives for the ClassnCreate a learning atmospherenEncourage independent thinkingnContributing and helping you achieving a high level of academic excellenceHow Can We Define Investments?nInvestment can be defined a

5、s the sacrifice of present consumption for some future value.nThis future value is possibly uncertainInvestment Environment and Investment ProcessnInvestment Environment refers to the different types of marketable securities available for investors;nInvestment Process is about the way investors shou

6、ld decide on the marketable instruments they will invest in, when to invest, etc.Financial SecuritiesMoney Market SecuritiesRates of Returns Capital Market SecuritiesnFixed income securitiesnEquity marketnPreferred stockDerivativesnFuturesnOptionsnExotic optionsnStructured instruments: FX, etcRateso

7、freturnsversustimeformajorsecuritytypesInvestments Over the Long-TermnWhat is the current value of $1 invested between 1926-2002 innPortfolio of large U.S. stocks (Standard and Poors Composite Index) nPortfolio of long-term Treasury bonds?nAssume that the dividends and the interest payments are rein

8、vested in the assetWealth Accumulation of Stocks and Bonds (1926-2002)$0.10$1.00$10.00$100.00$1,000.00$10,000.0019261930193419381942194619501954195819621966197019741978198219861990199419982002StocksBonds$1774.47$59.71What About Investment Expenses?nThe previous performance ignores investment expense

9、snHow much would investors have accumulated with a 1 percent annual expense ratio?Wealth Accumulation after Expenses$0.10$1.00$10.00$100.00$1,000.00$10,000.0019261930193419381942194619501954195819621966197019741978198219861990199419982002StocksBonds$825.45$27.26What About Taxes?nThe government taxes

10、 interest, dividend income, and realized capital gainsnHow much do taxes affect our wealth accumulations?nI assumed that dividends and interest income is taxed at the marginal tax rate of the average stock and bond holder and that capital gains are not taxedWealth Accumulation after Expenses and Tax

11、es$0.10$1.00$10.00$100.00$1,000.00$10,000.0019261930193419381942194619501954195819621966197019741978198219861990199419982002StocksBonds$359.47$9.11What About Inflation?n$1 in 1926 could buy much more than $1 in 2002nConsumer prices increased over this period about ten-foldnHow much does inflation af

12、fect our wealth accumulations?Real Wealth Accumulation after Expenses and Taxes$0.10$1.00$10.00$100.00$1,000.00$10,000.0019261930193419381942194619501954195819621966197019741978198219861990199419982002StocksBonds$35.60$0.90Stock and Bond Returns Between 1926 and 2002Geometric Mean Arith. MeanStd. De

13、v.Nominal Return10.20%12.76%22.09%Real Return6.94%9.44%22.37%Real Net Return4.75%7.19%21.96%Large StocksGeometric Mean Arith. MeanStd. Dev.Nominal Return5.43%5.70%8.99%Real Return2.31%2.66%10.12%Real Net Return-0.13%0.20%9.87%Long-term Treasury BondsRisk160016501700175018001850190019502000Netherland

14、sFranceBelgiumAustriaUKUSAIrelandItalyDenmarkPolandRussiaSwitzerlandSpainPeruCubaSwedenHungaryTurkeyCzechAustraliaNew ZealandArgentinaCanadaBrazilJapan (1)NorwayEgypt (1)South AfricaSingaporeHong KongGreece (1)ChileVenezuela MexicoYugoslavian statesZimbabweSri LankaPortugalChinaKoreaIndonesiaFinland

15、LebanonSloveniaUruguayPhilippinesMoroccoRoumaniaLuxembourgColombiaMalaysiaPakistanIsraelKenyaTaiwanNigeriaKuwaitIranTunisiaThailandJamaicaJordanTrinidad-TobagoIcelandBahrainMauritiusBotswanaGhanaSwazilandChinaSlovakNamibiaEgyptZambiaMalawiMaltaTanzaniaFounding Dates for World Equity MarketHow are se

16、curities tradednPrimary MarketnMarket for new issues of securitiesnInitial Public Offerings (IPO)nSeasoned Public Offerings nPrivate PlacementsnSecondary MarketnExisting securities are tradedBuying and Selling SecuritiesnInvestors purchase securities through brokers for a commissionnInvestor must sp

17、ecifynObvious things:nName of firmnBuy or sell ordernSize of ordernOther characteristics:nType of ordernHow long order is to be outstandingOrder SpecificationnOrder typenMarket ordernBuy or sell immediatelynLimit ordernLimit price specifies lowest selling price (or highest purchase price)nStop order

18、nStop price specifies highest selling price (or lowest purchase price)Sell OrdersbidaskLimitSellStop-lossMarketSell25.0025203025.25Order SpecificationnTime limitnDay ordersnIf order is not filled by end of day, order expires.nGood through ordersnValid for a specified number of days and automatically

19、 expires if it has not been executed by expiry datenOpen orders (good-till-cancelled)nValid until either filled or cancelled by investor.nAll or none orders nMust be fully executed or not accepted (as opposed to any part order)nDiscretionary ordernBroker decides on specificationsMarginnA brokerage f

20、irm may allow customers to purchase securities on margin.nYou put up the margin in cash and borrow the remainder (the debit balance) from the broker.Buying on MarginnSecurities law mandates limitations on borrowing, e.g.:nInitial margin must exceed 50%nMaintenance margin must exceed 30%nThe margin i

21、s defined as:SecurityofValueLoanSecurityofValueSecurityofValueEquityMargin-Margin PurchasesnMargin is marked to market dailynMargin shortfalls result in margin calls.nPurchasing on margin levers up returns:ne.g. purchase 100 shares for $50/share and sell in one year for $65nReturn is 30%nWith 60% ma

22、rgin purchase and an 8% borrowing rate the return is 44.7% (15x100-.08x$2000)/$3000)Risks of Margin PurchasesnBroker gives you a margin call if the maintenance margin is not metnBroker can sell your securities without asking for your permissionnThe potential losses can exceed your initial investment

23、Short SalesnCan use a short sale to sell a stock you dont own.nBroker effectively arranges to borrow the shares you want to sell from another investor.nSome detailsnUptick rule stock price must rise before you can short.nMust put up some margin that depends on stock price.Short Sale ExampleXYZBroker

24、,Inc.Mr.OriginalXYZBroker,Inc.Mr.OriginalMr.JonesMr.JonesMs.ShortMs.ShortXYZBroker,Inc.Mr.OriginalDividends,annualreportsandvotingrightsForwardseverythingNotifiedthatJonesownsstockAllowsstocktobelentPayspurchasepriceReceivesstockcertificateProvidesinitialmarginAnnualReportDividendsAnnualReportVoting

25、 RightsProvidescashtomakeupfordividendsAnnualreportanddividends融資融券n試點n維持擔保比例：例如130%n融資保證金比例：如0.5n融資融券可充抵保證金證券范圍和折算率：如成分指數(shù)股不超過70% 例子n假設:客戶擁有資金100萬元;融資保證金比例為0.5。那么客戶可以先普通買入股票100萬元,再將普通買入的股票作為擔保物向證券公司融資買入股票n融資買入金額保證金/融資保證金比例擔保物市值折算率/融資保證金比例=140萬n維持擔保比例擔保物/負債（現(xiàn)金+擔保證券市值）/(融資買入金額+融券賣出證券數(shù)量市價利息及費用 ）=？n對應Ma

26、rgin是多少？Homework 1nPlease draw the cumulative return of the Shanghai Composite index from 1997 to 2009 and the density function of the return. (I want very nice pictures! Monthly return)Homework 2 (exercise)nSuppose you have $10,000 and you are very bullish in Microsoft. You can borrow $10,000 from

27、your broker at a 10% interest rate. Buy $20,000 worth of MSFT stocknWhat are the returns of this trading strategy if Microsoft stock increases or falls by 25% during the next year?Homework 3 (exercise)nShort sell 1,000 GM stocks in October 2004 and close position in January 2005:DateActionCash Flows

28、Oct 2004Short-sell 1000 GM for $4545,000Jan 2005GM pays $0.50 dividendJan 2005Sale proceeds pay 1% interest Jan 2005Close position at $55 Profit/Loss nYour broker requires an initial margin of 50% and a maintenance margin of 30%nHow much initial margin do you need to add to your account in October t

29、o short-sell 1,000 GM stock?nAt which stock price will you receive your first margin call?Institutional InvestorsType of InvestorRisk ToleranceIndividual and personal trustsLife cycle Mutual fundsVariablePension fundsDepends on proximity of payoutsEndowment fundsGenerally conservativeInsurance compa

30、niesConservativeBanksVariable趨勢在延續(xù)，我將在下一個調(diào)整鞏固點買入?。≡跐q，等我繼續(xù)觀察下市場再說幸好我買了，沒再等機會來了加倉哦，正常調(diào)整，等待嘿，我套了，再一漲上來我準備賣出 機會錯過了，不能再等了，買進！準備獲大利見底了，我不信你還跌你再跌我就準備長線投資，不信你沒底咳！國家在干什么，證監(jiān)會怎么不管受夠了，我再也不玩了。辛苦賺來的錢全泡湯了，以后再也不玩了不好，又跌了，準備賣了算了賣！我怕你了，再也不看你了，ok!?嘿，老子賣了你漲了哦，還是賣對了，幸虧賣的好。OK怎么了？ 嗨，我是說做長線的，這可糟了瘋狂！可能還要漲，這次我有經(jīng)驗了還是要把本扭轉(zhuǎn)回來這次判

31、斷完全正確，水平高了，準備買進！ 哈哈，這次一定賺錢，而且比上次買的便宜，國家政策也好了，股市是國家的晴雨表，我們的股市要漲到10000點！堅決看好！OK! Ok!我是老手了，大賺！注：非原創(chuàng)。取材網(wǎng)上，作者不詳Constraints in Portfolio ManagementnLiquiditynInvestment horizonnRegulatory constraints (institutional investors)nThe prudent person lawnLimits on foreign holdingsnLimits on individual firm hold

32、ingsServices of Investment CompaniesnAdministration & record keepingnDiversification & divisibilitynProfessional managementnReduced transaction costsnIncreased investment opportunitiesTypes of Investment CompaniesnMutual fundsnClosed-endnOpen-endnLoad fundsnCommingled fundsnReal estate funds

33、nReal estate limited partnershipsnMortgage fundsTypes of Mutual Funds (Investment Policies)nMoney market fundsnEquity funds (income, growth)nFixed-income fundsnBalanced and income fundsnAsset allocation fundsnIndex fundsnSpecialized sector fundsNet Asset Value Usedasabasisforvaluationofinvestmentcom

34、panyshares Sellingnewshares Redeemingexistingshares Calculation:dingtanOutsSharessLiabilitieAssetsofValueMarketNAVOpen-End and Closed-End Funds: Key DifferencesShares OutstandingnClosed-end: no change unless new stock is offerednOpen-end: changes when new shares are sold or old shares are redeemedPricingnOpen-end: Net Asset Value(NAV)nClosed-end: Premium or discount to NAVCosts of Investing in Mutual Fund