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首页 Investment Analysis Portfolio-Reilly, Brown.pdf

Investment Analysis Portfolio-Reilly, Brown.pdf

Investment Analysis Portfolio-R…

上传者: nwguru 2012-12-16 评分 0 0 0 0 0 0 暂无简介 简介 举报

简介:本文档为《Investment Analysis Portfolio-Reilly, Brownpdf》,可适用于经济金融领域,主题内容包含ContentsinBriefChapterTheInvestmentSettingChapterTheAssetAllocationDecisio符等。

ContentsinBriefChapterTheInvestmentSettingChapterTheAssetAllocationDecisionChapterSelectingInvestmentsinaGlobalMarketChapterOrganizationandFunctioningofSecuritiesMarketsChapterSecurityMarketIndicatorSeriesChapterEfficientCapitalMarketsChapterAnIntroductiontoPortfolioManagementChapterAnIntroductiontoAssetPricingModelsChapterMultifactorModelsofRiskandReturnChapterAnalysisofFinancialStatementsChapterAnIntroductiontoSecurityValuationChapterMacroeconomicandMarketAnalysis:TheGlobalAssetAllocationDecisionChapterStockMarketAnalysisChapterIndustryAnalysisChapterCompanyAnalysisandStockValuationChapterTechnicalAnalysisChapterEquityPortfolioManagementStrategiesChapterBondFundamentalsChapterTheAnalysisandValuationofBondsChapterBondPortfolioManagementStrategiesChapterAnIntroductiontoDerivativeMarketsandSecuritiesChapterForwardandFuturesContractsChapterOptionContractsChapterSwapContracts,ConvertibleSecurities,andOtherEmbeddedDerivativesChapterProfessionalAssetManagementChapterEvaluationofPortfolioPerformanceAppendixAHowtoBecomeaCFACharterholderAppendixBAIMRCodeofEthicsandStandardsofProfessionalConductAppendixCInterestTablesAppendixDStandardNormalProbabilitiesGlossaryChapterTheInvestmentSettingAfteryoureadthischapter,youshouldbeabletoanswerthefollowingquestions:WhydoindividualsinvestWhatisaninvestmentHowdoinvestorsmeasuretherateofreturnonaninvestmentHowdoinvestorsmeasuretheriskrelatedtoalternativeinvestmentsWhatfactorscontributetotheratesofreturnthatinvestorsrequireonalternativeinvestmentsWhatmacroeconomicandmicroeconomicfactorscontributetochangesintherequiredratesofreturnforindividualinvestmentsandinvestmentsingeneralThisinitialchapterdiscussesseveraltopicsbasictothesubsequentchaptersWebeginbydefiningtheterminvestmentanddiscussingthereturnsandrisksrelatedtoinvestmentsThisleadstoapresentationofhowtomeasuretheexpectedandhistoricalratesofreturnsforanindividualassetoraportfolioofassetsInaddition,weconsiderhowtomeasurerisknotonlyforanindividualinvestmentbutalsoforaninvestmentthatispartofaportfolioThethirdsectionofthechapterdiscussesthefactorsthatdeterminetherequiredrateofreturnforanindividualinvestmentThefactorsdiscussedarethosethatcontributetoanasset’stotalriskBecausemostinvestorshaveaportfolioofinvestments,itisnecessarytoconsiderhowtomeasuretheriskofanassetwhenitisapartofalargeportfolioofassetsTheriskthatprevailswhenanassetispartofadiversifiedportfolioisreferredtoasitssystematicriskThefinalsectiondealswithwhatcauseschangesinanasset’srequiredrateofreturnovertimeChangesoccurbecauseofbothmacroeconomiceventsthataffectallinvestmentassetsandmicroeconomiceventsthataffectthespecificassetWHATISANINVESTMENTFormostofyourlife,youwillbeearningandspendingmoneyRarely,though,willyourcurrentmoneyincomeexactlybalancewithyourconsumptiondesiresSometimes,youmayhavemoremoneythanyouwanttospendatothertimes,youmaywanttopurchasemorethanyoucanaffordTheseimbalanceswillleadyoueithertoborrowortosavetomaximizethelongrunbenefitsfromyourincomeWhencurrentincomeexceedscurrentconsumptiondesires,peopletendtosavetheexcessTheycandoanyofseveralthingswiththesesavingsOnepossibilityistoputthemoneyunderamattressorburyitinthebackyarduntilsomefuturetimewhenconsumptiondesiresexceedcurrentincomeWhentheyretrievetheirsavingsfromthemattressorbackyard,theyhavethesameamounttheysavedAnotherpossibilityisthattheycangiveuptheimmediatepossessionofthesesavingsforafuturelargeramountofmoneythatwillbeavailableforfutureconsumptionThistradeoffofpresentconsumptionforahigherleveloffutureconsumptionisthereasonforsavingWhatyoudowiththesavingstomakethemincreaseovertimeisinvestmentThosewhogiveupimmediatepossessionofsavings(thatis,deferconsumption)expecttoreceiveinthefutureagreateramountthantheygaveupConversely,thosewhoconsumemorethantheircurrentincome(thatis,borrow)mustbewillingtopaybackinthefuturemorethantheyborrowedTherateofexchangebetweenfutureconsumption(futuredollars)andcurrentconsumption(currentdollars)isthepurerateofinterestBothpeople’swillingnesstopaythisdifferenceforborrowedfundsandtheirdesiretoreceiveasurplusontheirsavingsgiverisetoaninterestratereferredtoasthepuretimevalueofmoneyThisinterestrateisestablishedinthecapitalmarketbyacomparisonofthesupplyofexcessincomeavailable(savings)tobeinvestedandthedemandforexcessconsumption(borrowing)atagiventimeIfyoucanexchange$ofcertainincometodayfor$ofcertainincomeoneyearfromtoday,thenthepurerateofexchangeonariskfreeinvestment(thatis,thetimevalueofmoney)issaidtobepercent(–)Theinvestorwhogivesup$todayexpectstoconsume$ofgoodsandservicesinthefutureThisassumesthatthegeneralpricelevelintheeconomystaysthesameThispricestabilityhasrarelybeenthecaseduringthepastseveraldecadeswheninflationrateshavevariedfrompercentintopercentin,withanaverageofaboutpercentayearfromtoIfinvestorsexpectachangeinprices,theywillrequireahigherrateofreturntocompensateforitForexample,ifaninvestorexpectsariseinprices(thatis,heorsheexpectsinflation)attherateofpercentduringtheperiodofinvestment,heorshewillincreasetherequiredinterestratebypercentInourexample,theinvestorwouldrequire$inthefuturetodeferthe$ofconsumptionduringaninflationaryperiod(apercentnominal,riskfreeinterestratewillberequiredinsteadofpercent)Further,ifthefuturepaymentfromtheinvestmentisnotcertain,theinvestorwilldemandaninterestratethatexceedsthepuretimevalueofmoneyplustheinflationrateTheuncertaintyofthepaymentsfromaninvestmentistheinvestmentriskTheadditionalreturnaddedtothenominal,riskfreeinterestrateiscalledariskpremiumInourpreviousexample,theinvestorwouldrequiremorethan$oneyearfromtodaytocompensatefortheuncertaintyAsanexample,iftherequiredamountwere$,$,orpercent,wouldbeconsideredariskpremiumFromourdiscussion,wecanspecifyaformaldefinitionofinvestmentSpecifically,aninvestmentisthecurrentcommitmentofdollarsforaperiodoftimeinordertoderivefuturepaymentsthatwillcompensatetheinvestorfor()thetimethefundsarecommitted,()theexpectedrateofinflation,and()theuncertaintyofthefuturepaymentsThe“investor”canbeanindividual,agovernment,apensionfund,oracorporationSimilarly,thisdefinitionincludesalltypesofinvestments,includinginvestmentsbycorporationsinplantandequipmentandinvestmentsbyindividualsinstocks,bonds,commodities,orrealestateThistextemphasizesinvestmentsbyindividualinvestorsInallcases,theinvestoristradingaknowndollaramounttodayforsomeexpectedfuturestreamofpaymentsthatwillbegreaterthanthecurrentoutlayAtthispoint,wehaveansweredthequestionsaboutwhypeopleinvestandwhattheywantfromtheirinvestmentsTheyinvesttoearnareturnfromsavingsduetotheirdeferredconsumptionTheywantarateofreturnthatcompensatesthemforthetime,theexpectedrateofinflation,andtheuncertaintyofthereturnThisreturn,theinvestor’srequiredrateofreturn,isdiscussedthroughoutthisbookAcentralquestionofthisbookishowinvestorsselectinvestmentsthatwillgivethemtheirrequiredratesofreturnInvestmentDefinedWHATISANINVESTMENTIncontrast,whencurrentincomeislessthancurrentconsumptiondesires,peopleborrowtomakeupthedifferenceAlthoughwewilldiscussborrowingonseveraloccasions,themajoremphasisofthistextishowtoinvestsavingsCHAPTERTHEINVESTMENTSETTINGThenextsectionofthischapterdescribeshowtomeasuretheexpectedorhistoricalrateofreturnonaninvestmentandalsohowtoquantifytheuncertaintyofexpectedreturnsYouneedtounderstandthesetechniquesformeasuringtherateofreturnandtheuncertaintyofthesereturnstoevaluatethesuitabilityofaparticularinvestmentAlthoughouremphasiswillbeonfinancialassets,suchasbondsandstocks,wewillrefertootherassets,suchasartandantiquesChapterdiscussestherangeoffinancialassetsandalsoconsiderssomenonfinancialassetsMEASURESOFRETURNANDRISKThepurposeofthisbookistohelpyouunderstandhowtochooseamongalternativeinvestmentassetsThisselectionprocessrequiresthatyouestimateandevaluatetheexpectedriskreturntradeoffsforthealternativeinvestmentsavailableTherefore,youmustunderstandhowtomeasuretherateofreturnandtheriskinvolvedinaninvestmentaccuratelyTomeetthisneed,inthissectionweexaminewaystoquantifyreturnandriskThepresentationwillconsiderhowtomeasurebothhistoricalandexpectedratesofreturnandriskWeconsiderhistoricalmeasuresofreturnandriskbecausethisbookandotherpublicationsprovidenumerousexamplesofhistoricalaverageratesofreturnandriskmeasuresforvariousassets,andunderstandingthesepresentationsisimportantInaddition,thesehistoricalresultsareoftenusedbyinvestorswhenattemptingtoestimatetheexpectedratesofreturnandriskforanassetclassThefirstmeasureisthehistoricalrateofreturnonanindividualinvestmentoverthetimeperiodtheinvestmentisheld(thatis,itsholdingperiod)Next,weconsiderhowtomeasuretheaveragehistoricalrateofreturnforanindividualinvestmentoveranumberoftimeperiodsThethirdsubsectionconsiderstheaveragerateofreturnforaportfolioofinvestmentsGiventhemeasuresofhistoricalratesofreturn,wewillpresentthetraditionalmeasuresofriskforahistoricaltimeseriesofreturns(thatis,thevarianceandstandarddeviation)Followingthepresentationofmeasuresofhistoricalratesofreturnandrisk,weturntoestimatingtheexpectedrateofreturnforaninvestmentObviously,suchanestimatecontainsagreatdealofuncertainty,andwepresentmeasuresofthisuncertaintyorriskWhenyouareevaluatingalternativeinvestmentsforinclusioninyourportfolio,youwilloftenbecomparinginvestmentswithwidelydifferentpricesorlivesAsanexample,youmightwanttocomparea$stockthatpaysnodividendstoastocksellingfor$thatpaysdividendsof$ayearToproperlyevaluatethesetwoinvestments,youmustaccuratelycomparetheirhistoricalratesofreturnsApropermeasurementoftheratesofreturnisthepurposeofthissectionWhenweinvest,wedefercurrentconsumptioninordertoaddtoourwealthsothatwecanconsumemoreinthefutureTherefore,whenwetalkaboutareturnonaninvestment,weareconcernedwiththechangeinwealthresultingfromthisinvestmentThischangeinwealthcanbeeitherduetocashinflows,suchasinterestordividends,orcausedbyachangeinthepriceoftheasset(positiveornegative)Ifyoucommit$toaninvestmentatthebeginningoftheyearandyougetback$attheendoftheyear,whatisyourreturnfortheperiodTheperiodduringwhichyouownaninvestmentiscalleditsholdingperiod,andthereturnforthatperiodistheholdingperiodreturn(HPR)Inthisexample,theHPRis,calculatedasfollows:HPREndingValueofInvestmentBeginningValueofInvestment===$$MeasuresofHistoricalRatesofReturnThisvaluewillalwaysbezeroorgreaterthatis,itcanneverbeanegativevalueAvaluegreaterthanreflectsanincreaseinyourwealth,whichmeansthatyoureceivedapositiverateofreturnduringtheperiodAvaluelessthanmeansthatyousufferedadeclineinwealth,whichindicatesthatyouhadanegativereturnduringtheperiodAnHPRofzeroindicatesthatyoulostallyourmoneyAlthoughHPRhelpsusexpressthechangeinvalueofaninvestment,investorsgenerallyevaluatereturnsinpercentagetermsonanannualbasisThisconversiontoannualpercentageratesmakesiteasiertodirectlycomparealternativeinvestmentsthathavemarkedlydifferentcharacteristicsThefirststepinconvertinganHPRtoanannualpercentagerateistoderiveapercentagereturn,referredtoastheholdingperiodyield(HPY)TheHPYisequaltotheHPRminusHPY=HPR–Inourexample:HPY=–==ToderiveanannualHPY,youcomputeanannualHPRandsubtractAnnualHPRisfoundby:AnnualHPR=HPRnwhere:n=numberofyearstheinvestmentisheldConsideraninvestmentthatcost$andisworth$afterbeingheldfortwoyears:Ifyouexperienceadeclineinyourwealthvalue,thecomputationisasfollows:Amultipleyearlossovertwoyearswouldbecomputedasfollows:HPREndingValueBeginningValueAnnualHPRAnnualHPY=========$$,()–––nHPREndingValueBeginningValueHPY======$$–––HPREndingValueofInvestmentBeginningValueofInvestmentAnnualHPRAnnualHPY=========$$–nMEASURESOFRETURNANDRISKIncontrast,consideraninvestmentof$heldforonlysixmonthsthatearnedareturnof$:NotethatwemadesomeimplicitassumptionswhenconvertingtheHPYtoanannualbasisThisannualizedholdingperiodyieldcomputationassumesaconstantannualyieldforeachyearInthetwoyearinvestment,weassumedanpercentrateofreturneachyear,compoundedInthepartialyearHPRthatwasannualized,weassumedthatthereturniscompoundedforthewholeyearThatis,weassumedthattherateofreturnearnedduringthefirstpartoftheyearislikewiseearnedonthevalueattheendofthefirstsixmonthsThepercentrateofreturnfortheinitialsixmonthscompoundstopercentforthefullyearBecauseoftheuncertaintyofbeingabletoearnthesamereturninthefuturesixmonths,institutionswilltypicallynotcompoundpartialyearresultsRememberonefinalpoint:Theendingvalueoftheinvestmentcanbetheresultofapositiveornegativechangeinpricefortheinvestmentalone(forexample,astockgoingfrom$ashareto$ashare),incomefromtheinvestmentalone,oracombinationofpricechangeandincomeEndingvalueincludesthevalueofeverythingrelatedtotheinvestmentNowthatwehavecalculatedtheHPYforasingleinvestmentforasingleyear,wewanttoconsidermeanratesofreturnforasingleinvestmentandforaportfolioofinvestmentsOveranumberofyears,asingleinvestmentwilllikelygivehighratesofreturnduringsomeyearsandlowratesofreturn,orpossiblynegativeratesofreturn,duringothersYouranalysisshouldconsidereachofthesereturns,butyoualsowantasummaryfigurethatindicatesthisinvestment’stypicalexperience,ortherateofreturnyoushouldexpecttoreceiveifyouownedthisinvestmentoveranextendedperiodoftimeYoucanderivesuchasummaryfigurebycomputingthemeanannualrateofreturnforthisinvestmentoversomeperiodoftimeAlternatively,youmightwanttoevaluateaportfolioofinvestmentsthatmightincludesimilarinvestments(forexample,allstocksorallbonds)oracombinationofinvestments(forexample,stocks,bonds,andrealestate)Inthisinstance,youwouldcalculatethemeanrateofreturnforthisportfolioofinvestmentsforanindividualyearorforanumberofyearsSingleInvestmentGivenasetofannualratesofreturn(HPYs)foranindividualinvestment,therearetwosummarymeasuresofreturnperformanceThefirstisthearithmeticmeanreturn,thesecondthegeometricmeanreturnTofindthearithmeticmean(AM),thesum()ofannualHPYsisdividedbythenumberofyears(n)asfollows:AM=HPYnwhere:HPY=thesumofannualholdingperiodyieldsComputingMeanHistoricalReturnsHPRAnnualHPRAnnualHPY=========$$()–nCHAPTERTHEINVESTMENTSETTINGTocheckthatyouunderstandthecalculations,determinetheannualHPYforathreeyearHPRof(Answer:percent)ComputetheannualHPYforathreemonthHPRof(Answer:percent)Analternativecomputation,thegeometricmean(GM),isthenthrootoftheproductoftheHPRsfornyearsGM=πHPRn–where:o=theproductoftheannualholdingperiodreturnsasfollows:(HPR)(HPR)(HPRn)Toillustratethesealternatives,consideraninvestmentwiththefollowingdata:AM=()()(–)===GM=()()()–=()–=–==InvestorsaretypicallyconcernedwithlongtermperformancewhencomparingalternativeinvestmentsGMisconsideredasuperiormeasureofthelongtermmeanrateofreturnbecauseitindicatesthecompoundannualrateofreturnbasedontheendingvalueoftheinvestmentversusitsbeginningvalueSpecifically,usingthepriorexample,ifwecompoundedpercentforthreeyears,(),wewouldgetanendingwealthvalueofAlthoughthearithmeticaverageprovidesagoodindicationoftheexpectedrateofreturnforaninvestmentduringafutureindividualyear,itisbiasedupwardifyouareattemptingtomeasureanasset’slongtermperformanceThisisobviousforavolatilesecurityConsider,forexample,asecuritythatincreasesinpricefrom$to$duringyearanddropsbackto$duringyearTheannualHPYswouldbe:BEGINNINGENDINGYEARVALUEVALUEHPRHPY–BEGINNINGENDINGYEARVALUEVALUEHPRHPY–MEASURESOFRETURNANDRISKNotethattheGMisthesamewhetheryoucomputethegeometricmeanoftheindividualannualholdingperiodyieldsortheannualHPYforathreeyearperiod,comparingtheendingvaluetothebeginningvalue,asdiscussedearlierunderannualHPYforamultiperiodcaseThiswouldgiveanAMrateofreturnof:()(–)===Thisinvestmentbroughtnochangeinwealthandthereforenoreturn,yettheAMrateofreturniscomputedtobepercentTheGMrateofreturnwouldbe:()–=()–=–=ThisanswerofapercentrateofreturnaccuratelymeasuresthefactthattherewasnochangeinwealthfromthisinvestmentoverthetwoyearperiodWhenratesofreturnar

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