The_Investment_Setting(投資分析與投資組合管理)ppt課件

1、Lecture Presentation Software to accompanyInvestment Analysis and Portfolio ManagementSeventh Editionby Frank K. Reilly & Keith C. Brown.Chapter 1The Investment SettingQuestions to be answered:Why do individuals invest ?What is an investment ?How do we measure the rate of return on an investment ?Ho

2、w do investors measure risk related to alternative investments ?.Chapter 1The Investment SettingWhat factors contribute to the rates of return that investors require on alternative investments ?What macroeconomic and microeconomic factors contribute to changes in the required rate of return for indi

3、vidual investments and investments in general ?.Why Do Individuals Invest ?By saving money (instead of spending it), individuals tradeoff present consumption for a larger future consumption.How Do We Measure The Rate Of Return On An Investment ?The pure rate of interest is the exchange rate between

4、future consumption and present consumption. Market forces determine this rate. .Peoples willingness to pay the difference for borrowing today and their desire to receive a surplus on their savings give rise to an interest rate referred to as the pure time value of money.How Do We Measure The Rate Of

5、 Return On An Investment ?.If the future payment will be diminished in value because of inflation, then the investor will demand an interest rate higher than the pure time value of money to also cover the expected inflation expense. How Do We Measure The Rate Of Return On An Investment ?.If the futu

6、re payment from the investment is not certain, the investor will demand an interest rate that exceeds the pure time value of money plus the inflation rate to provide a risk premium to cover the investment risk. How Do We Measure The Rate Of Return On An Investment ?.Defining an InvestmentA current c

7、ommitment of $ for a period of time in order to derive future payments that will compensate for:the time the funds are committedthe expected rate of inflationuncertainty of future flow of funds.Measures of Historical Rates of ReturnHolding Period Return1.1.Measures of Historical Rates of ReturnHoldi

8、ng Period YieldHPY = HPR - 11.10 - 1 = 0.10 = 10%1.2.Annual Holding Period ReturnAnnual HPR = HPR 1/nwhere n = number of years investment is heldAnnual Holding Period YieldAnnual HPY = Annual HPR - 1Measures of Historical Rates of Return.Measures of Historical Rates of ReturnArithmetic Mean1.4.Measu

9、res of Historical Rates of ReturnGeometric Mean1.5.A Portfolio of InvestmentsThe mean historical rate of return for a portfolio of investments is measured as the weighted average of the HPYs for the individual investments in the portfolio.Computation of HoldingPeriod Yield for a PortfolioExhibit 1.1

10、.Expected Rates of ReturnRisk is uncertainty that an investment will earn its expected rate of returnProbability is the likelihood of an outcome.Expected Rates of Return1.6.Risk AversionThe assumption that most investors will choose the least risky alternative, all else being equal and that they wil

11、l not accept additional risk unless they are compensated in the form of higher return . Probability DistributionsRisk-free InvestmentExhibit 1.2. Probability DistributionsRisky Investment with 3 Possible ReturnsExhibit 1.3. Probability DistributionsRisky investment with ten possible rates of returnE

12、xhibit 1.4.Measuring the Risk of Expected Rates of Return1.7.Measuring the Risk of Expected Rates of ReturnStandard Deviation is the square root of the variance1.8.Measuring the Risk of Expected Rates of ReturnCoefficient of variation (CV) a measure of relative variability that indicates risk per un

13、it of return Standard Deviation of ReturnsExpected Rate of Returns1.9.Measuring the Risk of Historical Rates of Returnvariance of the seriesholding period yield during period Iexpected value of the HPY that is equal to the arithmetic mean of the seriesthe number of observations1.10.Determinants of R

14、equired Rates of ReturnTime value of moneyExpected rate of inflationRisk involved.The Real Risk Free Rate (RRFR)Assumes no inflation.Assumes no uncertainty about future cash flows.Influenced by time preference for consumption of income and investment opportunities in the economy.Adjusting For Inflat

15、ionReal RFR = 1.12.Nominal Risk-Free RateDependent uponConditions in the Capital MarketsExpected Rate of Inflation.Adjusting For InflationNominal RFR = (1+Real RFR) x (1+Expected Rate of Inflation) - 11.11.Facets of Fundamental RiskBusiness riskFinancial riskLiquidity riskExchange rate riskCountry r

16、isk.Business RiskUncertainty of income flows caused by the nature of a firms business Sales volatility and operating leverage determine the level of business risk.Financial RiskUncertainty caused by the use of debt financing.Borrowing requires fixed payments which must be paid ahead of payments to s

17、tockholders.The use of debt increases uncertainty of stockholder income and causes an increase in the stocks risk premium.Liquidity RiskUncertainty is introduced by the secondary market for an investment.How long will it take to convert an investment into cash?How certain is the price that will be r

18、eceived?.Exchange Rate RiskUncertainty of return is introduced by acquiring securities denominated in a currency different from that of the investor.Changes in exchange rates affect the investors return when converting an investment back into the “home currency.Country RiskPolitical risk is the unce

19、rtainty of returns caused by the possibility of a major change in the political or economic environment in a country.Individuals who invest in countries that have unstable political-economic systems must include a country risk-premium when determining their required rate of return.Risk Premiumf (Bus

20、iness Risk, Financial Risk, Liquidity Risk, Exchange Rate Risk, Country Risk)orf (Systematic Market Risk).Risk Premium and Portfolio TheoryThe relevant risk measure for an individual asset is its co-movement with the market portfolio Systematic risk relates the variance of the investment to the vari

21、ance of the marketBeta measures this systematic risk of an asset.Fundamental Risk versus Systematic RiskFundamental risk comprises business risk, financial risk, liquidity risk, exchange rate risk, and country riskSystematic risk refers to the portion of an individual assets total variance attributa

22、ble to the variability of the total market portfolio .Relationship BetweenRisk and ReturnExhibit 1.7(Expected).Changes in the Required Rate of Return Due to Movements Along the SMLExhibit 1.8.Changes in the Slope of the SMLRPi = E(Ri) - NRFRwhere:RPi = risk premium for asset iE(Ri) = the expected return for asset iNRFR = the nominal return on a risk-free asset1.13.Ma